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

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.


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.
Nov
22
comment How to simulate stock prices using variance gamma process?
@AshwaniRoy I edited the answer and convereted the first equation to $\LaTeX$ for you so you can use it as an example to convert the other and future. Thanks for taking the time to answer!
Nov
19
comment Why would a trader quickly flicker an order immediately preceding a tick away?
The post only order is treated as Price to Comply when it would lock/cross another protected quote it is booked at 15.16 but displayed at 15.15. If the order isn't re-entered at 15.16 then all displayed bids that join the new level at 15.16 will have priority. There really is no hope of execution at 15.15 given the state of the market, at least not in the immediate future since the tick is "imminent". OUCH ports can be configured to automatically re-enter Price to Comply orders that were slid for this reason to avoid the add/cancel spam. I'm not sure why this trader doesn't use that feature.
Nov
18
comment Testing for stock market herding over short periods
Welcome to Quant.SE. You might consider registering as it may prompt some others to seek out an answer if they know you're a part of the community.
Nov
18
comment What kind of return can an average algorithmic trading firm achieve today?
Welcome to Quant.SE, thanks for posing your question. We're trying to grow the community so please keep coming back and participating.
Nov
18
comment Why would a trader quickly flicker an order immediately preceding a tick away?
Kevin, that sounds like a good explanation. Can you add that as an answer?
Nov
17
comment Why would a trader quickly flicker an order immediately preceding a tick away?
No, I don't believe so. I just spot checked a few instances and did not see a case where the orders alternated back one level. They stayed at the current bid level. There are no executions, it is an out-right cancel.
Nov
17
comment Why would a trader quickly flicker an order immediately preceding a tick away?
No, the quote stops flickering after the ask gives way and the spread widens.
Nov
14
comment What are the common trading systems for hedge fund automated trading?
This question really isn't constructive and should be closed. The question is unclear. Is @zaestau asking for "common types of models" or "common infrastructure" such as execution management platforms, etc? Further, is there really any correct answer? I suggest closure unless the question is heavily edited and reposed.
Aug
13
comment What is the best live options data API?
Your best bet is to call them up and ask.
Jul
18
comment Use of AI in portfolio optimization
They are most definitely NOT on the forefront of this. Remember, a big part of a hedge fund's success is marketing. Without marketing to raise money you have no fund. Catchy buzz words and heavily spun articles about the genius behind the system make it easier to raise. See previous stores on the "Twitter" hedge fund, etc.