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visits member for 2 years, 8 months
seen Aug 21 at 12:03

Jan
12
awarded  Popular Question
Jun
17
comment At what volume would you move the price at the opening auction?
I don't even understand the question. Do you mean how to measure the price impact of an order at the opening, conditional on its size? What is you reference price?
Dec
16
awarded  Yearling
Jun
22
comment Position management in presence of continuous forecast
A paper on inventory management: arxiv.org/abs/1206.4810
Jun
21
accepted Position management in presence of continuous forecast
Jun
18
answered Position management in presence of continuous forecast
Jun
17
comment Position management in presence of continuous forecast
If the strategy provides liquidity and doesn't cross the spread too often, then it shouldn't incur too much cost, even when trading continuously. By waiting the end of the period, the strategy is bypassing all the opportunities that might rise during the previous signal window.
Jun
17
awarded  Critic
Jun
15
comment Position management in presence of continuous forecast
Ideally I would like each signal to be independent, because that's how the model was developed. Also I think it makes sense to continuously aggregate positions for a liquidity providing strategy: by entering long and short orders every second the net position should revolve around flat. How about maintaining two separate long and short position targets with a time expiration? $t_{60},...t_{65}$ would have a short position target 100 as a result of the second short signal and a long position target 0.
Jun
15
comment Position management in presence of continuous forecast
@QuantGuy Each signal is independent. It does not depend on prior signals.
Jun
15
comment Position management in presence of continuous forecast
@QuantGuy Added extra information at the end of the question.
Jun
15
revised Position management in presence of continuous forecast
Added some extra strategy information based on QuantGuy comment
Jun
15
revised Position management in presence of continuous forecast
Fixed order entry second values for 1 minute forecast window
Jun
15
revised Position management in presence of continuous forecast
Minor syntax editing
Jun
15
asked Position management in presence of continuous forecast
Apr
20
comment How are limit orders selected from the order book?
Thanks, it's very clear from the fact sheet that DMM and floor brokers have a time priority privilege.
Apr
20
comment How are limit orders selected from the order book?
I know, basically DMM and floor brokers have an unfair advantage compared to everybody else (DOT) because their time priority is only relative to other floor brokers. I thought the privilege was only granted to DMM "to maintain a fair and orderly market".
Apr
19
comment How are limit orders selected from the order book?
I knew about the NYSE DMM "parity" rule, but didn't realize it also involves the first-come floor broker order. Is it still the case?
Mar
19
comment Historical Level 2 Data (Market Depth)
Collecting the data yourself also means decoding the native exchange formats. Depending how many exchanges you need, this goes a long way from buying normalized data from vendors.
Mar
15
comment Historical Level 2 Data (Market Depth)
I wonder how automatedtrader.net is able to sell native exchange data. Each exchange sells its own historical data and usually they are very restrictive about the distribution rights. You might want to compare those 3rd party prices against the exchange offer.