Questions tagged [high-frequency]
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
204
questions
3
votes
1answer
41 views
TeaFile discrete logic - how to write
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:
...
0
votes
1answer
99 views
How to understand microprice (aka, weighted-midprice)?
The definition of micropice is S=PaVb/(Va+Vb)+PbVa/(Va+Vb), where Pa is the ask limit-order price and Va is its volume, and similar for the bid Pb and Vb.
The typical explanation for micropice is ...
1
vote
2answers
159 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
53 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 ...
1
vote
0answers
76 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
31 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
38 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
170 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
109 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
38 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 ...
1
vote
0answers
96 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
66 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 ...
9
votes
3answers
6k 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 ...
1
vote
0answers
60 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
125 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 ...
2
votes
0answers
269 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 ...
5
votes
1answer
426 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
288 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
74 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 ...
0
votes
0answers
36 views
Convert Continous Signal to Discrete
Suppose I have a continuous signal for a futures in HFT context. The signal is noisy and continuous. I have tried using moving averages of the signal to make sense of it and to be able to use it, but ...
1
vote
2answers
295 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
68 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 ...
4
votes
1answer
225 views
The “Universal Model” by Justin Sirignano and Rama Cont
In the nicely written article https://arxiv.org/abs/1803.06917 by Justin Sirignano and Rama Cont, they explained that their model is universal and stationary. I am a bit confused about some questions.
...
2
votes
0answers
54 views
Best features and tools over a short time interval [closed]
For a short time interval, what are the features having the most impact on a stock price movement? In the same direction, what are the better tools to tell us the price movement tangent?
As tools, I ...
4
votes
2answers
214 views
Can you use GARCH-MIDAS for intraday data?
I'm working on a project to forecast volatility and I'm using intraday data (1 min). I want to include exogenous variables to the model that have daily frequency. I was wondering if GARCH-MIDAS can be ...
1
vote
1answer
158 views
Algo trading execution simulation
Disclaimer: Brand new to high frequency algo trading.
Background:I have tick-by-tick trade data for stock A and I have joined the price and volume data for each trade with the previous snapshot of ...
3
votes
2answers
241 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
98 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
4answers
439 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
votes
2answers
81 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 ...
3
votes
2answers
545 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
3
votes
1answer
295 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
123 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 ...
5
votes
1answer
242 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 ...
14
votes
2answers
1k 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
115 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 ...
6
votes
1answer
362 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 ...
0
votes
1answer
1k 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 ...
4
votes
1answer
255 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
votes
1answer
129 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 ...
0
votes
1answer
61 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 ...
4
votes
1answer
1k 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 ...
3
votes
1answer
917 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
131 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
230 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: ...
5
votes
1answer
664 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
113 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 ...
3
votes
4answers
377 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 ...
1
vote
0answers
389 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 ...
7
votes
2answers
1k 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 ...
