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Questions tagged [exchange]

The tag has no usage guidance.

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1answer
39 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 ...
0
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1answer
75 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
56 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
24 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 ...
0
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1answer
51 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
570 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 ...
1
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1answer
129 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
13 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
61 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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0answers
14 views

Where to find historical data on currency prices across exchanges? [duplicate]

I am looking for data on the prices of the exchange rates of various major currencies over the last 6 months. Preferably I would be able to find data on the exchange rates offered by various ...
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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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0answers
75 views

Can anybody help me understand this forward exchange rate data?

Bank of England provides data on forward exchange rates. I am a bit confused of what it means. Does a forward rate of 1.2883 in 26 June 17 (highlighted in red in the image) mean that in 26 June ...
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3answers
4k 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 ...
1
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2answers
78 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
49 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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0answers
57 views

Impact of option trading on the stock's trading volume

I want to investigate the impact of option trading on the volume of underlying stock: Can trading in the option affect the volume of underlying stock? Would that effect be positive or negative?
1
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1answer
66 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
43 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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2answers
325 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
317 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 ...
2
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1answer
143 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 ...
1
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1answer
114 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
95 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
161 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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0answers
92 views

Calculate breakeven price?

I don't really know if this is the right place to ask this, but here goes. I want to create an app that suggests trades on Poloniex(a currency exchange). It will do this based on your average ...
5
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2answers
124 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
37 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
108 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 ...
0
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1answer
210 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) ...
2
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0answers
46 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!!
1
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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
268 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 ...
4
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2answers
147 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 ...
0
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1answer
194 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 ...
6
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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
40 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 ...
2
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3answers
200 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 ...
1
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1answer
64 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. ...
1
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1answer
101 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?
2
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1answer
29 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
631 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?
0
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2answers
91 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
252 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
141 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
54 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
227 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 ...
2
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1answer
346 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....