2,637 reputation
1033
bio website fitnr.com
location Houston, TX
age 34
visits member for 2 years, 7 months
seen 28 mins 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.


Nov
29
answered open-source implementation of orderbook from FAST?
Nov
29
answered Distinguish between market makers and other participants?
Nov
28
answered constructing best bid/ask from NASDAQ TotalView-ITCH data
Nov
25
comment HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
Not sure this is really a good question here. You might try to focus it a bit more. Which market, for example, are you talking about? Pros & Cons are not general across the entire universe of venues. For ex, you'd be hard pressed to find a more compact order entry protocol than OUCH, but doesn't mean its better.
Nov
21
reviewed Approve suggested edit on Finding Probabilities Using The Binomial Model
Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Perhaps you could expand on WHY he would want to consider an HDF5 based setup. Asking another question in an answer isn't adding any value.
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
It's not really a limitation of the moving average as much as it is a limitation of the platform.
Nov
18
answered Why does the SMA and EMA appear to be relative to the timeframe?
Nov
11
revised Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
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Oct
31
revised Relationship in Order Book between S&P500 and S&P500 Futures Contracts
edited title
Oct
31
comment Price functions based on order book events
Nice paper, thanks for the reference!
Oct
25
answered What is a resting limit order?
Oct
25
revised How could HFT help increase liquidity?
added 4 characters in body
Oct
25
answered How could HFT help increase liquidity?
Oct
25
comment Market making: buy on bid/sell on ask
FYI, that answer has things reversed. Market makers buy at the bid and sell at the ask because they are passive traders. Buying at the ask, or lifting the offer, means you are aggressively taking liquidity and crossing the spread.
Oct
25
comment Categories of systematic trading strategies?
Market makers buy at the bid and sell at the ask.
Oct
22
awarded  Necromancer
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
I've added a bit more detail, hope that helps. Let me know if you want more clarification.
Oct
22
revised How do Order Management/Matching Systems match/allocate orders (and filled prices)?
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Oct
22
answered How do Order Management/Matching Systems match/allocate orders (and filled prices)?