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From what i understand about Athena's strategy, they always wanted to execute on the imbalance. They would drive the continuous price in one direction and cover in the cross at an in-/de-flated price. Setting the sell price of an imbalance only order would basically be like sending a market order and give them the best chance of executed on the imbalance ...


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From the Nasdaq page, IMBALANCE-ONLY CLOSE ORDERS Provides liquidity intended to offset on-close orders during the Closing Cross. Must be priced (limit), no market IO orders. IO buy/sell orders only execute at or above/below the 4:00 p.m., ET, bid/ask. They simply mean they were +\$0.01 or at \$23.56 from the price on their sell ...


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I browsed through the work and this is what I see: the lhs $r_{t+1} + \cdots + r_{t+H}$ is the sum of log-returns after $t$. the rhs is indexed by $t-i, i=0, \ldots, H$ thus this has something to do with the past before (and at) $t$. Thus the regression models the future ($r_{t+1} + \cdots + r_{t+H}$) dependent of the past where only PCA projections of ...


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QuantConnect provides an open source, community driven project called Lean. The project has thousands of engineers using it to create event driven strategies, on any resolution data, any market or asset class. Our system models margin leverage and margin calls, cash limitations, transaction costs. We maintain a full cashbook of your currencies. Its about as ...



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