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Trades in the US can just go to the tape (the ADF). This is common with certain block trades and certain trades linked to derivatives. There is a flag on those trades to let you see that they are "average priced trades" or "derriv linked trades"...


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Most likely you are missing something as any new order can't bypass the existing orders. The only possibility that comes to mind is if you have anti-internalization set and the broker is trying to hit his own quotes. Say broker A has two quoting systems running and they would otherwise interact. Anti-internalization would not allow this broker to trade ...


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The significant open position at some strike might be treated as a hope of those, who opened it that at expiration market will be there and further, so options will be in the money.


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You have general and specific questions, so I'll my best here. I have a forex robot that does 30% p.a. 8 years running. It's technical indicators. It's also using one set of rules that is aware of peoples-patterns. (Target prices that traders would commonly sell at). It must be people-aware because even an HFT (and some have failed in big ways) has human ...


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Another example might be, if companies that exhibit certain revenue growth metrics, or margin improvement, would that signal a potential buy opportunity? Or perhaps if certain words in their annual report, quarterly filings, press releases indicate this company is likely to do well? The keys to quantitative investment are research and data analysis. ...


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This may not directly answer your questions. There's a class offered by Georgia Tech called Machine Learning for Trading, you might find it useful. https://www.udacity.com/course/machine-learning-for-trading--ud501


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Read Max Dama on Automated trading (PDF) - This is the best introduction to algorithmic trading out there: http://www.decal.org/download/2582


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HFT firms are liquidity providers. They post bids and offers at prices around what they believe the fair price of the stock is at the current moment. The distance between those bids and offers can be thought of as a confidence interval. So, to put it quite simply, they can use machine learning to better estimate the fair price of the asset or better estimate ...


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Briefly: Some functions simply are not vectorised. If you want to loop getBars() over a vector of symbols, write another wrapper doing the looping. As our documentation says: startTime: A Datetime object with the start time, defaults to one hour before current time (and ditto for endTime) you need to supply a DateTime object, and as.POSIXct() is one way ...


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high Promoter share in a company has the following advantages. Stock price is usually higher as the availability in open market is low. High probability of the company being strong. Cause, they needn't depend on votes to take right decisions. But it could backfire too. Low promoter share in a company means, The volatility is predictable to a ...


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There is a database from Quandl that shows EOD prices for stocks traded in the TSX and if you go to the documentation part of the database here https://www.quandl.com/data/XTSE/documentation/documentation, you can click on the link where it says "A full list of all stocks in this database, along with their ticker symbols, can be downloaded here." This lets ...


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You're going to want different databases for different data. For instance, the company master, historical data, and fundamental data can probably all live in a standard SQL database (MySQL or Postgres are both reasonable choices). If the intraday data is relatively low-frequency (e.g., 1-minute bars or lower), that can probably be put into the SQL DB as ...


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An SQL database is generally best for structured data, ad-hoc queries and for queries involving joining several entities together to find the results. It will also help you maintain data consistency and integrity by forcing this more structured design. Recent in-memory features of modern database engines offer most of the remaining performance advantages of ...



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