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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3k 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
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1answer
550 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 ...
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2answers
248 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 ...
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0answers
127 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
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0answers
114 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" ...
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0answers
94 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, ...
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0answers
159 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 ...
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0answers
114 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 ...
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0answers
521 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 ...
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0answers
79 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 ...
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0answers
82 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 ...
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2answers
301 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: ...
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0answers
284 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 ...
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0answers
55 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
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0answers
907 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
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2answers
278 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 ...
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3answers
3k views

Ultra-High Frequency Trading Help

I am putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT ...
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4answers
1k 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 ...
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1answer
285 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 ...
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2answers
460 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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2answers
999 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 ...
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1answer
369 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 ...
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1answer
663 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....
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1answer
652 views

How could HFT help increase liquidity? [duplicate]

I have ready in several websites that HFT can help increase market liquidity, although this is contested in some articles. I am not familiar with the concept of market liquidity. What is the basis of ...
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2answers
1k views

What information do stock exchange colocated servers have access to?

In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
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2answers
2k 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, ...
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1answer
1k views

How to interpret minute by minute ticker data

The data is in the following format: { Time= 650 Volume=700 Last=89.22 High=89.56 Low=89.20 Open=89.25 } I understand that the time value represents the current minute of the day, market ...
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3answers
181 views

Buy side techniques

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
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1answer
203 views

Can you explain me these comments on high frequency data?

I was reading some slides on high frequency data and i came across these statements: data discreetness induces high degree of kurtosis and Non synchronous trading and risk premium are sources (...
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2answers
2k views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
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2answers
485 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 ...
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1answer
549 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
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1answer
127 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 ...
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1answer
139 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 ...
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2answers
180 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 ...
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1answer
1k 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 ...
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1answer
1k views

Interpreting and scaling of Realized Variance with sample data

I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
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1answer
85 views

Regression model syntax

I'm following the methodology outlined in Developing High-Frequency Equities Trading Models. On page 27, the author outlines an OLS regression model to obtain beta coefficients. The model is defined ...
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1answer
2k views

Liquidity detection based strategy in HFT

This article contains the following statement. In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small ...
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0answers
66 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 ...
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0answers
84 views

How to derive the HJB equation under this paper's context?

I'm reading this paper:High frequency trading in a limit order book. IN section 3.1, an HJB equatioin was given without any details. Could anyone show how to arrive this equation step by setp? I have ...
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0answers
45 views

probability on strategy expected return

I’ve been thinking about this for awhile and couldn’t figure it out myself. Assume you have a trading strategy, which return is normally distributed. strategy return has a mean of 1 basis point and a ...
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0answers
174 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 ...
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0answers
230 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 ...
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0answers
101 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 ...
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0answers
669 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 ...
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0answers
121 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 ...
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0answers
85 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 ...
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0answers
84 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 ...
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0answers
105 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