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Jul
26
revised What is the case for active management?
add link, minor grammar
Jul
18
comment Use of AI in portfolio optimization
They are most definitely NOT on the forefront of this. Remember, a big part of a hedge fund's success is marketing. Without marketing to raise money you have no fund. Catchy buzz words and heavily spun articles about the genius behind the system make it easier to raise. See previous stores on the "Twitter" hedge fund, etc.
Jun
20
answered Normalized data
Jun
20
comment Normalized data
More appropriate for Stats.SE.
Jun
16
comment Why is the ratio of Hi-Low range to Open-Close range close to 2?
Are W1, D1, H1 time frames? You might want to make that clearer.
Jun
16
revised Why is the ratio of Hi-Low range to Open-Close range close to 2?
formatting
May
10
comment Cross Bid and Ask prices for Forex trading
Where did the data come from? Did you collect it yourself or receive it from Knight? Are there gaps or out of order messages in the data? Data cleanliness could be an issue that you should investigate. I don't know how HotSpot works, whether it does automatic matching, etc, so you should contact them to see if the crosses are artifacts or real.
May
9
awarded  Nice Question
May
9
answered Cross Bid and Ask prices for Forex trading
May
9
answered Reference on Electronic volatility trading
May
7
comment HFT - How to define and measure latency?
You just timestamp it on send and receipt. Depending on what resolution you care about you can do this in software or hardware.
May
6
answered HFT - How to define and measure latency?
Mar
23
comment NASDAQ TotalView ITCH order reference number number characteristics
@JonathanEvans Send me a note via email. I might be able to provide some help. It is my last name at gmail.
Mar
22
comment How to choose a data center for deploying high frequency trading strategies?
Sorry, I can't take this question seriously. Surely if you developed true HFT models you've considered proximity and latency to matching engines and associated venue fee structures very carefully. Right?
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?