2,636 reputation
1033
bio website fitnr.com
location Houston, TX
age 34
visits member for 2 years, 7 months
seen 13 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.


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)?
added 1316 characters in body
Oct
22
answered How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Oct
2
comment adjusted close prices on SP500
Just think of it this way: the adjustment value for date D is simply sum of all adjustment values from now until D.
Oct
2
revised adjusted close prices on SP500
header
Oct
2
answered adjusted close prices on SP500
Oct
2
awarded  Necromancer
Sep
23
comment Trader's identity in a limit book
I wouldn't base my research on that inference.
Sep
16
reviewed Approve suggested edit on IB TWS & API, without IB account?
Sep
15
awarded  Notable Question
Sep
11
comment Transaction Data with Participant ID
Also, to re-emphasize what @chrisaycock said: it is highly unlikely (near impossible) that you'll find an attributed data set worth anything. Even if you look at attributed orders in depth data, the MPIDs don't really tell you much since multiple traders can be behind a single MPID. Consider what you're asking: you don't care about the identity, just the behavior. Well, the behavior, not the identity, is what makes these traders money! Look for an alternate research route.
Sep
11
comment Transaction Data with Participant ID
He's probably referring to the Kirilenko papers: reuters.com/article/2013/04/24/…
Sep
9
reviewed Satisfactory Trend in Cointegration relationship
Sep
9
reviewed Satisfactory Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
Sep
9
reviewed Excellent Measuring and proxies for leverage in the financial system
Sep
9
reviewed Satisfactory What is the significance of Relative Risk Aversion
Sep
9
reviewed Excellent Cointegrating relationships - Johansen in R
Sep
9
reviewed Excellent How to most optimally perform currency conversions when backtesting on portfolio level?
Sep
9
reviewed Satisfactory Typical risk aversion parameter value for mean-variance optimization?
Sep
9
reviewed Satisfactory How to tune Kalman filter's parameter?