New answers tagged high-frequency
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 ...
High Frequency: Seconds, Milliseconds, Nanoseconds Medium Frequency: Minutes Low frequency: Hours, Days, Months, Years
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".
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, ...
Top 50 recent answers are included