# Tag Info

8

The "price protection" refers to RegNMS in the US. A stock exchange that does not have the best price must route all order flow to the exchange that does. The SIP in the figure is a consolidated feed that lists the best price among all exchanges. Consider this example: a broker sends a market order to buy JNJ to NYSE where the best offer is \$86.97. ... 7 I can think of an application in options pricing. I came across the following paper a long time ago but think it explains FT very eloquently as applied to pricing options under BS: http://maxmatsuda.com/Papers/2004/Matsuda%20Intro%20FT%20Pricing.pdf The fun starts on page 112 but it relies on the 1998 paper by Madan and Carr. What I like about the paper ... 7 What you are looking for is generally called "machine-readable news". Here are the ones I know about off hand: Dow Jones Elementized News Feed Thompson Reuters News Feed Direct Bloomberg Event-Driven Trading Feed NASDAQ OMX Event-Driven Analytics Good luck getting reliable latency figures from any of those vendors though. 5 If you're missing ticks, then no technique will get those ticks back. If you have two sources, then designate one source as the primary feed and then fill-in gaps from the secondary feed. Of course, you'll have to mind the timestamps when determining whether the secondary feed can be used properly. 5 I would reckon this to be a very hard exercise. Unless you know the inner workings of such algorithm and how the news was exactly interpreted you have no idea about what went "wrong" and on which side such opportunities reside. One thing I know for sure is that most all algos that capitalize on news capture primarily the numeric part of the news event. I ... 5 The main application I know of is in option pricing. Peter Carr has done some research here. For an introductory article see this one: Option valuation using the fast Fourier transform by Peter Carr and Dilip B. Madan: In this paper the authors show how the fast Fourier transform may be used to value options when the characteristic function of the ... 4 You can find a varying number of practitioners and academics on both sides of this debate. To be honest, the question of whether "High Frequency Traders" increase liquidity is ill-posed. The label is often misused and is broadly encompasing of too many different types of traders. So, in general: Any trader that posts resting limit orders is adding ... 3 Indeed, algorithmic trading is a very hidden subject. It is even known that working in the algorithmic trading sector is very lonely because nobody is willing to share secrets, ideas or innovations. Mentioning this, I have recently talked to a Technical Analyst/ Quant who has exposed some of his secrets. One of which was risk management. The terms you are ... 3 If I understand correctly the TCP roundtrip time can be used as a posteriori proxi for the order entry gateway delay. So assuming the roundtrip time is composed of gate delay and independent other delays$RTT_g(t) = dT_g(t) + d_g(t)$with assumed$Cov(dT_g,d_g)=0$and$Cov(d_i,d_j)=0\$. Minimizing the this combination of gate delay and other delays is ...

3

Everyone can do what HFTs do, if they spend the necessary time and money to build and run the infrastructure required. This may involve becoming a regulated broker/dealer, but it is in no way an invite-only club. Now, to your specific question, you'll find some information on Haim Bodek's site. Bodek does content that ISO's and Day ISOs are used to gain ...

3

A bit belated, but nevertheless: It's worth noting that at least some of the various visible shapes of "quote spam" shown on e.g. Nanex analyses, such as sawtooth patterns, can be explained without assuming malice on the part of the order originators. By way of example, two poorly designed agency execution algos trading buy child orders may each have a ...

3

Haim Bodek worked for Goldman and UBS and then had his own trading firm. He has started Consulting on HFT strategies and has been mentioned in Dark Pools by Scott Patterson. Some of his white papers are on: http://haimbodek.com/research.html Check out the introduction to the '0+' strategy. As a previous answer stated, no one will give away a winning ...

3

Obviously merging two streams is harmless and it should be done. But it's hard to advise you regarding the "interpolation" methods you can use to generate the ticks without knowing why you need this. The reason is that any method will introduce a certain bias to the data. Therefore, it very much depends on what are you going to do with your altered data on ...

2

To quickly answer and address your first question. ARMA - Fractionally integrated GARCH or FIGARCH is one of the more common methods used at higher frequencies, it handles some properties required for higher frequency that standard ARMA-GARCH does not There are also a few other so called long memory volatility models, and there are other models which i ...

2

With all due respect, the referenced pdf is nothing but a glossy write up of standard terms that you even hear about on TV nowadays, not much more. I assume its targeting totally uninformed clients (Japanese buy side funds? ;-) who in 2012/2013 still have not caught on with algorithmic execution. "Pinging" is so outdated that I would claim the information ...

2

I think it's alive and well. I don't think there's a specific "decoupling" time, but if you look at e.g. Munnix et al. "Statistical causes for the Epps eﬀect in microstructure noise", it seems that the biased correlation is about 60% of the real value for 1 min data and about 90% for 5 min data, so you could say that 5 min is pretty safe, but 1 min is ...

2

I have a little experience with this. First, NASDAQ has shared a dataset with researchers that flags whether an HFT participated in each trade or not but not the actual MPID - probably less granular than what you want. You generally need a professor to "cosign" your request, write a brief project proposal, and sign an NDA to get it. They also have shared ...

2

Data over IB's API is not real time. You can't even match up bid, asks, and lasts with their appropriate sizes. It's actually a 200 ms snapshot. For more reliable data go with B-PIPE, DTN or eSignal (they all have APIs) and a high speed co-located Ethernet or T1 connection to your vendor. Lots of additional coding is required.

2

I think the market participants behavior on the micro-level is not different in principle from the behavior on the macro-level. The challenges of better news interpretation, and faster response time are very similar on all levels. There may be a little bit more trading opportunities in HFT, but building HFT strategy and infrastructure is very expensive, ...

2

If you can observe prices at a very high frequency, then "news" is defined as a lot more things than if you are observing prices at a lower frequency. So what you are calling corrections are also news for the high frequency guy because he can observe prices that fast, so do not consider these as corrections to the original news, consider this to be a ...

1

Algorithmic Trading in general is no different from normal trading except all of the trading is automated. So it encompasses the same risk parameters that normal traders would. When it comes to High Frequency Trading, the risk management checks would be at Strategy Level as well as "individual trade" level.There would be checks for sizes, values etc. ...

1

Market participant ID data is extremely unlikely to be available without the collaboration of regulators and the exchange itself, as it is a closely guarded information. Even "anonymized" data with no reference to a specific firm could reveal private information to informed market participants. If obtained at all, it is likely to come with draconian ...

1

The equivalence you are trying to find can only exist in the framework of static volatility. I think the problem is that in the real world, statistical volatility varies a lot with time; and worse off the relative rate at which it varies increases with smaller time increments. So not only does the answer not apply in real-world markets, an estimation of ...

1

Yes. You're right that queue position is less important in a pure pro-rata market. But in a market that is very deep, such as Eurodollars, the cost of getting adversely selected ("catching a falling dagger") is huge (very large bid/ask spread). So it is critical to cancel any open orders quickly when the price is about to move.

1

with holding period less than 5-10 mins... For that you need this application (high specialized client for IB): http://www.datatime.eu/public/gbot/ http://www.datatime.eu/public/gbot/GBotScreenshots.htm You can have trades under 1 second (executions in few millisec). From any place.

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