Questions tagged [high-frequency]
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
278
questions
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How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?
The title is similar to that of the question I was referred to here which has been answered by Lehalle himself!
I'm trying to implement the Gueant-Lehalle-Tapia model which is how I got to this answer ...
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Non-zero real-valued function continuous and piecewise $C^1$ that vanishes outside (0,1) with piecewise Lipschitz derivative
In this paper the authors to overcome the presence of microstructure noise which "contaminates" the ito-semimartingale in high-frequency data uses the idea of pre-averaging.
For an ...
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Trade Impulse signal
https://blog.headlandstech.com/2017/08/03/quantitative-trading-summary/
In reference to the link, under Market Microstructure Signals, the so called "Trade Impulse" signal was mentioned .
...
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Multi level micro price
Typical micro price formula uses the top of book depth (i.e. level 1 depth):
Microprice = (BidSize x AskPrice + AskSize x BidPrice) / (BidSize + AskSize)
But how does one actually include more depth ...
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47
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Queue Reactive Model for large spread assets
Im working on the implementation of the Queue Reactive Model by Lehalle (https://arxiv.org/pdf/1312.0563.pdf), but I have encountered some implementation problems for my specific assets.
First, the ...
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136
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Models for tick-by-tick / high-frequency data
I've spoken to one or two persons at some market making shops, and I'm under the impression that for modelling tick data, aside from the rise of ML, a pure jump process such as the variance gamma ...
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239
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Is there a common way that level 2 and time & sales data are analyzed together?
Let's say that for a single asset, we have a data stream from which we receive both level 2 order book updates (price level/quantity updates) as well as time & sales updates (grouped recent trades)...
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259
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Target variables in high frequency trading [closed]
Given that we are a market taker (removing liquidity from the limit order book through market orders), what should we be trying to forecast?
It seems like the most pertinent thing for us to forecast ...
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176
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How are order book and trade data consolidated/distilled into a more(?) tractable form for modeling?
Let's say that there's some asset traded on an exchange and that, for this asset, I have access to a snapshot of the limit order book (price level and quantity for bids and offers) and subsequent ...
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Estimating Parameters of Optimal Posting Strategy from "Enhancing Trading Strategies with Order Book Signals"
I'm reading the paper “Enhancing Trading Strategies with Order Book Signals” by Cartea et al (2015). And I have the following questions:
Assume that I empirically estimated $\lambda^{l}, \lambda^{\pm}...
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62
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In grid trading, is a fixed price level grid equivalent to a dynamic grid?
I am trying a grid trading bot that shifts the grid around the current market price within a minimum and maximum price.
I lack context on how such strategy compares with a fixed grid centered around a ...
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Faster Portfolio Optimization under rank 1 updates
I was studying Markowitz portfolio optimization and had a question on the practicality of this in the setting of high frequency trading. Optimization seems like a cumbersome process. But at each tick ...
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353
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High-frequency risk management methodologies
In a high-frequency environment, such as a proprietary trading firm or market making firm, the primary goal of the risk management team would be to limit potential losses, but how is that done in this ...
- 117
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Exploring order cancellation techniques in high-frequency market making
I'm interested in gaining a better understanding of order cancellation techniques in high-frequency market making. What are the different approaches to order cancellation that are commonly used in HFT ...
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503
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Micro Price vs multi-level micro price
Why do we use the micro price $$p_m = \frac{B_{\text{size}} A_{\text{price}} + A_{\text{size}} B_{\text{price}}}{ A_{\text{size}} + B_{\text{size}}}$$ rather than fixing $A_{\text{size}}$ and $B_{\...
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Dealing with the inventory risk: solution with drift
I'm implementing the solution with drift from "Dealing with the inventory risk" from Gueant, Lehalle and Tapia. I'm using the link https://arxiv.org/pdf/1105.3115.pdf as reference.
I can ...
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289
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How were High Frequency Traders able to front-run in this example from Flash Boys?
I am re-reading Michael Lewis' Flash Boys book, and I have a question about how a High Frequency Trader was able to front-run an order in a particular example mentioned in the book. On page 78, ...
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318
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Continuous prediction vs Event-based predictions
When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
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270
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Constructing a mid using signals from another asset
When delta-neutral market making it is important to construct a mid price. Often the mid price of the asset you are trading is influenced by another (correlated) asset. What methodologies would you ...
- 103
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777
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What are the parameters’ units in the Avellaneda and Stoikov model?
I'm studying a draft of the paper “Dealing with the Inventory Risk:
A solution to the market making problem” by Guéant et al from July 2012.
According to the paper, the closed form solution to the ...
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223
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What is milliprice (it seems to be an extension of microprice) [closed]
For computing the expected future price (on a small time scale) one can use micro price which is defined here.
The definition of micro-price is
...
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2
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368
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Volatility forecast for 5-minute frequency data
I have high frequency data for financial stocks (5-minute periodicity) and I want to forecast volatility.
I'm familiarized with the usual ARCH/GARCH models and their variants for daily data but after ...
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527
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Are there open source or academic-only limit order book data sets available?
I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
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219
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What are the advantages and disadvantages of converting standard deviation of higher-frequency returns to a lower sampling frequency?
I have a minute-by-minute price series of a stock. I would like to calculate the daily volatility or standard deviation of the stock's returns.
One way to do so is to get the end-of-day prices (i.e. ...
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611
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crypto HFT architecture
This architecture is designed to minimize latency with the help of busy-spinning and CPU affinity locks(meaning each producer/consumer thread running in only one core), preventing a thread from ...
- 173
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2
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233
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can Soft Actor-Critic reinforcement learning algorithms be used in real-time trading?
I am scratching my head with an optimization problem for Avellaneda and Stoikov market-making algorithm (optimizing the risk aversion parameter), and I've come across https://github.com/im1235/ISAC
...
4
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543
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Daily realized volatility and true daily volatility
Can someone help if I am thinking correctly?
If $R(t,i)$ is the i'th log-return for $i = 1\ldots,M$ of day $t$ for $t = 1\ldots,T$.
Can I assume that the daily realized volatility (denoted $RV(t)$) is ...
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333
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Market impact estimation [duplicate]
Can anyone provide us with an empirical example (in Python) of market impact visualization, methods of its estimation (in the framework of a parametric model for impact functions) ?
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770
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How to determine which realized volatility estimator should be used?
There are so many realized measure have been invented in the past years like TSRV, MSRV, KRVTH, KRVC... But how to choose them in practice?
I know we cannot find the "estimation error" of ...
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152
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Privatelink latency impact
I am working with a team on a market making algorithm on Huobi. We are integrating our infrastructure in AWS and when you are a S tier you can get a privatelink which is about 10 to 50 ms faster than ...
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How often do maker orders arrive together with matching taker orders on modern exchanges?
Table below shows messages that were recently collected from the Full channel of the websocket feed of the well-known cryptocurrency exchange:
The full channel provides real-time updates on orders ...
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154
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How to exactly calculate lag between 2 exchanges
Let's assume that there are two exchanges. One exchange is slow for various reasons.(for eg it is an open outcry versus electronic exchange) Even when there is no lag the prices will not match exactly ...
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117
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State-of-the art factor models for intraday event studies
I want to do intraday event studies. For this purpose, I have stock data on a 15 minutes interval.
What is/are currently the state-of-the art factor model(s) for calculating intraday (ab)normal ...
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285
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Memory effect of log returns of S&P 500
I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1-minute frequency) of S&P500 from 1984 to 1996. In particular, ...
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392
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At what time step the microstructure noise start to kick in?
When looking for papers on-line I often find things designed specifically to deal with micro-structure noise. I spent some time trying to understand / implement / test them for results that vary ...
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405
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Stochastic equation in "High Frequency Trading in LoB, Sasha Stoikov and Marco Avellaneda"
I am reading paper High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov. Please help me to understand how they rewritten and obtained function
$$
v(x,s,q,t)= -\exp(-{\...
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What is C++ used for when writing code at High Frequency Trading firms?
Okay. This might be a pretty dumb question, but I really want to know what is it that the high frequency trading firms write in terms of services that requires C++.
Background
I am a Rust and ...
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83
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What are some common methods for calculating short term historical volatility (i.e. look back 5 minute time periods)
I'm interested in quantifying the impact of short term price volatility on a particular strategy I'm running. So far I'm simply calculating the standard deviation of log returns, but I'm a bit unsure ...
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340
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Alternatives to RDBMS for options backtesting
I've assembled a large dataset (~2B+ records) of options price data in MySQL for backtesting purposes.
At a number of points, due to the sheer amount of data being retrieved and filtered, processing ...
- 1,643
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671
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Intraday Factor Analysis, measuring intraday alpha, etc
I understand that models like the Fama-French 3 factor model are sometimes regressed against portfolio returns to compute an intercept value to understand if the portfolio captures common factors or '...
- 161
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100
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Source for Intraday or High-frequency stock price data
I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
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Modelling queue position
Is there any viable way for me to know the dynamics of my LOB position? Lets suppose the LOB is order based LOB, and i send a order to this level, can i know if the qty in front of me cancelled vs ...
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Assess forecasting performance of model in presence of bid-ask bounce
I have a forecasting model for 1-minute asset returns $y_t$ derived from trade data. (The assets are not very liquid.) The predictors of the model include the lagged target variable $y_{t-1}$, which ...
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843
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Predicting price direction from order flow at high frequency
I have access to high frequency data for a few instruments using which I can simulate a limit order book.I would like to predict direction of price(best bid/ask) in the short term(1 sec, 5 sec and 10 ...
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170
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Execution Strategies
I have a rather broad question. Not sure how to best put it.
Does anyone have any papers/resources on how to improve the execution model of any strategy?
Would it be different if strategy under ...
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How to derive the HJB equation under this paper's context?
I'm reading this paper:High frequency trading in a limit order book.
IN section 3.1, an HJB equatioin was given without any details. Could anyone show how to arrive this equation step by setp? I have ...
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85
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probability on strategy expected return
I’ve been thinking about this for awhile and couldn’t figure it out myself.
Assume you have a trading strategy, which return is normally distributed.
strategy return has a mean of 1 basis point and a ...
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294
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Sharpe ratio from second returns? HFT
I have an intraday trading strategy so I take several positions each day. I have prices for each stock, with a 10 second resolution. So the data looks like this:
...
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716
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Formerly profitable algorithmic trading strategies?
Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
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How long do algorithmic trading strategies typically remain profitable?
As I understand it, an algorithmic trading strategy could lose profitability, if, for example:
it's rediscovered by others
employee turnover leaks the strategy to others
market conditions change ...
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