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seen Dec 20 '12 at 16:46

Information Aficionado


Oct
4
awarded  Autobiographer
Aug
4
awarded  Nice Question
Sep
19
awarded  Supporter
Sep
19
comment How to “uncluster” a set of financial data?
That's the thing - it HAS occurred at that point in time. Thats why I call it a meta test.
Sep
19
comment How to “uncluster” a set of financial data?
How could there be look-ahead bias when everything in the meta test has already occurred?
Sep
19
comment How to “uncluster” a set of financial data?
This is not true. There is no look-ahead bias. You are right that at the point in the when I enter the order I do not know how many orders will come in the next 30 minutes - BUT - I do know how many orders came in the next 30 minutes of SIMILAR orders to the current order - in the past. THAT is what I am evaluating and what I am basing my entry size on - it is a meta test.
Sep
17
awarded  Student
Sep
17
comment How should you manage lot sizes in this situation?
@Lliane I am not sure how I can do this because my entries/exists are dynamic. I can get an "average profit (or loss)" but not "maximum profit (or loss)" - but say I used that, where do I go from there?
Sep
17
asked How to “uncluster” a set of financial data?
Sep
17
comment How should you manage lot sizes in this situation?
@chrisaycock I had considered this, but I cannot think of a good way to apply those concepts that ends with lot management.
Sep
17
asked How should you manage lot sizes in this situation?
Sep
4
comment Techniques to optimize the placement of orders in market making strategy?
Are you the market maker or one of the "other traders?" I also do not understand what you mean by "the best" price... do you simply mean "lowest spread?"
Sep
4
comment Techniques to optimize the placement of orders in market making strategy?
What do you mean by 'buy and sell simultaneously at the best price'? Are you talking about grid-trading? Or are you talking about broker arbitrage? What markets, specifically?