Questions tagged [exchange]
The exchange tag has no usage guidance.
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Does EFP (Exchange Futures for Physical) Involves Cash Exchange?
I am new to the concept of Exchange Futures for Physical (EFP). According to some sources (link),
An Exchange for Physical (EFP) is a transaction involving the
simultaneous exchange between two ...
4
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3answers
91 views
Would it be fair an exchange where priority in the order book is the fee paid per share in the order?
Instead of matching orders in the order book by price then time, what are the consequences if orders are prioritised by price then fee paid per share in the order?
An idea similar to the way ...
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1answer
42 views
Do option contracts inherit the currency and exchange of the underlying?
Given an underlying (e.g. future or an index), would options on that underlying trade in the same currency and on the same exchange?
For example, options on FTSE100 index itself would trade in GBP on ...
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1answer
100 views
How does an exchange guarantee both legs of a calendar spread are executed atomically to give a specific spread?
In commodities/oil you have monthly contracts for a given Future, e.g. on CME the Crude Oil Futures (CL) monthly contracts can be trades, and have Globex codes such as CLZ8(Crude Oil Dec18 Future), ...
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1answer
58 views
Is there any literature on how stock exchanges guarantee consistency?
How do we know that artificial shares of some stock aren't created (perhaps going untracked) on exchanges. After all being man made digital systems they are prone to errors.
An example:
Suppose a ...
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0answers
29 views
Practical Latency in NBBO
Can someone detail the steps of publishing NBBO bids and offers on the National Market System (United States)?
For example, I was reading about the new (2010) alternative uptick rule implemented by ...
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1answer
54 views
QQQ fillings history
I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
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0answers
1k views
Finding ETF Symbols for alpha vantange
I'd like to use the api of https://www.alphavantage.co/ which is pretty well documented, in terms of avaliable functions (but not parameters).
However, in order to get an API response, one needs to ...
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1answer
145 views
Why does the EUR/USD exchange rate is in fact USD/EUR from a mathematical point of view?, why finance does not use the mathematical notation?
I found this answers: https://www.quora.com/Why-is-the-EUR-USD-traded-like-that-and-not-like-USD-EUR, but I'm not quite satisfied, I still do not understand how arranging them according to "most ...
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0answers
14 views
Listed Company's Filing Deadline
Where could I get historical record of listed company's filing deadline that announced by SEC of Asia country & US?
I could get the latest deadline from respective SEC websites, but not changes ...
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2answers
75 views
What is the priority of the waiting non-matched bets, when a match becomes available in Betfair?
Say the back price (odds) on a market is $2.5$.
Then the following time sequence happens:
Bettor $A$ places a back bet with price $2.6$, for $\$100$ (it will not match)
Then bettor $B$ places a ...
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2answers
158 views
Literature recommendation on extreme asset price movements
I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.
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3answers
7k views
Symbols for DAX from Alpha Vantage
I found the website https://www.alphavantage.co as an alternative for yahoo finance stock API.
I am interested in the top 30 DAX symbols, but I seem to cannot find them on Alpha Vantage. Is there a ...
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2answers
88 views
Does all (or any) exchange eats the positive difference between a buy order and a ask order?
Say Alice asks for 100 for 5 stocks, Rob asks 101 for 5 stocks.
Bob really wants to buy the stocks, so he bids $101 for 10 stocks.
Does Bob actually pays 100 * 5 + 101 * 5 + fee, or 101 * 10 + fee?
...
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2answers
52 views
How Market Exchange and Vendor entitlements/permission works?
I would like to know how market data entitlement and permissions works at Vendor level and exchange level?
if our firm receive Realtime data from Vendor or
directly from exchange..
What permissions ...
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1answer
72 views
Where can I see the bid stack for FX?
In trading FX binary options on brief tenors like 1 hour, I frequently see the FX price bounce right on the expiry boundary, like hourly or 20 minute boundaries.
I would like to figure out if these ...
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0answers
45 views
Are there any exchanges which match orders in timed intervals?
When an exchange works with an electronic order book and a matching engine, it usually tries to match orders in realtime during trading hours. That means when a new order comes in, it tries to match ...
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4answers
463 views
is there any alternative to FIX protocol
I have heard that FIX is one of the most widely used protocols for communication of securities exchange systems (correct me if its not!!).
My question is: is there any other well known protocol like ...
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3answers
453 views
Black & Scholes doesn't give current option market price
I'm trying to use the Black & Scholes to calculate the price for some options on the CBOE, but I'm having a hard time matching what I calculate with what i see on the market.
As an example I took ...
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1answer
155 views
What makes open-outcry preferable to electronic trading and what are its consequences?
I recently visited the trading floor of CBOE where especially the pits of SPX and VIX are relatively crowded and open outcry is still performed. I was surprised to hear that the traded volume is non ...
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1answer
134 views
How do exchanges decide the tick sizes?
How do exchanges decide the tick sizes? I wonder which factors are taken into account to make the decision.
I know that from time to time tick sizes are changed, e.g. https://web.archive.org/web/...
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0answers
102 views
How do I estimate opening call auction order book for equities?
The opening call auction crossing order book is partially sealed, i.e. only the specialist can see quotes.
Is there a stock exchange where this data is available later to simulate the matching ...
3
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1answer
170 views
Rationale behind trading exchange-traded vs OTC products?
Let's say I am running a fund and I want to place some bets on the market (i.e. speculate) or hedge my current positions.
Starting from this, what would be my incentives to go for exchange-traded ...
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2answers
127 views
How is the “probabilities sum to $1$” rule enforced in betting exchanges?
Suppose that I am interested in a market on a betting exchange for the outright winner of some event, with three competitors, $A, B$ and $C$ with corresponding probabilities of winning $a, b$ and $c$. ...
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0answers
39 views
Model for target zone exchange rates
I just found a stochastic model for target zone exchange rates
$x_{t+1}=x_t+k+r(x_t-y)+ \tilde{\epsilon}$
where k is a drift term so equal $r-r_f$
r is lean againt the wind coefficient that ...
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2answers
116 views
Understanding the downsides in of trading in smaller exchange
I've been algo trading a small portfolio within NYSE for about a year now. And while do end up running positive P/L results are far from spectacular.
I ran a test using my strategy in OMX Stockholm ...
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1answer
234 views
How is the Blockchain.info Bitcoin Market Price Calculated?
I am about to apply traditional univariate GARCH tools to analyze the volatility of the Bitcoin - US Dollar exchange rate.
The index that I would like to investigate is the Bitcoin Market Price (BMP) ...
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0answers
54 views
cross currency swap expiry principal amount
Quick question on cross currency swaps. On expiry, principal payments are exchanged again. What happens when on expiry, the exchange rate is not the same as when the swap was first entered into?
The ...
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0answers
32 views
Is there a reliable International Currency Exchange rates provider in JSON format
I am looking for a currency exchange rate provider (preferrably) JSON format , that is free/open and also reliable.
Anybody here have any experiences working with some solutions like this?
Cheers!!
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1answer
34 views
Data on morocco exchange reserves
i'm trying to do some tests on exchange market pressure of morocco
Where can i find data on morocco exchange reserves
thanks
3
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1answer
280 views
FX options pricing exchange rate regimes
how can we estimate the impact of a exchange rate regime switch ( from fixed to float) on the options prices i'm talking about the moroccan case (EUR/MAD USD/MAD) options OTC , is there any stochastic ...
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2answers
159 views
Liqudity and Blockchains: How does settlement time affect real trading?
I am not sure, whether this question is on-topic here, but it is microstructure related, is of concern to practitioners and addresses a question which is often debated in academia.
When it comes to ...
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1answer
67 views
Do exchanges issue position ID after order execution?
The portfolio has two types of positions: asset and cash positions. Cash positions are easy. One currency has only one position, so you can add and subtract easily. Asset positions seem to be more ...
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1answer
216 views
Why circuit breakers can't prevent a flash crash
Sorry if this is a silly question.
It is my understanding that modern exchanges have "circuit breakers" which halt trading for a duration of minutes when there is significant volatility / price ...
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1answer
11k views
Understanding the GDAX price chart [closed]
I'm a beginner looking at the USD-BTC price chart on gdax:
https://www.gdax.com/trade/BTC-USD
It looks like this:
I'm trying to work out what the top graph means. Can anyone tell me what each of ...
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0answers
42 views
Deming Regression
I am trying to test the linearity = interdependence or the non-linear (contagion) between Asian countries during the Asian crises using the fluctuation of the exchange rate.
Is it relevant to use the ...
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3answers
207 views
FIX latency and clock syncronization
We are trying to see latency from our server to different LPs
.
For that we are checking sendingtime value (from them) and current clock in our server.
What we saw is difference of +-20ms between ...
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1answer
66 views
Purpose of ISOs
Why was ISO (Intermarket Sweep Order) introduced? I read that it was introduced to help fill large orders. Some explanation is here: http://tabbforum.com/opinions/why-hfts-have-an-advantage-part-3-...
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1answer
335 views
where to get shares trading info [closed]
I have no idea about finances, trading and other things.
But very interested in passive long term income.
I've read many things about how cheap was microsoft, google, facebook shares in the past.
...
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1answer
103 views
Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size?
Is it to protect against overfills? Can anyone explain in simple terms?
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1answer
30 views
Source of market or security attribute information?
There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
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4answers
641 views
If I have found a way to predict stocks trend with 58% accuracy, is it good?
Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?
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2answers
92 views
returns of Bonds and exchange rates
which are the best distributions in order to model the bonds and exchange rate returns distributions. I am searching for a distribution such as the log-normal one of the stocks ( N(m-0.5*v),Sqrt[v])
3
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4answers
256 views
Obtaining intra-day values of the EUR-USD exchange
I need for my project the values of the EUR-USD exchange (both intra-day and ticker). I've been playing around with the Yahoo's YQL API and at this moment I can obtain the current value of the ...
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0answers
144 views
Filtering my own orders from a UDP multicast market data feed
I am wondering what is the policy practiced by most exchanges from different market segments (FX, equities, futures, etc.) about the privacy implications of order identification in their market data ...
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0answers
57 views
EDGX, EDGA, Nasdaq and Bats-Z Pricing in 2011
I'm trying to find the fee and rebate structure of these 4 exchanges during year 2011, in the specific, I'm interested in the cost of posting a hidden Limit Order, in the cost of removing a visible ...
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2answers
236 views
Has automated trading produced profits at IEX?
Is there evidence that automated trading is profitable on the latency-enforced portion of the exchange?
On the one hand, if automated trading was profitable when these limits existed naturally, it ...
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1answer
372 views
Reuters RIC chain for Eurodollar midcurve options [closed]
Can someone please tell me what this is?
Thanks.
Edit:
The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, GE4....
3
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1answer
683 views
Which sports are generally the best for trading on betting exchanges for a profit?
I am looking at trading bets on tennis, football and horse racing in particular as these appear to have the most liquidity.
How much background research and how much trial and error is generally ...
2
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2answers
158 views
How to obtain a log of all trades done on the Nasdaq or other major US exchange?
I'm looking to do a research paper on the impact of high frequency algo-trading on individual firms.
In order to do that I need to be able to determine firms that have been high frequency traded.
My ...
