2,766 reputation
1034
bio website fitnr.com
location Houston, TX
age 34
visits member for 2 years, 10 months
seen 8 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.


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 suggested edit on What are DGTW adjusted returns?
Jan
23
revised Book on market microstructure
added 1 characters in body
Jan
23
revised Book on market microstructure
added 62 characters in body
Jan
21
comment Disclosure of the liquidity provider identity in ITCH
Not sure, sorry.
Jan
21
reviewed Reject suggested edit on How can I go about applying machine learning algorithms to stock markets?
Jan
21
revised Disclosure of the liquidity provider identity in ITCH
add information about message statistics
Jan
21
answered Disclosure of the liquidity provider identity in ITCH
Jan
10
answered Book on market microstructure
Jan
3
reviewed Approve suggested edit on Optimization: Factor model versus asset-by-asset model