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seen Jun 18 '12 at 7:46

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.
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).