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seen Sep 9 '12 at 17:14

Sep
9
comment How to compute interest rate futures spread ratio?
Doesn't DV01 already account for notional value of the contract? It measures the change in the contract net value with 1 basis point change in interest rates. So why do we need tick size? It looks like we are doing the same thing twice.
Jul
10
comment how do we estimate position of our order in order book?
the question is independent of the exchange. The order of messages is random. So we need to estimate our position in the book...
Jul
10
comment What is an efficient data structure to model order book?
However, note that it will be less optimal when price levels are sparse and we care about every price level.
Jul
10
comment What is an efficient data structure to model order book?
Nice. I was thinking of a simple array based implementation. The best implementation in Quant Cup does something similar.