Questions tagged [exchange]

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22
votes
4answers
6k views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
8
votes
1answer
1k views

Why would an exchange choose one matching algorithm over another?

There are a number of different matching algorithms at different exchanges. Time-based FIFO is most common, but there is also mixed FIFO/pro-rata, pure pro-rata, size priority, etc. Why would an ...
7
votes
4answers
781 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?
7
votes
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 ...
7
votes
1answer
492 views

NYSE Early Close Rules (July 4th and Dec. 25th)

Does the NYSE provide a list of rules for determining when to close at 1:00 for a holiday? I have found a list of upcoming half-days here but I would like to know the rules so that I don't have to ...
6
votes
1answer
1k views

Is there any open-source library, implementing “exchange” to be used for algorithms running on the same computer?

Question: Is there any open-source project/library, which can act as a "local exchange" for agents (algorithms), running on the same computer? Clarification: by "local exchange" I mean, that the ...
6
votes
0answers
306 views

How to become a registered market maker on an exchange [closed]

We are thinking of applying to become a registered market-maker on different European exchanges. The name varies from exchange to exchange (Liquidity provider on Euronext for instance). Could anybody ...
5
votes
2answers
173 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
3answers
117 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 ...
4
votes
2answers
118 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 ...
4
votes
2answers
167 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 ...
4
votes
2answers
94 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_{...
4
votes
1answer
171 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 $c$. ...
3
votes
5answers
15k 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 ...
3
votes
4answers
261 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 ...
3
votes
1answer
122 views

When do trades actually execute on an exchange?

Obviously, when ownership of some security is transferred from party A to party B, both parties' balances must be updated and recorded in an atomic transaction. Call this "an execution". So in an ...
3
votes
1answer
179 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 ...
3
votes
1answer
798 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 ...
3
votes
1answer
289 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 ...
3
votes
0answers
975 views

Where do i find the trade execution priority rules for special order types on continous auction markets

I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
2
votes
1answer
178 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 ...
2
votes
1answer
4k 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 ...
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? ...
2
votes
2answers
165 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 ...
2
votes
1answer
102 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
3answers
228 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 ...
2
votes
1answer
34 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 ...
2
votes
1answer
31 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 ...
2
votes
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 ...
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 ...
2
votes
1answer
395 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....
2
votes
2answers
168 views

Pricing Assets in the S&P Dynamic Asset Exchange

I am attempting to recreate the S&P Dynamic Asset Exchange using the methodology outlined in this paper. I am struggling to 'normalize' the prices of the assets properly. On page 6 of the ...
1
vote
1answer
255 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 ...
1
vote
1answer
63 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?
1
vote
1answer
381 views

How do exchanges make money?

How does NASDAQ make money? How much of it is from selling market data, and how much of it is from commissions from trades?
1
vote
1answer
50 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 ...
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
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-...
1
vote
1answer
283 views

Direct exchange data via a Vendor

I am considering the option between using direct exchange connections vs using a vendor like Bloomberg for market data. I am interested in daily data and potentially tick by tickdata. Initially I am ...
1
vote
1answer
216 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 ...
1
vote
1answer
162 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/...
1
vote
1answer
106 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?
1
vote
2answers
854 views

Impact of NZD mid-day EST Roll forward

Was taking a look at an NZD spot deal that was traded on a Friday for value the following Tuesday (t+2). Somehow this trade became classified as a forward by our back office systems (dealer says they ...
1
vote
3answers
605 views

Risk Neutral Evaluation - Exchange/Spread Options

I have two assets, $S_1$ and $S_2$, which follow geometric Brownian motion processes. This implies that both $S_1$ and $S_2$ have a lognormal distribution. I'm trying to get the exchange option price ...
1
vote
0answers
42 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 ...
1
vote
0answers
59 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 ...
1
vote
0answers
107 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 ...
1
vote
0answers
40 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 ...
1
vote
0answers
55 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 ...
1
vote
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!!