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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?
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 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 Optimization: Factor model versus asset-by-asset model
Jan
3
comment How to become a registered market maker on an exchange
If you're seriously considering becoming a registered market maker, you should be talking to the exchange where you want to register. They will happily tell you the answers. Not on topic for this forum, IMO.
Dec
23
reviewed Reject How can I go about applying machine learning algorithms to stock markets?
Dec
11
comment Recreate Positions after downtime. Suggestions requested
I will add, it also depends on who you're interfacing with and the supported order entry port features. For example, OUCH ports can cancel all open orders on disconnect. Trying to preserve open orders across unexpected system failure is likely not going to work very well.