Questions tagged [exchange]
The exchange tag has no usage guidance.
75
questions
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1answer
50 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
0answers
92 views
Would betting on network node traffic or behaviour be considered illegal in the US?
While taking this intro Coursera class https://www.coursera.org/learn/financial-markets-global. There was a student which asked the professor if anyone can start an exchange and whether it would be ...
1
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1answer
47 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 ...
2
votes
2answers
178 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 $(...
1
vote
1answer
52 views
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 ...
2
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1answer
47 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 ...
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0answers
31 views
Change of numeraire in exchange options with random interest rate
At time $t$, the market offers a (possibly random) bounded interest rate $r_t$ and two assets whose prices are given by
\begin{align*}
{{\rm d S^{(1)}_t \over S^{(1)}_t}} &= b^{(1)}_t d t + \...
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0answers
33 views
Are all companies that are part of an exchange required to trade on all trading days?
For example, if today is a trading day for NYSE or NASDAQ, does that mean that all companies which are part of these exchanges must allow stocks to be exchanged on that day? Can companies choose to ...
5
votes
3answers
124 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_{...
0
votes
1answer
61 views
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 ...
1
vote
0answers
45 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 ...
0
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1answer
72 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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0answers
52 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 ...
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vote
0answers
65 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
3answers
121 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 ...
1
vote
1answer
53 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
votes
1answer
211 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), ...
0
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1answer
63 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 ...
1
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1answer
66 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?
2
votes
1answer
5k 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
vote
1answer
242 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 ...
2
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0answers
15 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 ...
4
votes
2answers
129 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
2answers
174 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.
4
votes
5answers
19k 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
2answers
95 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
2answers
62 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 ...
2
votes
1answer
110 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 ...
2
votes
0answers
47 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 ...
0
votes
4answers
921 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 ...
0
votes
3answers
700 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
votes
1answer
181 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
165 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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vote
0answers
109 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
votes
1answer
181 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 ...
4
votes
1answer
173 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
41 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 ...
0
votes
2answers
133 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
votes
1answer
243 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
57 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
33 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
vote
1answer
39 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
votes
1answer
295 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
votes
2answers
170 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 ...
0
votes
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 ...
1
vote
1answer
263 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
48 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
votes
3answers
229 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
vote
1answer
70 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-...
