Questions tagged [high-frequency]
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
0
votes
0answers
19 views
definition of mid price in literature
In literature, the mid-price is often used along with the terms "fair value", "true value" among others. I take it alot of the times it means the same thing because the mid-price doesnt necessarily ...
0
votes
0answers
52 views
Trade sizing with market making and the volume of uninformed trades
I have a trend following market maker in a highly volatile market (XBTUSD) which makes its money from uninformed trades over a short time horizon. Sizing my bids/asks has always caused me to question ...
4
votes
3answers
156 views
Modelling HFT data
In the context of Market making, how important is recent trades? In general, would i be able to get away with just modelling the Limit Order Book (LOB) and the evolution of the LOB in order to ...
0
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2answers
55 views
Financial forecasting and Optimal order submission [closed]
For instance, If i have a model that can accurately forecast 3s ahead, would the trading logic be rather trivial? I have fit a series of distributions to L2 data and believe I have a fairly good grasp ...
2
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2answers
154 views
Technical Analysis in HFT
Has anyone here used technical analysis (think MACD, RSI) in HFT setting and can comment on the usage as an entry/exit signal?
Best
1
vote
1answer
134 views
Crossing the spread as a ML signal
In the optic of high-frequency trading, most of the standard trading algorithms work on the principle of mid-price prediction or mid-price movement prediction. However a big drawback of this technique ...
-2
votes
1answer
101 views
Insoluble Enigma [closed]
I used many statistical tools, i.e. t-SNE, SVM, Neural Network, UMAP, PCA, with the reformatted full market depth data with timestamp each second. UMAP gave me the best data representation, but ...
4
votes
1answer
167 views
Limit order book cancellations
Is there any practical and academic interest in predicting which orders in a limit order book will be canceled?
From a policy point of view are people interested in detecting potential spoofing ...
9
votes
2answers
285 views
Market impact, why square root?
The standard method of market impact is the square-root formula
\begin{equation}
\Delta P = c \cdot\sigma \cdot \sqrt{\frac{n}{\nu}}
\end{equation}
where $\Delta P$ is the price change from executing ...
3
votes
1answer
75 views
Inherent Limitations with Respect to HFT Hardware
I am attempting to compile some aspects of high frequency trading that pose issues to all players in the field i.e., things that cause problems regardless of how much money the firm has to spend on ...
4
votes
1answer
128 views
Infinite horizon agent in Avellaneda-Stoikov model
I am trying to understand the Avellaneda-Stoikov model for high frequency trading, in particular the optimizing agent with infinite horizon.
The reservation ask/bid prices for such an agent are ...
1
vote
1answer
202 views
What are trade markouts?
I have experience in trading but mostly in lower frequency quantitative trading. I've moved into HFT research and someone the other day mentioned markouts. I couldn't find anything online explaining ...
3
votes
1answer
145 views
Finding parameters of a function for optimal market making with real data
I am reading this paper and trying to apply it with real data to do some simulations.
I will use realtime order book & market order data that I will receive from the exchange. This is a sample ...
3
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0answers
92 views
Exchange Infrastructure
Is there any reference document on how the infrastructure at an exchange works?
I know the implementation at different exchanges are different and there is no one size fits all. But is there any ...
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0answers
74 views
Why is the timings between trades of SPY precisely poised at criticality ? Can this fact be used for prediction?
Let's say we have a point process consisting of the times between trades of SPY for one particular trading day. Empirically, the auto-correlation never dies out to 0 and due to results in Long range ...
0
votes
1answer
56 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 ...
3
votes
1answer
611 views
Market Making Strategy to Interact with IB API
I was thinking to connect a market making software to the Interactive Brokers API (see IB API), but it seems it is not the best solution as per the information provided by this question: Is the ...
1
vote
1answer
260 views
How to measure the Sharpe Ratio of a high frequency trading strategy?
The Sharpe Ratio is defined as Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio return.
Unfortunately, this does not make ...
0
votes
2answers
81 views
Data for daily real interest rates
In a high frequency model i would like to add daily real interest rates (preferably short-term) as a variable.
However, I cannot seem to find either daily CPI data, or daily real interest rates (...
2
votes
1answer
105 views
Understanding Forex HFT Arbitrage with different counter parties/ Brokers/ ECN
I came across this in a online lecture. But couldn't wrap my head around it.
Lets say I have accounts with two brokers/ECN/STP. Now consider the following scenario for currency pair USD/JPY
Broker1: ...
4
votes
1answer
510 views
Trading Strategy adapting to my trading frequency
We want to predict the direction towards which the price will change.
In this work the term price is used to refer to the mid-price of a
stock, which is defined as the mean between the best bid ...
0
votes
1answer
103 views
Find a reasonable h
The mid-price at time $t$ is denoted by $$p_t = \frac{s_t^{a,1} +
s_t^{b,1}}{2}.$$
This mid-price can evolve in minimum increments of half a tick but is
almost always observed to move at ...
0
votes
0answers
65 views
Unlabelled mid-price stock data
The mid-price at time $t$ is denoted by $$p_t = \frac{s_t^{a,1} +
s_t^{b,1}}{2}.$$
This mid-price can evolve in minimum increments of half a tick but is
almost always observed to move at ...
2
votes
4answers
242 views
How frequently do market makers cancel orders?
It is modeled that a market maker will post a limit order for a period of time and will maintain that order until the set period of time expires, or the order is filled, and then he will provide a new ...
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0answers
85 views
Changing the frequency of 5-min returns/realized volatility of different products
I stumbled upon a problem of converting the returns and volatility of high frequency data to daily ones. I start with 1-minute returns, then calculate the 5-minute realized variance as the sum of the ...
1
vote
0answers
98 views
Calculating realized volatility of high-frequency data
I am wondering how to calculate the realized volatility. Sources such as say that the realized volatility is the sum of squared log returns sampled at a given frequency. So using 30 minute frequency ...
5
votes
2answers
596 views
Backtesting Market Making Strategy or Microstructure Strategy
How does one backtest either a market making strategy or microstructure-based strategy? I'd imagine that one way would be to record order book states over time and then insert the orders, but it seems ...
2
votes
0answers
185 views
Strange trading data coming from bitstamp
Through researching order execution algorithms I came upon something rather strange.
My dev team wrote a program that captures live bitcoin trades on bitstamp through the WebSocket API for a single ...
-1
votes
1answer
157 views
Calculating intraday returns from imperfect data in R [closed]
The aim is to calculate minute returns in R. Given is minute price data in a tbl_df. A row was only added if there actually were trades.
...
2
votes
1answer
206 views
Best way to buy and sell large volumes of crypto
I had a few questions about how to properly execute a large order of crypto currency without moving the price much.
I know a lot of funds employ a TWAP/VWAP algorithm to liquidate or purchase a large ...
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votes
0answers
96 views
using database to scan trading signals as fast as possible
In stock market sometimes we search for certain "signals" such as stocks that raise for five consecutive days. In this scenario, we're not saying that the stock's price raises for every seconds in ...
6
votes
1answer
479 views
Finding parameters of an utility function in a market making strategy to apply it in practice
I am reading this paper below about optimal bid-ask spread in a market making strategy.
It finds an approximation for optimal solution, but I cannot understand how it's practice to set the parameters ...
2
votes
1answer
225 views
Understanding how market making helps investors
I'm reading about high frequency trading and market making. I'm trying to understand the following example from my book:
Here is an example of how market making helps investors. Suppose that the best ...
9
votes
1answer
1k views
Avellaneda -Stoikov market making model
I am reading paper High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov. At the end of the paper they obtain a closed-form solution to the optimal market-maker quotes ...
2
votes
1answer
143 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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votes
1answer
374 views
Code for HY Estimator
Does anyone here has a code for HY estimator, preferably in python?
I have written a very basic code in python but my results are weird. When I run it for two liquid assets traded on two different ...
3
votes
1answer
146 views
What are recommended recovery techniques in arbitrage when one order doesn't fill?
Let's say you are running an arbitrage strategy in the Forex market. You see an opportunity to buy USD/JPY at 100 on exchange A, and sell USD/JPY at 105 on exchange B. You submit the buy and sell ...
1
vote
1answer
377 views
Trade price in high-frequency TAQ data
I am looking at AAPL TAQ high-frequency trade data from NYSE and I have noticed that at several places the trade price (defined in Daily TAQ Client Specification as: "The Trade Price is the monetary ...
4
votes
3answers
752 views
How much profit do HFT firms generate?
I read on http://www.thetradenews.com/Technology/HFT--Not-so-flashy-anymore/?p=2 (mirror):
Profits from HFT are estimated to have peaked for the industry at close to $5 billion in 2009. It is ...
3
votes
1answer
104 views
history of market microstructure
I am doing an assignment which requires me to review changes in market microstructure across countries over the pass 20 years. SO I would like to get a timeline/implementation dates of market ...
1
vote
0answers
84 views
Stock returns: Determining the window size
I am looking for a rigorous way to determine a suitable rolling window size for my stock data. Factors that will influence the window size are how fine my data is (minutely, daily, weekly etc.) and ...
1
vote
4answers
465 views
Market making with resting orders?
I'm still confused on how to provide liquidity on the forex market using passive or resting orders and get the spread from that (selling at ask and buying from bid)
And what's the dynamics on the LOB ...
0
votes
0answers
37 views
RegNMS, National best bid/offer and Smart Order Routing
I read Flash Boys when it first came out. If memory serves correctly it said US exchanges are required to forward received orders to another exchange if it has better prices, to achieve the best ...
1
vote
0answers
64 views
Evaluating passive fills
Assume we look at all passive fills going through a security. How do we benchmark how good each passive fill is (relative to each other)?
We expect the edge to be (assuming midprice is our ...
1
vote
0answers
68 views
Missing sequence numbers in TAQ Quote data
I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
2
votes
1answer
134 views
How do market participants know intentions of other players
I'm reading a paper on order anticipation strategy and came across this line in the paper:
We assume that all model parameters, including n and ...
1
vote
0answers
75 views
Is Hasbrouck's information share measure a good indicator of whether a price leads others, and are there alternative indicators?
I meant the method in this paper:
https://www.jstor.org/stable/2329348
2
votes
2answers
71 views
Why can we neglect the mean in the variance when the time step is very small?
Can anyone tell me why we can neglect the mean in the variance when the time step is very small? See the following picture:
Usually, we choose a time step of one day. Is it small enough?
5
votes
1answer
204 views
Why should long-term investors care about flash crashes/ intra-daily volatility/HFT?
I am wondering about implications of the speed of intra-daily trading on the wealth of an long-term investor. I am not necessarily asking about the costs of HFT trading to society but instead I wonder ...
1
vote
0answers
113 views
Intraday Volatility using Realized Kernels
Since the papers about realized volatility calculate daily volatility out of intraday data, is it also possible to apply same methods to calculate e.g. 10 minutes volatility by smaller sampled data e....
