New answers tagged high-frequency
First define a quote: this is the bid and ask (price and volume). when any of them 4 change, it is said the quote changed. We all know what a trade is (nevertheless note if you send a liquidity consuming order of 100 on a queue made of 50+20+30, it generates 3 trades). You can play with statistics (like order-to-trade ratio, not quote-to-trade), on te SEC's ...
FPGA's are used to run the latency sensitive HFT strategies. They can also be used solely for parsing whatever protocol is in use (FIX, ITCH, etc..) and routing the decoded objects to a CPU for number crunching. They can of course be used for anything else but these two uses are what is most common now.
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 ...
To classify whether a price will go up or down, you have to have a variety of features. You have to calculate these features yourself and include them in the data set. An example data set would have columns for current ask price, bid price, bid-ask spread, volume, and any other features you might find important, like a long moving average, a short moving ...
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