Questions tagged [exchange]

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Complete formula for calculating forex pip value for XAUUSD with account funded in euros

I'm currently developping forex robot using Python API for Metatrader 5. Among different things, this robot places trades given by external signals (with price, SL and TP). I use euro funded account, ...
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5 votes
2 answers
690 views

Dynamics of FX rate

I've see a couple of places where a FX rate, denoted $X$, such as EURUSD (quoted as "the number of USD needed to buy 1 EUR") is modeled with a diffusion process / Geometric Brownian Motion ...
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2 answers
183 views

For options on futures why is there no discounting?

Apparently for options on futures there's no discounting. Why is that, how do we demonstrate that, and , I would have thought the rate of interest the exchange pays you on your margin would have ...
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30 views

What are step size and tick size in a crypto exchange context and how use them to round trades?

I got a question to solve at university, and for that I need to understand the concepts of step size and tick size in a crypto exchange context, with some given values I must be able to round possible ...
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2 votes
1 answer
133 views

Why a company can have one stock on NASDAQ and one stock on OTC?

ATRO is traded on NASDAQ. https://finance.yahoo.com/quote/ATRO ATROB is traded on OTC. https://finance.yahoo.com/quote/ATROB I don't understand why a company has one stock on NASDAQ and one stock on ...
1 vote
1 answer
97 views

Exchange vs Order-Driven vs Quote -Driven

I have never understood the implications of a quote or order-driven market. When I look up securities on google in a way to see their prices, is that price the price of the exchange? the price of a ...
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0 answers
106 views

Why do we need a brokerage?

I understand that there exist direct stock plans that allow you to buy shares directly from a company. However, these have obvious and large downsides, so we can disregard them. Furthermore, I am not ...
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75 views

Interest Rate Options - OTC vs Exchange, vol difference

I understand that Exchange Traded Interest Options (USD Libor 3m or Euribor 3m) trade with a lower volatility than the respective Cap or Floor for an equivalent structure. Can anyone give any colour ...
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1 answer
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Do IOC Orders Stay on the Order Book for Any Period of Time

I'm confused on whether or not an IOC (Immediate Or Cancel) order will stay on the order book for any period of time. For example, if I place an IOC buy limit order at \$1.00 and the ask price is $1....
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0 answers
73 views

Do currency exchange rates mean revert?

I am trying to understand to what extend holding stocks in a foreign currency (such as USD) in a developed country (such as the UK) over the long term (say, over 15 years) exposes one to currency risk....
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5 votes
1 answer
432 views

Is publication of Black-Scholes in 1973 and founding of CBEO in 1973 coincidental?

Apparently, CBOE was founded in 1973 and opened on 1st January that year (source = Google), to start trading listed options. The famous Black-Scholes paper was published also in 1973. I am wondering ...
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4 votes
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113 views

Why exchange basis exist in swaps

For example, swaps traded in CME versus LCH are quoted with slight difference? how do we decide the theoretical boundary of the basis ? what factors need to be consider? I think the principal to ...
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1 vote
0 answers
42 views

What types of messaging middleware solutions are used by the biggest exchanges like Nasdaq, NYSE, ICE, NYMEX, Japan Exchange Group, Euronext, etc?

Exchanges are famous for having to deal with a huge amount of messages. For example, some years (decades?) ago Nasdaq has migrated their reliable UDP protocol from 32-bit, which could support sequence ...
-1 votes
1 answer
364 views

Exchange code used by Yahoo Finance

I see the following code in the exchange column of the lookup page. https://finance.yahoo.com/lookup/ Example tickers are in the parentheses. ASE (ZOM) * BTS (CBOE) * NCM (ZYXI) NGM (ZYNE) NMS (ZY) ...
2 votes
2 answers
314 views

How to price the FX forward contract under stochastic interest rates?

Imagine that space Z is exposed to the FX risk (i.e., currency exchange rate risk ), and we aim to provide a hedging solution for that. One choice is to consider a currency-forward contract. I wonder ...
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4 votes
1 answer
293 views

Ensuring market order creation idempotency

I am trying to find a way of placing market orders on crypto exchanges in an idempotent way. Specifically, I want to ensure that retrying the same request does not cause another order to be placed. ...
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0 votes
2 answers
149 views

Can you perform covered interest arbitrage when the forward rate is too low?

In covered interest arbitrage, if the forward rate is too high, you can (i) exchange domestic for foreign currency today (ii) invest at the foreign deposit rate (iii) exchange back to the domestic ...
0 votes
0 answers
24 views

GET REAL TIME CURRENCY EXCHANGE RATE [duplicate]

I need to get currency exchange rates in real time, every seconds. On websites or when using APIs, the rates are only updated every minutes, or every 30s... Is there any way I can get these datas, ...
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0 answers
65 views

To what degree is volume correlated with price impact?

There is question from 2017 here but the answer given doesn't really go into any detail. How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading ...
4 votes
1 answer
506 views

Using market microstructure and exchange-specific knowledge to design trading strategies

I stumbled upon this job offer for Microstructure Performance Researcher and I didn't understand the parts below. (https://www.optiver.com/working-at-optiver/career-opportunities/2551339/) The parts ...
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1 answer
233 views

When will a stock exchange suspend trading because of a short squeeze?

I don't completely understand why the NYSE suspended Piggly Wiggly Co., because I don't think the NYSE suspends stocks for short sellign in general? I boldened the key sentence below. Will the NYSE do ...
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0 votes
3 answers
125 views

How to track dates when new strikes are added to option chain for any underlying

I believe exchanges try to maintain some range of ITM/ATM/OTM issues for a particular underlying/expiry pair. Eg minimum 5-1-5 to maximum 10-1-10, so there are atleast 5 OTM issues and maximum 10 OTM ...
2 votes
2 answers
160 views

What's the difference between a stock trading on an exchange and a stock being listed on an exchange?

As I recently learnt, all U.S. stocks are part of either Tape A, Tape B or C. Stocks listed on the NYSE are on Tape A, NASDAQ-listed stocks are on Tape C and everything else is on Tape B. Of course, ...
2 votes
0 answers
93 views

what is the exchange rate Expectation? I am confused about it

Suppose now the rate of EUR/USD is 1. and in half-year, maybe become 1.25EUR/USD, or 0.8 EUR/USD, the probability of each case is 0.5. what's the Expectation of EUR/USD in half-year? And, what's the ...
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2 votes
1 answer
253 views

D-Limit and Crumbling Quote Indicator

I've been following the development of the D-Limit order at IEX for some time. In the last couple of days I see the SEC has been sued by Citadel Securities for approving this order type. Can anyone ...
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0 votes
1 answer
196 views

How Crypto Exchanges handle overlapping orders when self trading is disabled?

I am unsure how a typical "matching engine" handles overlapping orders (in my case, Deribit). I would be just as interested in how any crypto exchange handles the situation. The user has ...
2 votes
1 answer
165 views

What would be the point of Roll (1984) on measuring the effective bid-ask spread?

If you look at the original paper of Roll (1984), he explains that part of the transaction costs borne out by investors would be the bid-ask spread and that it was "fraught with measurement ...
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2 votes
2 answers
233 views

Exchangeability of random vector

I hope you can help me with this rather basic question that I asked myself. A random vector $(X_1,...,X_n)$ is said to be exchangeable if it has the same distribution as the permuted random vector $(...
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1 vote
1 answer
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how to model the volatility of the currency exchange rate

I want to estimate/predict the volatility of the currency exchange rate. I have checked in literature a few models from very simple PPP to econometric factor model forecasting, to GARCH (for ...
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3 votes
1 answer
549 views

Where can one get data concerning ETF holdings and changes in their holdings?

I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
5 votes
3 answers
156 views

Volatility of Exchange Option

I got a question and its partial solution, and have some doubts about the volatility of its geometric Brownian motion process: Question: How would you price an exchange call option that pays $max(S_{...
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1 answer
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What does volume dimension means?

In an exchange documentation, I see a definition for Volume Dimension parameter, Volume dimension: Shares are normally traded in Quantity, bonds in Nominal. Ok I can understand quantity but what ...
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1 vote
0 answers
60 views

CME Futures used in building LCH USD swap curve

To build a LCH swap curves, common benchmarks include cash rates, euro dollar futures and swaps. However, the euro dollar futures only exist in CME. So when you use euro dollar futures (only exist in ...
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0 votes
1 answer
82 views

Why does an exchange (IEX) need connection to other exchanges (like information about average prices)?

I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
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0 answers
55 views

API for Stock Exchange and their Indexes data like Bloomberg [duplicate]

Actually I am looking for an API for stock exchange and their indexes data, And want to show data like this https://www.bloomberg.com/markets/stocks I searched various API provider, like ...
1 vote
0 answers
109 views

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 votes
3 answers
141 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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1 vote
1 answer
73 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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0 votes
1 answer
324 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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0 votes
1 answer
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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 ...
1 vote
1 answer
90 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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4 votes
1 answer
9k 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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3 votes
2 answers
569 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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2 votes
0 answers
16 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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4 votes
2 answers
274 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 ...
5 votes
2 answers
184 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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4 votes
5 answers
29k 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 ...
2 votes
2 answers
118 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? ...
0 votes
2 answers
76 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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2 votes
1 answer
157 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 ...