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Oct
30
comment How to compare volatility models?
I read the question as a request to compare the accuracy/predictive power of each of the volatility models not with each other but with the actual realized volatility. In that I agree with Shane in case I understood what we tried to say and hence my rather cynical first comment (because I resort a goodness-of fit test, regression result reading to being an elementary part of each quants' arsenal of analysis tools that I did not believe it warrants explaining).
Oct
29
comment How to compare volatility models?
Compare future forecast volatility with future realized volatility...done....
Oct
29
comment How to think about dollar volume in Eurodollar futures?
thats basically the value of 100 basis points. (1 basis point value: $1,000,000 * 90/360 * 0.01% = $25). Thats basically saying that if the quoted price of the Eurodollar future is 100 with a multiplier of 2500 then the dollar value of 1 contract is $1,000,000 (you need to reflect the 90-day contract specification and hence multiply by 4).
Oct
29
comment Calculating Greeks in Covered Calls?
Just my 2 cents, should my hunch be right that you are a developer haunted with the daunting task to implement financial options concepts without a clear road map then I highly recommend you to go back to your project manager or trading desk head and ask them to walk you though all the concepts themselves. That is not your job and you should not have to bother with that. Its as if a trader is asked to program an FPGA board. Ask them to give the formulae and functions to you and be available to answer any finance theory related questions...
Oct
28
comment How to think about dollar volume in Eurodollar futures?
What is your question? You just walked through the (correct) calculation of notional value yourself. In the specific case of eurdollar futures your contract multiplier is $2500 (CME) and the number contracts traded 73k. You should consider the dollar value that is settled and ED is cash settled. So, it depends on whether you are interested in notional, defined in the same way as notional when the contracts are settled or whether you are interested in notional of the underlying interest contracts. The choice is yours. I would go with the former.
Oct
27
comment C# Broker API for FX Trading
Most brokers you mentioned are exclusively targeting the retail crowd with wide spreads, low liquidity, last look, delayed fills and a host of other shennenigans. But I am glad you found the answer to your question yourself
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.