2,766 reputation
1034
bio website fitnr.com
location Houston, TX
age 34
visits member for 2 years, 10 months
seen 14 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.


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?
Sep
9
reviewed Satisfactory Regression of Unequally Weighted Portfolio against a Single Index
Sep
9
reviewed Satisfactory Why is the mean time-dependent in the Hull-White interest rate model?
Sep
8
awarded  Yearling
Sep
5
revised For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
spelling
Aug
27
answered Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance?
Aug
26
comment How to compute the volume of an index from the volume of its constituents?
I am not 100% sure, but for some reason I believe to have read in the past that major equity indices consider only trades from the primary listing venue of the constituent. That might be an area to investigate.
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
Is this really relevant? Sounds like you need a new broker without a broken API. There is no real question here.