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visits member for 2 years, 4 months
seen 6 hours ago

PhD student. New to a lot of stats software but love learning all about them. Aiming to learn down the road Python.


Oct
11
awarded  Yearling
Oct
3
answered Time Lag for Market Inefficiency
Sep
24
awarded  Autobiographer
Aug
5
asked News on ETF sector performance
Aug
3
accepted VIX intraday data
Jan
21
comment Disclosure of the liquidity provider identity in ITCH
Thanks! that was very clear. Would you know why the MPID for trades on off-exchange (the ones that are reported to FINRA) are proprietary information?
Jan
21
asked Disclosure of the liquidity provider identity in ITCH
Dec
11
asked VIX intraday data
Nov
29
answered constructing best bid/ask from NASDAQ TotalView-ITCH data
Nov
26
accepted Deep bid ask orders
Nov
25
comment Deep bid ask orders
When does the SEC steps in to "break" the trade if an algo goes crazy? What rule do they follow?
Nov
25
asked Deep bid ask orders
Nov
6
awarded  Teacher
Nov
6
answered How to value VIX Option?
Sep
29
accepted Trader's identity in a limit book
Sep
27
comment Transaction Data with Participant ID
The best paper that had HFT IDs was the paper by Adam Clarke Joseph on exploratory trading: nanex.net/aqck2/4136/exploratorytrading.pdf But now the CFTC closed all the data access to academics
Sep
27
awarded  Scholar
Sep
27
awarded  Supporter
Sep
27
comment Trader's identity in a limit book
@LazyCat thanks for the suggestion!
Sep
23
comment Trader's identity in a limit book
@LazyCat say that you have nanoseconds timestamps, and one party takes all three levels, then we should see almost one or zero nanosecond that separates all three trades and hence we could infer that it comes from one party.