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Questions tagged [high-frequency]

For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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MM quotes replacement time in HFT

Market Makers quote on the minimum quote requirements of the market set by regulators, and they are also free to quote as they wish. In High Frequency Trading, when quotes are hit, MM will replace ...
Vangelis's user avatar
0 votes
1 answer
72 views

Exchange redirecting order

I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
missing_name's user avatar
0 votes
1 answer
131 views

What are some quantitative approaches to figure out Flow Based Alphas on extremely small lookout periods and does 'flow' play a significant role?

I was pondering over the dynamics of the Market Microstructure trying to couple it with some directional flow based alphas but for extremely small look out periods. Does it even make sense to go for ...
MaveRRick's user avatar
5 votes
1 answer
97 views

High Frequency Market Making When Short Selling Is Prohibited

I am seeking insights on high-frequency market making strategies in markets where short selling is prohibited. While browsing through research papers and quant.stackexchange.com, there's frequent ...
Less-Owl-4025's user avatar
1 vote
1 answer
83 views

How to calculate the spot variance from the TSRV (Two-Scale Realized variance)

If the TSRV is given by: $$TSRV = \frac{1}{K} \sum_{i=K}^{n} (S_i - S_{i-K})^2 - \frac{\bar{n}}{n}\sum_{i=1}^n (S_i - S_{i-1})^2 $$ where $\bar{n} = \frac{n - K + 1}{K}$, with $n$ is the number of ...
Xerium's user avatar
  • 89
0 votes
0 answers
49 views

dependence between trading instants and price in market microstructure

Can someone suggests readings regarding the dependence between sampling schemes and prices at which they are sampled in high frequencies context ? Is there a relationship between prices and times?
XY0's user avatar
  • 117
0 votes
0 answers
93 views

How to model the imbalance to predict in different timeframes?

As widely shown in this forum and in the literature, the order book imbalance is empirically a good predictor of the market move. However, even though the calculation of the imbalance is very straight ...
sandstorm111's user avatar
1 vote
1 answer
95 views

the pre-averaging function in Jacod et al

In the paper of jacod et al the authors used the pre-averaging function to deal with microstructure noise. They suggest the easiest function which is $$\bar{Z_i} = \frac{1}{kn} \left( \sum_{j=kn/2}^{...
XY0's user avatar
  • 117
0 votes
0 answers
111 views

Gueant–Lehalle–Fernandez-Tapia formulas for varying volatility

There are formulas proposed by Gueant–Lehalle–Fernandez-Tapia related to the optimal bid and ask in market-making models (Optimal Market Making by Gueant or The Financial Mathematics of Market ...
ltrd's user avatar
  • 501
4 votes
2 answers
708 views

Highest resolution of stock data?

Out of curiosity, I'm wondering what the highest resolution of stock data there is out there. Is there stock trading data for every nanosecond, picosecond, or even lower? And how is this limit ...
BeefJerky's user avatar
  • 141
0 votes
1 answer
77 views

Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?

In the context of high frequency trading, I'm exploring the application of the mean absolute deviation estimate for high-frequency volatility calculation. What would be the optimal choice for this ...
Less-Owl-4025's user avatar
1 vote
1 answer
322 views

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 ...
Jay's user avatar
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0 votes
0 answers
71 views

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 ...
XY0's user avatar
  • 117
1 vote
1 answer
296 views

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 . ...
emptydoubleu's user avatar
1 vote
1 answer
282 views

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 ...
emptydoubleu's user avatar
2 votes
1 answer
164 views

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 ...
NICOLÁS ZANNI's user avatar
3 votes
0 answers
156 views

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 ...
Frido's user avatar
  • 1,856
0 votes
0 answers
270 views

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)...
QMath's user avatar
  • 249
3 votes
1 answer
361 views

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 ...
QMath's user avatar
  • 249
0 votes
1 answer
355 views

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 ...
QMath's user avatar
  • 249
2 votes
0 answers
122 views

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}...
envy grunt's user avatar
0 votes
0 answers
83 views

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 ...
OneArb's user avatar
  • 101
1 vote
1 answer
109 views

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 ...
user50123's user avatar
3 votes
1 answer
476 views

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 ...
FISR's user avatar
  • 117
0 votes
1 answer
832 views

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_{\...
iqaj's user avatar
  • 3
3 votes
1 answer
620 views

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 ...
sandstorm111's user avatar
2 votes
1 answer
344 views

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, ...
Hamish Gibson's user avatar
4 votes
1 answer
400 views

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 ...
mr_mm's user avatar
  • 103
2 votes
1 answer
320 views

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 ...
mr_mm's user avatar
  • 103
2 votes
1 answer
1k views

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 ...
JMNQC's user avatar
  • 53
4 votes
0 answers
248 views

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 ...
SatoshiReport's user avatar
1 vote
2 answers
542 views

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 ...
wlog's user avatar
  • 11
1 vote
2 answers
692 views

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 ...
crogg01's user avatar
  • 113
0 votes
0 answers
249 views

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. ...
finstats's user avatar
  • 403
0 votes
1 answer
728 views

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 ...
dopller's user avatar
  • 173
0 votes
2 answers
273 views

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 ...
Ali H. Askar's user avatar
4 votes
1 answer
707 views

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 ...
user62408's user avatar
0 votes
1 answer
399 views

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) ?
Greyearl's user avatar
2 votes
1 answer
1k views

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 ...
Facet's user avatar
  • 23
1 vote
0 answers
174 views

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 ...
Bob hhhuh's user avatar
2 votes
1 answer
234 views

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 ...
zer0hedge's user avatar
  • 1,704
-1 votes
1 answer
204 views

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 ...
RLaszlo's user avatar
1 vote
0 answers
125 views

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 ...
MiFischer22's user avatar
0 votes
1 answer
331 views

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, ...
apt45's user avatar
  • 213
2 votes
2 answers
436 views

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 ...
Lucas Morin's user avatar
2 votes
1 answer
460 views

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(-{\...
Mike's user avatar
  • 131
10 votes
5 answers
7k views

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 ...
coder123's user avatar
  • 201
1 vote
0 answers
87 views

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 ...
ElJamesBondi's user avatar
1 vote
1 answer
391 views

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 ...
Chris's user avatar
  • 1,643
2 votes
1 answer
883 views

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 '...
user2330624's user avatar

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