# Tag Info

## New answers tagged market-data

0

Most likely you are missing something as any new order can't bypass the existing orders. The only possibility that comes to mind is if you have anti-internalization set and the broker is trying to hit his own quotes. Say broker A has two quoting systems running and they would otherwise interact. Anti-internalization would not allow this broker to trade ...

2

There's a very simple explanation. The NYSE trading floor only deals in NYSE-listed stocks. NYSE have other venues (such as Arca) that allow you to trade listings from other exchanges. The following site has a very good summary of "tape" versus the volume traded at each venue. https://www.batstrading.com/market_summary/ Note that Tape B contains trades ...

-1

There is a database from Quandl that shows EOD prices for stocks traded in the TSX and if you go to the documentation part of the database here https://www.quandl.com/data/XTSE/documentation/documentation, you can click on the link where it says "A full list of all stocks in this database, along with their ticker symbols, can be downloaded here." This lets ...

-1

Have you tried searching at Quandl here: https://www.quandl.com/search?query=msci&type=all (Quandl also has flexible pricing plans for individual users, not just companies)

1

I hope this helps - the Core US Fundamentals database on Quandl (https://www.quandl.com/data/SF1) covers 6,500+ companies, point-in-time, inc/exc restatements, active/delisted, up to 11 years history, 101 indicators, expanding coverage, daily updates. There's data for balance sheets, income statements, cash flow etc.

0

So you are asking about what is usually called Unrealized P&L. There are multiple ways to do this. It can be as simple as rupweb points out, but there are some complications, for example when you have previous closed trades, or have multiple open trades at multiple prices. For some detailed information on this, including a formula you can just copy, ...

1

FIX is just the message protocol so the PnL for a filled order (an execution report) on your side by taking the price and volume of the execution report and a reference price when you get the execution report, then calculate your PnL...

0

For Forex,swaps,NDFs, most LPs supports >10ms execution time .with default quick-fix we could achieve <170ms latency for whole chain of processes of our application(from sending message to execution on server-side). So basically it depends on your application, how it should work & who's your LP & what latency range is your aim. You can try with ...

2

If you look at longer time returns (monthly or weekly as compared to daily) then these can be seen as the sum of daily (log-)returns: $$r^w = \sum r_1^d + \cdots r_5^d.$$ It is in general not true that the $r_i$ are iid because they are not independent. If they were then $r_i^2$ would be iid too and we know that volatility clusters. Even without ...

2

ASSUMING your counterparty does stream data (this is not a given), what you got was a Snapshot, requesting the top of the book and the volume. I am assuming you sent a MarketDataRequest message, which is 35=V. The tag 35 in FIX protocol is the Message Type. For help with the protocol, FIXIMATE is your friend. Most counterparties should have documentation ...

3

Sounds a little bit similar to variance ratio - the seminal paper of which was Lo, MacKinlay 1988, however that deals with variance, not differences of extrema. That you find "risk" narrows over time is odd, given that $Var[x + y] = Var[x] + Var[y]$ for independent variables $x \& y$, and one could look at days as being independent, and similarly ...

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