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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.
Apr
29
comment Is there an all Java options-pricing library (preferably open source) besides jquantlib?
Why is it better? Your answer would be significantly improved if you add a few points along these lines.
Apr
21
comment Is the Interactive Brokers API suitable for hft?
You can't use directed orders with the cost plus plan. If you're not directing your orders, you're not a high frequency trader.
Apr
15
comment Is the Interactive Brokers API suitable for hft?
Sorry, you've apparently missed the point entirely. Please re-read my answer. IB imposes significant fees and restrictions on directed orders. If you're using SMART, you're not a high-frequency trader.
Apr
15
comment Is the Interactive Brokers API suitable for hft?
Who said anything about quote stuffing?
Mar
3
comment Is it worth preserving orderbook structure when building it from individual orders?
@Freddy OUCH is used for order entry, not market data. The relevant NASDAQ market data protocol is TotalView ITCH.
Mar
3
comment Is it worth preserving orderbook structure when building it from individual orders?
@DmitriNesteruk What feed are you taking in? NYSE OpenBook is a level, rather than order, oriented feed. Perhaps you're using that? I don't know any other US equities feed that isn't order based. In which case you're situation might dictate a different design. Your implied above it was an order based feed by stating you had the ability to separate the orders into their aggregate sizes.
Dec
9
comment George Soros models
Because @MichaelJ added an answer, so it popped onto the frontpage. If you have something to contribute, go for it.
Nov
24
comment Long-term vs short-term strategies \ investing
@John You should consider adding that as an answer with a summary of the conclusions in the paper.
Nov
23
comment Calculating log returns using R
@VishalBelsare you should add that as an answer.
Nov
22
comment Is equity market making a game of speed?
This paper deals mainly with liquidity taking models, from what I can tell. It's an interesting read, none the less; however, it's more relevant to a question around alpha decay of a signal than it is to the impact of speed on the profitability of market makers.