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visits member for 2 years, 4 months
seen Oct 28 at 7:03

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


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?
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?
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
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.
Sep
23
comment Trader's identity in a limit book
Right it doesn't show quotes and traders identity (only after a trade we see traders' identity).
Sep
23
comment Trader's identity in a limit book
This might sound stupid but then how different is this from a dark pool?
Mar
30
comment From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
Great post. Would you have any recommendation on some works that take into account the evolution of the limit order book in the evaluation of optimal execution strategies?