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Oct
27
comment C# Broker API for FX Trading
free? Would you sit down for months, pay developers a bundle to write a systematic trading architecture, then let any anonymous person on the web use it without even registering their email address or other ID in order to follow up? There is no such interface that you are asking for, simple as that.
Oct
24
comment stock option strategies long vs short
there are standard market-accepted option structures and the definition of a long or short structure is well-understood. You can't create a custom structure and assume anyone understands the exact structure by just communicating it is long or short. You need to show the side of each leg that makes up your custom structure. Please see a recently raised question that is very similar to yours.
Oct
23
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Very interesting and I guess it goes in hand with what Brian described, I guess. I come from a slightly different direction in that we mico benchmarked and analyzed each individual fill, hence my ending up with two trades as per my example above. I find the way you described it definitely intriguing, though one issue I am worried about is loss of statistical metrics when defining a trade as essentially "going flat" rather than being able to get a finer-grained average price and the given fills absorbed into more trades. I guess I will ponder about it a little longer, thanks for the edit.
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Thanks for adding more color, it really helps. And of course I was also referring to fills in my above example, I edited to replace 'trade' with 'fill'.
Oct
22
comment Semi-strong efficiency and HFT
The statement that there are not many algorithms that are truly capable of computational linguistics is based on conversations with friends at other hedge funds. But I will change the wording a bit to "I believe...". My rather critical remarks targeted the notion that alpha can be generated off corrections off primary news events not the ability to extract alpha off the event itself. According to my own experience, most hft is almost entirely focused on hardware and related technology and very little on algorithm sophistication itself.
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Louis, thanks for adding your take. I get what you mean, and it answers the computation of cost to enter and pnl when releasing utilized capital. What would interest me beyond that is how your firm defines trades. Do you just end up in any given day with one big trade and one pnl or do you break it down into smaller trades and if yes by what metric?
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
While that looks neat and is called "excursion", it does not answer any of my question unfortunately.
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
No, I am asking about how trades and fills are managed on the liquidity taking side as part of a larger order management and risk management system. I edited my question a little to make it clearer.
Oct
22
comment Valuation of Mortgage Backed floating notes
more information needed. Provide details of the notes then maybe it makes it clearer what is necessary.
Oct
21
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Will take that into consideration. Thanks for your take on that.
Oct
21
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Some interesting concepts, thanks a lot. Regarding your comment on the "reduced position transaction" approach, I still believe you need to define a rule around that in terms of where to allocate the shares to. If you had two buy orders, got filled, and now get a fill on a sell order then you still need to decide where to allocate the shares to, hence my mentioning of FIFO. I like the last suggestion, though I would need to think a little more because most our strategy algorithms have very limited knowledge of fills. But logically it makes sense to have the algo define what constitutes a trade
Oct
21
comment VIX Calculations/Which product?
please see my answer, I think it makes it clearer
Oct
21
comment IB API quotes and speed
From what you are describing the problem lies with the fact that you use DDE which is an obsolete technology; connections often break or freeze. It should have nothing to do with the quotes you see on the front end vs. API. Solution is to utilize other technologies such as XLQ (I think they use RTD which is based on the Com interface and even that is not the newest technology but a lot more stable than DDE)
Oct
18
comment What is most reasonable approach to determine side of a multi-leg options order?
I told you about the market standard practice and it is what it is. I am not familiar with ISE PIM order types, but I am almost 100% that they do not attach a side to the whole structure because it would make zero sense. My hunch is that your structure enters a crossing-engine order book and anyone seeing your order can chose to be on the other side. I do not know whether counter parties are allowed to only trade part of the structure against you or whether they have to take up everything.
Oct
18
comment Is there a Bloomberg field for a bonds (upcoming) coupon dates?
You can get the next coupon dates as the previous answers and this shows. But I do not understand your comment about not wanting to deal with calendars. Bloomberg has also calendar functions with overrides where you can specify the locality and start and end date and hence get the number calendar and business days between the specified dates. What else do you need?
Oct
18
comment What is most reasonable approach to determine side of a multi-leg options order?
The structure you showed is a custom structure and generally there is no specific market standard structure that matches yours. It is not even evident whether your structure is gonna be delta hedged at the outset. Hence, one cannot say that any custom structure xyz is a buy or sell unless you refer to being long or short any of the greeks. And for that you need to provide more information (such as delta, gamma, or vega of each option) in order to determine whether your structure is net delta, gamma, vega long or short
Oct
15
comment Volatility Scaling
Your question contains contradictions. Once you (correctly) point out that volatility scales with the square root of time, then in your question you do not apply the same.
Oct
15
comment Volatility Scaling
@jessica, no the issue is that you have several thought errors in your questions. First you (correctly) point out that volatility scales with the square root of time, then in your question you scale by time and wonder why the result is not anywhere near the quarterly vol you stated...btw...are none of the 15 (x number answers provided) out of your 20 questions worth marking as correct? Maybe you could work a bit on your accept rate?
Oct
14
comment Physical Option Implied Distribuition
...but even a broken clock is right twice a day.
Oct
14
comment Physical Option Implied Distribuition
@Ryogi, I appreciate your point, but so is the pursuit of many other subject matters that may, however, never prove futile in actual trading or risk management. My point refers to the fact that some asset price profiles are of such dynamic nature that the derived real-life distribution may be applicable over a short period of time but it may change unpredictably in terms of properties and timing. What is the point to know what the true distribution of the underlying stock price is today if you cannot have confidence that such distribution applies tomorrow or to other stock prices.