# 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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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 '...
136 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(-{\...
126 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 ...
15k views

### What kind of return can an average algorithmic trading firm achieve today?

What kind of rate of return can an average, equities-focused algorithmic trading firm expect to achieve today? I come from a background of control and optimization, working in the industry in China, ...
299 views

### Predicting price direction from order flow at high frequency

I have access to high frequency data for a few instruments using which I can simulate a limit order book.I would like to predict direction of price(best bid/ask) in the short term(1 sec, 5 sec and 10 ...
67 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 ...
132 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 ...
100 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 ...
74 views

### What are some ways to weight the basket of securities in high frequency setting?

I'm trying to build a basket of closely related assets $\{S_1, \dots, S_N\}$ that have no general index such as S&P500 and are represented in the high frequency setting. The general idea is to ...
37 views

### Analyzing BBO Change Tick data (vs. Trade Tick Data)

I have historical FX "tick" data from Dukascopy. Each tick is generated when Dukascopy receives a quote from a liquidity provider that is equal to or better than the best-bid-and-offer (note:...
332 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. ...
2k 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 ...
4k views

### Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
52 views

### Source for Intraday or High-frequency stock price data

I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
308 views

### Modelling queue position

Is there any viable way for me to know the dynamics of my LOB position? Lets suppose the LOB is order based LOB, and i send a order to this level, can i know if the qty in front of me cancelled vs ...
745 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 ...
74 views

### Assess forecasting performance of model in presence of bid-ask bounce

I have a forecasting model for 1-minute asset returns $y_t$ derived from trade data. (The assets are not very liquid.) The predictors of the model include the lagged target variable $y_{t-1}$, which ...
258 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 ...
150 views

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### Applying models with normality assumption on tick data?

Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to high-...
134 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 ...
184 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 ...
3k 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 ...
347 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 ...
58 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, ...
149 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 ...
3k 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 ...
1k views

### Forex ECN for Algorithmic Trading

I'm looking for a forex brokerage that allows me to: add limit orders to the order book and trade against other clients However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
103 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 ...
128 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 ...
80 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 ...
177 views

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 ...
487 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%...
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### 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 ...
172 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 ...