0
$\begingroup$

I have experience in trading but mostly in lower frequency quantitative trading. I've moved into HFT research and someone the other day mentioned markouts. I couldn't find anything online explaining what markouts are.

$\endgroup$
  • 1
    $\begingroup$ A Google search returned this as one of the top results iextrading.com/docs/… Seems like "markout" is used to refer to the virtual profit and loss of closing out a position after a fixed time using a specific rule (e.g. mid / other side / ...). See Section 5.1 in the paper for details. $\endgroup$ – LocalVolatility Sep 3 '18 at 15:42
2
$\begingroup$

I've heard it more commonly called a "markup", but either way, it's the difference between a current price (e.g. a trade price) and some microprice (midpt, or some fancier fair-value estimate) at some time in the future, typically some number of seconds, or quote updates. Sometimes people refer to just this future micro-price as the markup. It's used at the target value for fitting high-frequency models.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.