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9

Among matching rule, do not forget "auction calls", in most markets, you have one at the open and one at the close. To give you the main reasons to use one matching engine rather than another: Auction calls (i.e. fixings) are good to digest a lot of orders in a very short amount of time. It is why after a trading suspension, the trading starts with an ...


6

Making money is not the only reasonable objective to trading. Another common reason is to manage/reallocate risk. For example, this is exactly the objective of liability-driven-investors, such as pension funds. They're specifically trying to match durations of their liabilities. It doesn't matter if pension fund managers believe there are no inefficiencies ...


3

This is an interesting topic. I assumed that you are looking for a public data source. Here is the margin data as reported by NYSE organizations (nyxdata) that offers a downloadable file. Here is the page of FINRA for Margin Statistics. This is an HTML page, I did not find a link to download a data file. You can validate the two sources against each ...


3

If by an individual investor you mean something like the average investor, then the answer is an unequivocal no: first of all, the average investor probably cannot sell put options. In order to sell put options, you have to be very experienced and climb up the option trading approval levels. Second of all, there is no such thing as risk that can be hedged ...


3

The formation of asset price bubbles, such as the recent US housing market bubble, is perhaps the clearest indication that markets are not efficient. Hundreds of bubbles have been documented for all kinds of traded assets; see the tulip mania for an extreme case. Many practitioners also routinely use trading strategies such as momentum or reversion to the ...


2

I do not believe that the exchange is capable of tracking down the person or legal entity who has been part of any recorded transaction and in particular linking the activity of market intermediaries to the ultimate interests of beneficial owners. However, under certain conditions, the person or legal entity has to report to the SEC his identity and his ...


2

Have you checked White's "reality test" (White H. A reality check for data snooping. // Econometrica. 2000. № 68. С. 1097–1126.)? Anyway, when you use Monte-Carlo, you always have a variation of "double hypothesis" issue, noted by Fama: first hypothesis is that your model of the market is right, and the second - that trading rule you test (against your ...


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

It's unclear what type of trading you are referring to (day trading sort of?). Also I'm not familiar with the aforementioned paradox. However, I think it's weird to say that you can't make money from trading, the semi-strong (strong) from of the EMH only states that the current share price incorporates all publicly (and non-publicly) available information. ...


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

Position here is the residual amount of one or other currency at the end: You gave us: Time | Amount | Rate | t1 100 1.2636 t2 -1000 1.2599 t3 200 1.1612 Assuming the Amount is amount paid in USD, and the rate is EUR/USD: Time | Amount | Rate | EUR balance | USD balance t0 0 0 t1 ...


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 ...


1

Well I think the main issue is that the BMIS had no external party acting as an official holder of the books and records. The Asset Manager utilizes a broker to get access to the market, and the Custodian (and the Administrator) to be the official keepers of the books and records of the trades, by validating and confirming the execution of each trade. Both ...


1

It appears that these are actually all the same thing. overnight inventory, end-of-day holdings, end-of-day net position, it all identifies the same thing. The different terminology arises from how, technically, an account's inventory is reconstructed using order book message data. However, they all identify the inventory at market close, i.e. the ...


1

Use your total wealth allocated to the trades as denominator. Total wealth allocated would include all collateral. In this way you (or your broker) make sure that the denominator is always positive. Presumably this would also reflect what you really want to track. The only problem that remains is what amount of your wealth needs to be allocated. But this is ...


1

It really depends on what you're trading on. Very often, butterfly trades are simply mean reverting trades. For example, you may look at 2s/5s/10s (typically on a regression or PCA-weighted basis) and see whether it's trading at "extreme" levels relative to history (i.e., are 5s trading rich or cheap relative to where 2s and 10s are trading). This can be ...


1

For analyzing a series of trades on a single stock over a period of time. You can understand your market timing contribution by comparing your actual return to the return from consistently holding your average exposure to the stock over that whole period. To then get a feeling for how much you are contributing compared to how much you are messing with a ...


1

There's a couple of options other than Google or Yahoo that I am aware of. The NSE provides EOD data, as well as 5,2 and 1 minute data. If you're willing to pay for high quality data for your application, this is an excellent choice. http://www.nseindia.com/supra_global/content/dotex/data_products.htm Quandl provides comparatively clean, free EOD data ...


1

this is just theory, don't take it as serious, theory it's just take on approximation of reality and in this case not good one, people trade to check that strategy is profitable or trade because they think it will profitable, besides that you have many other spaces on what people compete with each other in this game


1

Concidering 22 days of trading per month you have approximatly 132 days of trading. I highly doubt that this will be sufficient for any forecasting. The sample might be too small. Have a look here: http://research.stlouisfed.org/wp/2012/2012-008.pdf Erdemlioglu, Laurent and Neely used the data of ~10 years to conduct their survey.


1

If you only need to pick 5 out of 10 and want equal weights then just enumerate all 252 possibilities (as pointed out above) and compute the portfolio volatility $(\textbf{1}'K^{(i)}\textbf{1})^{1/2} = \left( \sum_{ij}K^{(i)}_{ij} \right)^{1/2}$, where $K^{(i)}$ is the covariance matrix for the $i$th subset. Then use whatever subset gives the lowest ...


1

I'll answer as if the backtester design goals were driven by specific system in development or planning. There's a lot of data to process in the market and atleast for my own system development I like to focus on data that I think may provide value in the system development. For that reason I chose to capture data from my broker - they offer so much data ...


1

Excluding trade costs (which is a big assumption), you would need to consider margin.. http://www.finra.org/Investors/smartInvesting/AdvancedInvesting/MarginInformation/p005922 Assuming 1MM Short with 25% margin, you would need 250K in a margin account. This would be marked to market and you might get a margin call if your shorts climb.


1

Your problem going into maximize trading capital using 3 strategies. Optimal scenario should use all available capital for 3 strategies, in way that when only 1 strategy trading then using all available capital, when second trying to create trade while first taken all capital, then half of capital can be moved from 1 strategy to cover 2 strategy trades or ...


1

There is a great answer as to when an investor has to file. The only other piece of information that you might have available to you, is the broker number of the buyer or seller as listed on the trade notification. For most of the big firms this won't help you as their retail , buy side and their own internal flow will all be seen under that number. It ...


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'll want the ibrokers package, its very good and built on the c++ api. Also check out quantmod, performanceanalytics, and highfrequency package. And a comprehensive list, http://cran.r-project.org/web/views/Finance.html


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 ...



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