network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 11 months |
| seen | Jun 18 '12 at 7:46 | |
| stats | profile views | 4 |
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Jun 6 |
comment |
What latency should I use for backtesting a high-frequency strategy? Thank you. Colocation in Equinix, fibre line. We're still developing a strategy, so currently we cannot find X empirically. |
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Jun 6 |
comment |
What latency should I use for backtesting a high-frequency strategy? Thank you. Our strategy is a stat arbitrage strategy. Does "bid-ask crossing" mean that we are liquidity takers? We are going to take liquidity. We thought about random perturbation of quotes, but only with a same timestamp (ms resolution, once again). |
