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visits member for 3 years, 1 month
seen 5 hours ago

Sep
23
answered Trade Count Time Series
Aug
9
comment How to simulate cointegrated prices
possible duplicate: quant.stackexchange.com/questions/1027/…
Aug
8
revised How credible is Knight pointing the finger at Rule 107C?
add embedded link to charts
Aug
8
answered How credible is Knight pointing the finger at Rule 107C?
Aug
8
comment How credible is Knight pointing the finger at Rule 107C?
Here's a theory: nanex.net/aqck2/3525.html
Aug
4
comment Backtest pair trade strategy in R
(1) Your example is not reproducible. (2) You should NOT use all the data to calculate your hedge ratio (3) With intra-day data, you probably need to account for bid-ask spread (4) Do you really want returns? Most intraday traders use enough leverage that they care more about PnL than returns. (5) Once you have a signal for the spread, you can easily apply it to each leg separately. (6) Last I looked at the PairTrading package, I thought they got some things backwards. Maybe they just look at things differently than me, but I could not figure out how to get their results to match my own.
Apr
14
comment Is Visual Basic a fast enough for millisecond orders
VBA is not VB.NET. It's unlikely the OP is asking about VBA
Apr
14
comment Free intra-day equity data source
@DarrenCook. You couldn't get TRADES data for a week ago because IB does not provide that for FX. Try using whatToShow="BID", or whatToShow="ASK". Or, use the twsInstrument package (on R-Forge) to get 1 minute Bid, Ask, Mid snapshots (look at twsInstrument:::reqTBBOhistory)
Apr
8
comment Do you have historical tick data you want to donate?
From Dukascopy's website: "Please note: CSV data automatic download (robots, agents, etc) is not allowed. Your IP address will be blocked automatically at once and forever in case of failure to comply with these requirements." Alos, "It is prohibited to publicly display any part of the Data or disseminate it to any third parties."
Apr
8
awarded  Commentator
Apr
8
comment Free intra-day equity data source
@DarrenCook Flat-out wrong. They keep 1 year of historical data for equities. If you want hourly data, then you can only request 1 month at a time, but you can make 60 requests every 10 minutes. If you use R, look at IBrokers:::reqHistory for a wrapper to download 365 days of minutely data. (IB even offers 1 second bars if you're patient enough to respect the 60 requests every 10 minutes pacing rule)
Mar
1
awarded  Yearling
Feb
4
comment How to price a calendar spread option?
A calendar spread option is not the same thing as a calendar spread of options. cmegroup.com/trading/interest-rates/stir/…
Nov
20
awarded  Enlightened
Oct
29
answered How are limit orders selected from the order book?
Oct
28
answered How to normalize Futures data(different leverage) for cointegration test?
Oct
21
awarded  Nice Answer
Sep
10
comment What are the risk factors in analysing strategies?
@Quant Guy I'm not sure what question you are reading, but to answer your "question #1" the results are out-of-sample. You pick a strategy, and you look at historical data and see how well that strategy would have performed. He's not using any of that data to formulate the strategy.
Jul
26
answered How can I learn about the quantitative aspects of market making in illiquid single stock options?
Jul
14
awarded  Citizen Patrol