2,936 reputation
1336
bio website fitnr.com
location Houston, TX
age 35
visits member for 3 years, 3 months
seen 9 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.


Apr
29
reviewed Reviewed Is there any thing out there as a substitute for KDB?
Apr
26
answered Attribution of unusual persistence in noncompetitive TAQ quotes levels?
Apr
19
comment source for yahoo finance equities volume traded
I don't know the answer for sure, which is why I asked if you were sure. It sounds like you aren't.
Apr
18
comment source for yahoo finance equities volume traded
Those are two very different things. BHP traded at NYSE and ASX are two distinct instruments. They are ADRs of BHP Billiton, not BHP Billiton stock. Regardless, if you look at BHP in the US Equities market, the volume you see is aggregate volume across all US Equities exchanges. Of course it won't include foreign exchanges, that would be silly. Likewise, if you look at CSCO, SPY, GE, etc, you'll find the volume is also US equities consolidated volume which comes from Yahoo's historical data provider, CSI.
Apr
17
comment source for yahoo finance equities volume traded
Are you sure about that?
Mar
5
revised measuring the performance of round-trips on stocks
added 2 characters in body
Feb
22
reviewed Approve Risk management of options
Feb
15
comment Why does my posterior mean differs from Idzorek's results?
If you've solved the problem you can accept your own answer.
Feb
12
comment Change of order size
It depends on exactly which market we're talking about. But in general with price/time priority markets this is true.
Feb
11
comment Stock Price Question
Is this homework?
Feb
10
awarded  Nice Answer
Feb
7
awarded  Nice Answer
Feb
3
comment Estimate reasonable trade sizing based on daily volume
@user2763361 99% certainty, maybe, given hidden liquidity. But point well made :).
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
And from the same page you linked: europeanequities.nyx.com/sites/europeanequities.nyx.com/files/…
Jan
29
awarded  Necromancer
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
NASDAQ doesn't have any "triggered" orders. Not sure if NYSE does, but I doubt it. You're probably confusing an exchange held stop (like that supported by Direct Edge) and a synthetic stop implemented by your broker.
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
If this is for US equities, the rules contain descriptions of how orders are executed.
Jan
28
comment Microstructure effects for a market maker?
Hang on one second while I open up my little black book of valuable signals.... you do realize the question is a bit, ambitious, right?
Jan
24
comment Free database for storing intraday tick data and querying bar (candle) data on budget hardware
possible duplicate of Efficiently storing real-time intraday data in an application agnostic way
Jan
24
reviewed Approve What are DGTW adjusted returns?