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Jan
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awarded  Yearling
Jan
3
reviewed Approve Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
Dec
2
answered How to understand this tickdata `askvolume` and `bidvolume` fields?
Nov
11
reviewed Approve Smoothing factor of Exponential Moving Average
Nov
7
answered Order ID or Broker information from TAQ or Limit Order book?
Nov
5
reviewed Approve What is the expected rate of return from paying 1 today for a 50/50 bet receiving either 2 in year 1 or 0.5 in year 2?
Nov
3
answered Cheat/sheet summary of financial laws and regulations
Oct
19
answered What are the causes of incorrect prices in the market?
Oct
18
answered What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Oct
18
answered Switching from C++ to R - limitations/applications
Oct
17
reviewed Approve What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Oct
17
reviewed Approve Switching from C++ to R - limitations/applications
Oct
16
answered Sharpe Ratio versus Cumulative Returns
Oct
9
answered What is an acceptable Sharpe Ratio for a prop desk?
Oct
5
answered Buy side techniques
Oct
5
reviewed Approve What are the advantages of financial modelling in R?
Oct
1
answered What information should be delivered to the client so they have enough information to manage their exchange rate risks?
Sep
29
reviewed Approve What data sources are available online?
Sep
23
reviewed Approve Seeming arbitrage in excess reserves
Sep
23
comment Real-time Tick Filtering
It depends what you're trying to achieve with this filter and how downstream in your application this is, e.g. if this is an 'infrastructural' filter rather than a piece of your strategy logic. An obvious hint is that eps_ticks should vary by symbol and time.