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6

The primary quant skill needed to make the market is optimal control (a typical paper is Guéant, O., L, and J. Fernandez-Tapia (2013, September). Dealing with the inventory risk: a solution to the market making problem. Mathematics and Financial Economics 4 (7), 477-507), because you need to control your inventory and adjust your quotes accordingly: be ...


5

Many of the strategies are motivated by objective functions (contour integrals) in the complex plane and the elements of complex linear spaces, so I'd recommend at least for an applied understanding: Saff, E. B., and Snider, A. D. Fundamentals of Complex Analysis with Applications to Engineering, Science and Mathematics. In addition to Saff and Snider, I ...


4

Very interesting question. I am not an expert on the subject, however, I was able to find a collection of papers on the subject that should get you started. Here is a good and very informative paper that walks you through several tick by tick volatility estimators that seek to reduce the volatility imposed by market micro-structure: Efficient estimation of ...


4

I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will ...


3

Unfortunately, the ability and tools to develop a low latency trading system are extremely commoditized and will be insufficient for you to make a living in this field. An overwhelming majority of electronic market makers are staffed 100% by PhDs because trading experience and research compose their primary differentiators, e.g.: SIG EMM - 100% PhD. DRW ...


3

Well the answer depends on what are you considering a fee? Do you included per trade regulatory fees or just exchange fees? Many exchanges will pay you for being the passive side of a trade, so technically the fees in that case are negative. For the big exchanges, I'm not sure that you can negotiate the fee's. I'll confess I've never tried and the ...


3

Short answer: It offers some degree -- and in many cases, a greater degree -- of comparability between two types of data (different assets, returns, etc.) Long answer: You may already know this, but keep in mind that "normalization" can mean different things (see this question). There are various methods and purposes for normalizing data (financial or ...


3

Successful strategies in both areas can have the same math requirement. It just depends on the algorithm. PhD level mathematics is not a requirement in either area, despite the impression you may get from academic papers (note that a lot of these papers use math to build a sim market, which is completely dislocated from what a researcher needs to do). I feel ...


3

In my experience HFT has to balance the reward of any strategy with risk. In the case of a news-based trading strategy, the risk can be enormous, which means the algo will need a very high expected profit in order to trade the news. After important news events, volatility skyrockets and persists for some time (sometimes even days). If the market were able ...


2

I subscribed recently to ActiveTick, primarily because of the Excel add-in they offer. The ability to feed real time data into Excel equations sounded really promising, but what I have found is a service that is incredibly unreliable. I’ve been sitting here for the last 5 hours watching the add-in try to connect with the server, but no luck. This is about ...


2

The direct filter approach (DFA) is a time series filter which is calculated in Fourier space. DFA minimizes the mean square error of a time series $y_t$ compared to a filter estimate $\hat{y_t}$ $ E[(y_t - \hat{y_t})^2] = \frac{1}{2 \pi} \int_{-\pi}^{\pi} |\Gamma(\omega)- \hat{\Gamma}(\omega)|^2 h(\omega) d\omega $ The minimization is done in the ...


2

In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ...


2

If I was in your position I would start to research how I can create a web server is C++ and expose calls to create a REST service. In other words, can you make your code status output to HTTP? From there, the rest should be easy. You would just need to create a GUI that can access REST services, which virtually all modern languages can. You could focus on ...


2

I think it will also depend on the amount of the orders you will entering. In FXInside it will also depend if you are just aggregating or using a HUB, and even if you use the HUB it will depend if you are enable to "make liquidity" otherwise you will be only sending an agressive watch order waiting a market move. I don't have any number to share with you, ...


2

1) Spurious autocorrelation of non-synchronous trading data was analyzed in this article: http://www.amazon.com/An-econometric-analysis-nonsynchronous-trading/dp/1245789457 During some time intervals a lot of trades occur and during some nothing happens(so prices are stale). So serial correlation of traded prices may be present but this may be due to stale ...


2

First of all, I do not believe the "optimal smoothing" of an estimator (like the mean or the variance) and the "regression case" are the same. The smoothing of an existing estimator (like mean or variance in the blog post), is an univariate problem, where the regression is a multivariate one. In the regression case, you should be able to change the ...


2

Features could include: Bid-ask spread Bid-ask volume imbalance Signed transaction volume The sign in the Signed transaction volume is positive if the buyer has issued a market order and negative if the seller issued a market order. A great introductory plain English paper on high frequency trading machine learning applications can be found here. A ...


1

The 50 cent bid was certainly a LMT order and the exchange will not match a 50 cent bid with a 90 cent offer. And the past tense of "front run" is "frant ran".


1

I am currently developing a position keeping system and I am very satisfied with my choice of language/libraries: 1) Pure GUI in C#. C# is very pretty language, and Visual Studio Express is a very good free IDE, where you can spawn all the buttons, lists and inputs you need. .NET is otherwise very versatile library for other stuff (built-in data structures, ...


1

If your goal is to just send basic commands, and avoid rewriting you models, I suggest you to create a PID server in combination with a web/JavaScript site as GUI. The PID server monitors the PID’s of the strategies running on the server and executes the commands as they come. The server could consist of a webserver listening on port 8888 with a simple JSON ...


1

Have you considered socket programming? if you need 'real time' control http://www.codeproject.com/Articles/586000/Networking-and-Socket-programming-tutorial-in-C If you only want to reset the parameter periodically(like end of the day), you can setup a service and communicate via http/rest/soap. "fetch order and trade history" should be done in a separate ...


1

KDB is a column oriented database and is optimized for time series. As far as I know there are no libraries available for statistical testing and you pretty much have to write things on your own. This page has tutorials http://code.kx.com/wiki/Main_Page You can download the free version from here http://kx.com/software-download.php The most popular book ...


1

Definitely check out Quantopian and Zipline. Quantopian provides a free research environment, backtester, and live trading rig (algos can be hooked up to Interactive Brokers). The algorithm development environment includes really handy collaboration tools and an open source debugger. They provide tons of data (even Morningstar fundamentals!) free of charge. ...


1

Can take a look the other pointers from wikipedia http://en.wikipedia.org/wiki/Algorithmic_trading Another list is here: http://algotradingindia.blogspot.it/2012/05/open-source-trading-platforms-list.html For hedge funds there is a famous top solution publicly available (referenced by wiki), but not "open source". ("Open source" stuff is usually put ...


1

You will find that the level of success you have using Neural Networks (NN) as a tool for financial market prediction is strongly dependent on what initially appear to be some quite subtle factors. In particular: Input data: You mention using "certain technical indicators". I assume that you mean the standard TA set of price-based indicators such as Moving ...


1

FIX has some known deficiencies. Repeating groups is one of them. It can be costly in terms of latency to parse repeating groups inside repeating groups, requiring recursive calls. I prefer protocols that send a first message signaling that N messages will follow with the group info. FIX is also too verbose consuming too much bandwidth. For that they have ...


1

This is a very good observation that I wrote about in my undergrad studies. I also believed that markets were efficient but not precise. I used the example a few years back regarding a tweet (roughly after the Boston bombings). The tweet was regarding terrorist attacks in which markets fell sharply and then recouping all the gains as news later indicated ...


1

std(PPS) PPS = Packets Per Second (wiki article: network packets) The standard deviation of packets per second received from a liquidity source are directly related to the number of quotes per second, or the number of trades per second occurring on that liquidity source. Thus, the higher the number of network / data packets per second, the more volatility ...


1

https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ does analysis similar to the question here. It examines the post-trade performance of orders grouped by their MPID (only UBSS and anonymous orders had enough data points to report). It also looks at market impact upon the addition of a new order. ...


1

I have created some Fourier Analysis of stocks here: http://www.gregthatcher.com/Stocks/Default.aspx I turn the raw data into a series of sines and cosines, show the Fourier approximation as a graph, and then allow you to "turn off" the various sines and cosines, so that you can see how the various "frequencies" contribute to the graph of the stocks values. ...



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