2,766 reputation
1034
bio website fitnr.com
location Houston, TX
age 34
visits member for 2 years, 10 months
seen 10 hours ago

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.


Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
The only thing you're guaranteed is that they are day unique. Anything else would be heuristic, which I'd urge you to try to measure yourself if you think it is important.
Mar
19
comment Historical Level 2 Data (Market Depth)
Of course it means writing feed handlers for each, that was implied. However, you can have accurate data or you can have crap from a vendor. You pick. Relying on venue specific time stamps will result in crap data.
Mar
18
comment Market order quantity greater than quantity of the inside quote at the exchange
You should go read the various order entry specs and websites for the venues. They have copious amounts of information on how orders can be flagged for various route handling.
Mar
18
comment Market order quantity greater than quantity of the inside quote at the exchange
The fees are all published and are complicated. There is no "one" fee for inter-exchange routing. However, all fees are public. Look at the exchange websites.
Mar
18
answered Market order quantity greater than quantity of the inside quote at the exchange
Mar
17
answered How to get list of all CUSIPS/ISIN?
Mar
17
answered Limit order book size
Mar
17
answered Historical Level 2 Data (Market Depth)
Feb
17
awarded  Tag Editor
Oct
4
answered What techniques are used for testing order book implementations?
Sep
22
revised Is Walk Forward Analysis a good method to estimate the edge of a trading system?
rephrase title
Sep
19
revised What is more appropriate: the EMA of the option price or the EMA of the underlying?
rephrase title as a question
Sep
19
revised Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
rephrase title
Sep
19
awarded  Revival
Sep
19
answered Do you have historical tick data you want to donate?
Sep
18
awarded  Nice Answer
Sep
16
comment Issues when considering a quantitative trading/finance firm
Mostly whether you're interested in what they trade. If you're a big energy futures guy joining an equities focused firm might not be the best idea. Unless the firm is super secretive you probably know the answer to this question before you get in there.
Sep
15
awarded  Civic Duty
Sep
15
answered Issues when considering a quantitative trading/finance firm
Sep
14
revised Black Scholes and Monte Carlo implementations in Java
code formatting, remove signature