The Stack Overflow podcast is back! Listen to an interview with our new CEO.

Questions tagged [high-frequency]

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

Filter by
Sorted by
Tagged with
3
votes
2answers
206 views

Mitigating gateway delay

A trading system has $n$ colocated uplinks to TCP order entry gateways $g_1, \dots, g_n$ on a given exchange. Each gateway $g_i$ has a different order entry delay function $d_i(t)$ as a function of ...
3
votes
1answer
113 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 ...
3
votes
2answers
180 views

What impact does arbitrage have on realised volatility estimates?

Doing some research modeling/estimating volatility in the bitcoin market. There is quite a bit of scope for arbitrage within crypto-currency markets. Wonder if this has any impact on my volatility ...
3
votes
1answer
86 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 ...
3
votes
1answer
126 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 ...
3
votes
1answer
120 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 ...
3
votes
1answer
2k views

Latency arbitrage: what exactly is the arbitrage mechanism?

I'm reading about latency arbitrage in regards to direct exchange feeds vs. SIP feeds. SIP feeds are on average 1 millisecond slower than direct feeds, which allows HFTs to see an NBBO update before ...
3
votes
1answer
453 views

What is the best data structure/implementation for representing a time series in C#?

I'm looking for a tick by tick high performance container. So far I've been using List where Tick is a simple struct with a DateTime and double field. I'm using Linq for date lookups but it's ...
3
votes
1answer
769 views

High frequency price forecast model ARMA GARCH or another?

Can you reccomend model for high frequency data (1 second and less) (returns and volatility forecasting)? Most papers use ARMA, GARCH etc in 1 minute and lower time frame. PROBLEM ARMA does not know ...
3
votes
1answer
465 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
3
votes
2answers
271 views

Forecast of volatility

What are the well known methods for forecasting (daily - weekly - monthly) volatility of a stock price? How about a bond price? Let's say I have in my disposition the price time series at a very high ...
3
votes
0answers
212 views

Assets cointegration: optimal inventory for futures market

I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets" The article describes mean-reversion strategy for N-assets. ...
3
votes
0answers
202 views

Fitting High Frequency Indicators

I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ...
3
votes
0answers
176 views

Derivation of variance of Zhou (1996) volatility estimator

Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996) Zhou 1996 Any help would be ...
3
votes
0answers
232 views

Forecasting Equity returns using state-space models

I have data for 3 yrs of 5 min prices of various equities. I can construct a linear regression model and try to see the in-sample model performance. But I was wondering whether fitting a state-space ...
3
votes
1answer
278 views

Volatility estimation: sampling frequency and scaling

I have a year long stock data sampled at 5 min frequency and would like to estimate monthly volatility using it. I am thinking using GARCH or TGARCH for volatility estimation. However, I am not sure ...
2
votes
1answer
326 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 ...
2
votes
3answers
560 views

What are the unfair order execution/routing advantages HFT firms apparently have?

I originally thought that you have an orderbook per stock and orders would be filled on the time at which they arrive. Arrive first and you get the best price and the qty in the orderbook is reduced ...
2
votes
1answer
163 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 ...
2
votes
1answer
160 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 ...
2
votes
2answers
400 views

Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
2
votes
1answer
9k views

Realized Volatility vs. Standard deviation of log returns

I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns. Given X is ...
2
votes
2answers
2k views

How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
2
votes
1answer
2k views

Feature for Maching Learning(SVM) in High Frequecy Order Book?

I am trying to implement machine learning to predict the movement of bid and ask price but is unable to find the proper feature for training set. I am using Support Vector Machine for binary ...
2
votes
1answer
643 views

How low can HFT transaction costs go?

When evaluating an HFT strategy, transaction costs are clearly an important question. When looking at commercial discount brokers for retail clients, costs can be as low as 0.005 USD per share, but ...
2
votes
1answer
71 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 ...
2
votes
1answer
778 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 ...
2
votes
2answers
76 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?
2
votes
1answer
2k views

netfonds.no - High Frequency Data

I originally got the idea from Python for Finance. But there are nomerous other examples on how to get high Netfonds (here and here). They don't seem to work any more: http://hopey.netfonds.no/...
2
votes
1answer
379 views

Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...
2
votes
0answers
22 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
25 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, ...
2
votes
0answers
85 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 ...
2
votes
0answers
33 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
236 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 ...
2
votes
0answers
230 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
0answers
63 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 ...
2
votes
0answers
49 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 ...
2
votes
1answer
238 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
206 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: ...
2
votes
0answers
264 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 ...
2
votes
1answer
299 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 ...
2
votes
0answers
719 views

Netfonds.no: Continuing to understand how to get high frequency data

I first found out about netfonds about a year ago but I hadn't ever really gotten around to actually pulling data from there. I spent a little time today figuring out a way to pull data and here is ...
2
votes
0answers
132 views

Adjusting for your own orders in future backtests

I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer. Suppose you have a strategy you are running where at certain ...
2
votes
0answers
54 views

Recreate Positions after downtime. Suggestions requested

We are trying to be able to get back to the Position state when our software goes down unplanned during the day. So far it seems we can get all our bought and sold quantity based on execution log we ...
2
votes
0answers
893 views

What skills and education are required for HFT? [closed]

I'm a university student and I'm quite interested in High Frequency Trading Algorithms. What courses should I take and what skills should I acquire so that I can work in this field? So far, I've been ...
2
votes
2answers
162 views

impact model what volatility to use

I am looking at the market impact paper here (http://www.cims.nyu.edu/~almgren/papers/costestim.pdf) and I had a question about volatility on page 11. On page 11 it is stated: "For volatility, we use ...
1
vote
4answers
563 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 ...
1
vote
1answer
222 views

Why circuit breakers can't prevent a flash crash

Sorry if this is a silly question. It is my understanding that modern exchanges have "circuit breakers" which halt trading for a duration of minutes when there is significant volatility / price ...
1
vote
1answer
537 views

HFT market-making in dark pools?

Is it now common practice for HFT market-making algorithms to post liquidity in dark pools and exchanges at the same time? I ask because I have been reading some documentation (https://squeezemetrics....