2,936 reputation
1336
bio website fitnr.com
location Houston, TX
age 35
visits member for 3 years, 1 month
seen 23 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.


Dec
9
comment Market Discrepancy in ETFs
Please accept the answer if it resolves your question.
Dec
5
comment Single Most Important Fact about a Fund - Interview Question
I've no idea what answer they might be looking for, but that seems like an exceedingly stupid question to ask in an interview.
Dec
5
comment Forcing price to rise or fall by high volume buying and shorting
I don't think so. Spot FX is not regulated as far as I know. Your counter parties / ECN might not like it though.
Nov
29
comment open-source implementation of orderbook from FAST?
If the data is message by message depth of book data you can't get the best bid/offer without building and maintaining a book.
Nov
29
comment open-source implementation of orderbook from FAST?
Order books are all about priority.
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
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.
Oct
31
comment Price functions based on order book events
Nice paper, thanks for the reference!
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
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
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.
Sep
23
comment Trader's identity in a limit book
I wouldn't base my research on that inference.
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/…
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.
May
16
comment Add transaction costs to prediction
What exactly is your question? Obviously, positive transactions costs will reduce your profit.
May
5
comment Analyze raw tick data
If that is how your data looks, it looks more like trades than quotes. For it to be a quote you need a bid and an ask.