meta user
network profile
| bio | website | fitnr.com |
|---|---|---|
| location | Houston, TX | |
| age | 33 | |
| visits | member for | 1 year, 8 months |
| seen | 5 mins ago | |
| stats | profile views | 524 |
Louis Marascio is an entrepreneur, market hacker, and trouble maker in Houston, TX. He's also a husband and father. Occasionally, he writes a bit of code.
|
May 16 |
comment |
Add transaction costs to prediction What exactly is your question? Obviously, positive transactions costs will reduce your profit. |
|
May 7 |
reviewed | Approve suggested edit on How to implement Maximum Diversification in R? |
|
May 5 |
comment |
Analyze raw tick data If that is how your data looks, it looks more like trades than quotes. For it to be a quote you need a bid and an ask. |
|
Apr 29 |
reviewed | No Action Needed Is “eoddata” a good data source? |
|
Apr 29 |
reviewed | No Action Needed Convexity adjustment for a forward swap rate |
|
Apr 29 |
reviewed | Reviewed Is there an all Java options-pricing library (preferably open source) besides jquantlib? |
|
Apr 29 |
comment |
Is there an all Java options-pricing library (preferably open source) besides jquantlib? Why is it better? Your answer would be significantly improved if you add a few points along these lines. |
|
Apr 24 |
reviewed | Reviewed How can I cope missing data values with excel? or any other software? |
|
Apr 23 |
reviewed | Approve suggested edit on Mean-variance minimizser |
|
Apr 21 |
reviewed | Approve suggested edit on homework tag wiki excerpt |
|
Apr 21 |
comment |
Holt Winters Double Exponential Smoothing Voting to close as this isn't a real question, nor is it something that a pro would ask. Further, the math is clearly explained on the Wikipedia page for Exponential Smoothing. That should be more than sufficient to implement in your language of choice. |
|
Apr 21 |
comment |
Is the Interactive Brokers API suitable for hft? You can't use directed orders with the cost plus plan. If you're not directing your orders, you're not a high frequency trader. |
|
Apr 15 |
comment |
Is the Interactive Brokers API suitable for hft? Sorry, you've apparently missed the point entirely. Please re-read my answer. IB imposes significant fees and restrictions on directed orders. If you're using SMART, you're not a high-frequency trader. |
|
Apr 15 |
revised |
Call option arbitrage opportunity title spelling |
|
Apr 15 |
comment |
Is the Interactive Brokers API suitable for hft? Who said anything about quote stuffing? |
|
Apr 6 |
answered | High-Frequency Traders and Front Running: What order types are they using? |
|
Mar 4 |
revised |
compute FX forward from broker's data format table |
|
Mar 3 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? @Freddy OUCH is used for order entry, not market data. The relevant NASDAQ market data protocol is TotalView ITCH. |
|
Mar 3 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? @DmitriNesteruk What feed are you taking in? NYSE OpenBook is a level, rather than order, oriented feed. Perhaps you're using that? I don't know any other US equities feed that isn't order based. In which case you're situation might dictate a different design. Your implied above it was an order based feed by stating you had the ability to separate the orders into their aggregate sizes. |
|
Mar 3 |
answered | Is it worth preserving orderbook structure when building it from individual orders? |
