Questions tagged [high-frequency]
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
231
questions
0
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0answers
32 views
modeling example for price changes using HFT data
In Rue S. Tsay’s Time Series book, a decomposition method is described for analyzing price changes using HFT trade data. A change is modeled using the following variables,
A indicates price change ...
0
votes
1answer
40 views
queue position value in all limits in the book
How would you evaluate the value of an order in a given limit at a given queue position in the order book ? For example let's say I am a market maker in BTC-USD and I would like to play some HFT games ...
0
votes
2answers
72 views
Mechanism for Tick Rule for Trade Classification
I see a few papers using the following tick test to classify a trade as buy/sell initiated trades: compare a trade price to the previous differing trade price, if the current price is higher/lower, ...
4
votes
0answers
77 views
How to model financial HFT time-series data with multi scale autocorrelation
I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
0
votes
1answer
148 views
Can someone explain to me the square root law of market impact?
The square root law is shown here: Market impact, why square root?
Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
2
votes
1answer
123 views
GARCH model using high frequency price return
I would like to forecast variance at time length $k\delta$ based on a price (return) time series of time step length $\delta$. I will apply a GARCH(1,1) model to subsamples at time intervals length $k\...
0
votes
1answer
51 views
Finding option price using intraday data [closed]
I have the option price at a rate which is much smaller than the rate at which I have tick data for the underlying. If I have option price at times $t_1, t_3, t_5$ and I have tickdata at $t_1, t_2, ...
0
votes
0answers
31 views
Calculation of 5-minute returns
My goal is time series clustering, I would like to compare 5 minute returns, liquidity seems to be very low sometimes, so is it better idea to calculate average volume weighted price in 5 minute ...
1
vote
1answer
86 views
Optimal bandwidth for Realized Kernel
If I want to estimate Realized Kernel for 1 min bins, is there a way to compute the optimal bandwidth?
In the reference paper: Realised Kernels in Practice: Trades and Quotes (Ole Barndoff-Nielsen et ...
2
votes
0answers
87 views
Complexity of using balanced-tree to model order book
I have bene researching on the best data structure to implement a limit order book. Some of the most common implementations include arrays and balanced trees. This link has a good set of references.
...
0
votes
1answer
69 views
modeling the volume of TOB of a LOB
In Limit Order Books, orders at the same price are grouped and I call this group of orders a "price level"(I don't know if there's a name in literature).
The total volume in this price level ...
0
votes
1answer
57 views
aggregate and convert tick-by-tick using fx data
I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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0answers
98 views
Short Term/Intraday Momentum Strategies
I am currently interested in doing some research on short term/intraday momentum trading strategies (highly liquid large cap stocks), especially to test if there are profitable strategies on higher ...
1
vote
2answers
120 views
Should Fama-French coefficients be calculated with daily or monthly returns?
I noticed when I regress the return of a portfolio on the Fama French 3 factor model that the value and the statistical significance of the coefficients vary when I use daily versus monthly portfolio ...
1
vote
2answers
183 views
Decode stock market data from C++
As practice, I have been wanting to parse exchange data and try to build an order book algorithm on my own. I found some sample data from NYSE: ftp://ftp.nyse.com/Real%20Time%20Data%20Samples/NYSE%...
6
votes
2answers
361 views
What are the main types of orders on an exchange?
I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
0
votes
0answers
25 views
How to get daily S&P500 dividend and CPI data?
For a project where I'm modelling asset prices using heterogeneous dividend expectatations, I want to investigate the effect of the COVID-19 virus. This means I'm looking at daily stock price data ...
0
votes
0answers
94 views
realized correlation estimation
I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
0
votes
0answers
54 views
intraday periodicity adjustments
I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here.
https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042
The seasonality ...
1
vote
2answers
169 views
How to detect price anomalies in HFT?
Let's say I'm developing an HFT application and seeking arbitrage in futures markets between MAY contract(M) and JUNE contract(J).
In this strategy, my spread is ...
2
votes
1answer
205 views
How to propertly change time horizon in Avellaneda-Stoikov model?
I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
3
votes
1answer
75 views
Align volume bars for multivariate analysis
Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
0
votes
0answers
50 views
How to use the volatility indicator?
In the high frequency research, there are many research papers about the high frequency data to predict the volatility, My question is how to use the predicted volatility in the trading. And which is ...
2
votes
3answers
182 views
Why is C/C++ used by researchers to develop and test algorithmic trading strategies?
I understand why compiled languages such as C/C++ are important for low-latency trading infrastructure.
But I am curious why even researchers at the high-frequency trading firms also require a strong ...
2
votes
0answers
117 views
Competitive levels in Limit Order Books
I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
2
votes
1answer
361 views
Beginner to high-frequency trading
I am extremely new to the field of high-frequency trading. I have been trying to read a ton of materials out there to understand the general workflow. I have very basic knowledge of different concepts ...
1
vote
0answers
169 views
Market Making constant volatility assumption
I have read a few papers on market making and all(nearly) assume that the stock follows a brownian motion with no drift and constant volatility.These assumptions seems un-intuitive to me because of ...
1
vote
1answer
122 views
Futures vs. spot forecasting
If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
3
votes
1answer
141 views
Cleaning of high-frequency data
In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x
in the section dedicated to ...
3
votes
1answer
87 views
TeaFile discrete logic - how to write [closed]
I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file.
Let's take this example:
...
1
vote
2answers
897 views
How to understand micro-price (aka, weighted mid-price)?
The definition of micro-price is
S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb)
where Pa is the ask price, ...
0
votes
2answers
431 views
How does a high frequency trading bot work?
I've read this (https://cryptodaily.co.uk/2019/11/what-you-need-to-know-about-high-frequency-trading-in-the-cryptocurrency-world):
Let’s go back to your buy order of 10 BTC and imagine that it ...
1
vote
0answers
77 views
Ultra high frequency TSRV
I'd like to verify my approach to calculate high-frequency RV estimator, as introduced in Ait-Sahalia, Myklad, Zhang 2011. After reading the paper a couple of times, it seems to me, that the only ...
2
votes
0answers
103 views
How to weigh computational cost of updating an online predictive model for latency-constrained trading (e.g., market making, HFT)?
Say one has a predictive online model for market making or HFT (or just for anything strictly latency-constrained). In my specific example, I start with a Gaussian distribution over the "true value" ...
2
votes
0answers
52 views
TSRV parameters selection
I'm thinking about how to select the $J$, and particularly, $K$ parameters for the Two Scale Realized Volatility estimation? I cannot find any reference for that in the original paper - there it says $...
2
votes
0answers
62 views
HAR-RV model for predicting 1-min volatility
I would like to use HAR-RV model (Heterogenous AutoRegressive - Realized Volatility) to predict a 1 minute realised volatility using the HAR model. As regressors I intend to use RV of previous minute, ...
3
votes
1answer
254 views
Should a high-frequency market-making fair value be a point or bid/offer pair?
A single micro-price (e.g., volume weighted mid adjusted for recent trades) is simpler and can be used for pricing both our bid and our offer.
But a bid fair and an offer fair have the desirable ...
3
votes
1answer
183 views
model high frequency bitcoin volatility
I am trying to model volatility of 1-minute returns of BTC, but it seems to me that the data do not behave traditionally. I tried fitting GARCH, eGARCH with ARMA (1,1) or (2,0), but I am not confident ...
2
votes
0answers
59 views
how to model NGARCH using 5min frequency data?
NGARCH model using 5-min High-frequency data in R
I wanted to analyze some 5 minute frequency data of stock market. My teacher asked me to use NGARCH to model, but I didn't know how to program.Here ...
2
votes
0answers
129 views
Modelling Order Flow
I am trying to model the number of order that come at a distance d from the top of the book on either side, both bid and ask.
I was wondering what is a good way to model orders which improve the ...
0
votes
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 ...
12
votes
3answers
7k views
What mathematical theory is required for high frequency trading?
I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
3
votes
0answers
97 views
Standard ways of simulating order books
What are some standard simple ways of simulating an order book? I have found this paper, but it is missing the implementation details. And more importantly, it appears that it ignores the size of the ...
1
vote
1answer
275 views
How to account for intraday seasonality in GARCH model?
I am using a GARCH(1,1) model to estimate volatility.
I am using hourly data to do this (I have hourly data for 100 trading days).
Besides removing the first hour (which represents the overnight ...
3
votes
0answers
485 views
Information Driven Bars (Advances in Financial Machine Learning)
My team and I are busy coding up a python implementation of the information driven bars (imbalance and run bars) mentioned in Chapter 2 of the text book Advances in Financial Machine Learning.
There ...
6
votes
1answer
780 views
Avellaneda-Stoikov empirical estimation verification
The solution of the model contains constant: $k = \alpha K$, it relates to: (i) probability of getting a fill ($\alpha$) and (ii) market impact ($K$).
Estimating (i). The author proposes that the ...
2
votes
0answers
450 views
Hidden Markov Models for Higher frequency trading
I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
2
votes
1answer
93 views
(R-studio) Incorporating overnight returns in high-frequency data
Turning here since I haven't been able to find any help online.
I'm currently dealing with a high-frequency data set in R of some stock indicies and I'm currently trying to clean the data so that I ...
1
vote
2answers
409 views
Predicting microstructure momentum in market making
If I have a market maker which is compelled to provide quotes on both sides of the market, I am exposed to risk of quadratic losses (vs my linear gains during normal operations) during times when the ...
2
votes
0answers
77 views
Trades vs Cancel orders
In case of designing high frequency algorithms, do people treat all changes in the mid price similarly. What I mean is, if there is a change in the mid price due to a trade or there is a change in ...
