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Questions tagged [trading]

Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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1answer
29 views

How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
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0answers
44 views

Indicator of over and undervalued price stock [on hold]

I know that dilution might be a good way to see if a stock price is overvalued. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in ...
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1answer
63 views

How equity dilution could be profitable for short sellers?

I am trying to understand the concept of dilution. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in the ownership percentage of ...
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0answers
42 views

Getting buyers at lower levels [on hold]

URL : https://www.youtube.com/watch?v=85zRK4LpIIo At 33:00 in the youtube video, Bruce told the buyers absorbed part of the resistance at 183.00, but there's not enough buyers to drill out the whole ...
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0answers
19 views

Require a Paper Trading Platform API for Indian Stock Market

My objective is to integrate paper trading on my website. But i need an API to do the same for me. I am ready to pay for the API too. Also, it should be Indian Stock Market Data.
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1answer
47 views

How to calculate the daily rate of return for an actively traded account

I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
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1answer
79 views

What is a counterparty risk trading desk

Can someone explains what does the above mentioned desk do? What are their responsibilities and how do they manage them, where do they fit into the rest of the organization?
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0answers
43 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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0answers
33 views

Rebalancing order on trading pairs

I'm working on a program to rebalance my portfolio among a set of crypto assets. Though I'm a bit confused on how to best order the buys in sells among the various pairs. Consider the following ...
3
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2answers
1k views

Criteria to assess the possibility of corporate bankruptcies in U.S. equity exchange markets [closed]

Which criteria do you suggest to measure the susceptibility of bankruptcies (e.g., Chapter 11, 7) for a company in a U.S. equity exchange market (e.g., NYSE, ...
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2answers
92 views

Naked options selling [closed]

I sold the naked put. The price of underlying went down and broke the support. The situation changed technically from bullish to bearish. The price of underlying is still quite far above the option ...
2
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1answer
99 views

How to check if a portfolio has momentum bias

I am wondering what methodology exists to check if a fund/portfolio is having momentum bias or chasing the past performance, assuming you have their full returns and full portfolio holdings for past ...
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1answer
51 views

Filter the NASDAQ stocks for investment [closed]

I manage an investment portfolio since 3 years now. It might be interesting to filter all the NASDAQ stocks to tell us which ones have the greatest profit potential. Is there an arxiv or whatever ...
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0answers
38 views

Calculating Risk of Portfolio of Futures/Future Options [closed]

all. I am looking into calculating margin on futures mixed with futures options. Say ES is trading at 2700 currently, I long 100 ES, 600k (Margin/risk). Then i buy 100 2680 puts. so Points Diff (...
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0answers
116 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. ...
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0answers
55 views

Why “profit factor” is used to compare trading strategies?

A lot of books/articles/trading forums mention that "profit factor" is probably the most important measure and should be used to compare different trading strategies. They define profit factor as ...
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0answers
24 views

Market Making in Long Only Dealer Markets/Odd Lots

How do you adjust market making models from the equity space to the dealer space. For example, a bond dealer that cannot go short to make a market will naturally have a different quoting mechanism ...
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1answer
100 views

What is the order flow imbalance?

The price impact of order book event is an arxiv article which shows that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between the ...
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0answers
49 views

What are the trade offs when choosing a long term bond future to trade?

It seems that when trading long term bonds *** and choosing between the two offerings on CME one is presented with a Scylla and Charybdis decision. 1. VOLATILITY CONSISTENCY: Ultra U.S. Treasury Bond ...
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1answer
96 views

Trading against a loser flow

Let's say we are getting a trade stream(instantaneous) of a group of traders that lose money. If we trade on their opposite side in a broker, is it guaranteed that we make money? Intuitionally it ...
3
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1answer
147 views

Algorithmic Trading: Normalization and Selection of Technical Indicators for Artificial Neural Networks [closed]

I study on algorithmic trading for a while based on technical indicators. I started to learn about neural networks and want to use technical trading indicators in this approach. However, I am not ...
2
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0answers
54 views

Dealing with Inventory Risk - Paper

I am reading the paper - Dealing with Inventory Risk and I am having trouble understanding a point made in the paper. The author(s) say towards the end of section 2 that: and says that: $ \mathcal A ...
-1
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1answer
73 views

How to calculate number of round trips given volatility?

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...
1
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1answer
84 views

What are common risk controls banks use when utilizing Trading Algorithims

Trying to understand what risk controls are used for algorithms that are classified as a) execution algos such as twap, vwap b) market making algos such as auto pricing, inventory management, auto ...
3
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3answers
208 views

Who trades exchange options in practice (Margrabe's formula)?

I'm currently studying the pricing of the exchange option. https://en.wikipedia.org/wiki/Margrabe%27s_formula While I can appreciate the theory, who actually buys these options in practice? Are ...
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0answers
61 views

Yield Curve Trading Strategy Explaining Books

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...
3
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2answers
191 views

Cointegration and Ratio Pair Trading

I'm having some confusion doing Engle-Granger Cointegration test and then trade the ratio. Methodology: Run an OLS fit for A and B price time series without a constant. Therefore, $\hat{Y} = \gamma \...
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1answer
87 views

How to go about computing RSI?

I've written python code that I believe computes RSI. I wrote the code based on what I saw in stockcharts.com found here Here is the code: ...
2
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1answer
220 views

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

The only related papers I can find are: Financial Trading as a Game: A Deep Reinforcement Learning Approach (2018) Deep Neural Networks in High Frequency Trading (2018) MACHINE LEARNING FOR TRADING (...
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1answer
166 views

Natural Gas Modelling

In job adverts for natural gas/power trading it states knowledge of supply and demands models for these commodities. Does anyone know of any good papers or primers on S&D modelling?
4
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1answer
176 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 ...
1
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1answer
308 views

Delta One Trading business [closed]

I don't really know what exactly Delta One desks are doing. So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
0
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1answer
107 views

Historical tick data level 1 and level 2

I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back ...
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0answers
1k views

Alternative to tradertest.org for mental math practice

The most recommended resource for preparation for Optiver's math test is tradertest.org. But the website is down. What are the closest alternatives to it? Although this question has been asked on ...
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0answers
78 views

Why is the timings between trades of SPY precisely poised at criticality ? Can this fact be used for prediction?

Let's say we have a point process consisting of the times between trades of SPY for one particular trading day. Empirically, the auto-correlation never dies out to 0 and due to results in Long range ...
4
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1answer
770 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 ...
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0answers
72 views

Has work been done on PID controllers for optimal trading?

Commonly, stochastic control is the basis for optimal trading (either in execution or market making). Has any research been done (or why not, if none) as to proportional-integral-derivative ...
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0answers
42 views

How to Determine the Last Stock Price Before We Begin to Liquidate the Position on Interactive Brokers?

I do not if it is me who is wrong or Interactive Brokers' employees who do not provide a clear information by phone about How to Determine the Last Stock Price Before They Begin to Liquidate the ...
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2answers
78 views

Understanding Leverage specifically when there is loss [closed]

Leverage helps the trader to trade with more than what is available in the trader's account. Lets say I trade long 10 BTC/USD at 7000 USD using leverage of 1:10 (i.e i deposited 7000 USD). Now if the ...
1
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1answer
112 views

Difference Between E-Mini SP500 Cash Future And Closest Expiring Contract?

What is the difference between the E-Mini S&P500 Cash Future (ESY00) and the closest expiring contract for the E-Mini S&P500 Future (prensently the ...
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1answer
58 views

How do orders outside of the market clearing level affect price?

Let's say a trader is trading in a LOB and he places an order deep in the book. How close can he be to the touch until if he has temporary or even permanent price impact? This assumes he cancels after ...
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2answers
290 views

Can someone please share examples of machine learning in quantitative finance? [closed]

There has been a lot said about the application of AI, ML and Neural Networks in trading for predictive modelling. I was unable to find any relevant examples that prove a credible output based on ...
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0answers
96 views

Backtest Portfolio Analysis

I actually finished an algorithm that i can use to extract all the trades for each stock (each file for each stock). Essentially, i run this code on Excel where there are the input about one stock, ...
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0answers
98 views

Chat bot for traders [closed]

In the framework of my internship at a bank, I want to write a chat bot program in Python that allows our bond traders via their Bloomberg terminal chat box application to type in structured command ...
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0answers
43 views

How to calculate Sharpe Ratio and recovery factor for this data ? please help me im searching from 1 week

Suppose i have 5 closed trades like the following:- 1- 1 lot EUR/USD and got zero$ profit 2- 1 lot EUR/USD and got-6$ loss 3- 5 lot GBP/USD and got-45$ loss 4- 2 lot EUR/USD and got +20$ profit ...
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0answers
81 views

How to choose trades over time when capital is limited

Say I'm in the business of trading forward contracts. So at some point in time, I look at the markets, and determine a number of trades I could make. For each trade, I know the profit I expect to make,...
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0answers
69 views

What does leverage lower than 1 means for ETFs

I've recently noticed in my IB terminal that many ETFs have leverage lower than 1. I understand that some ETFs have leverage higher than 1 for example TQQQ because ...
2
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2answers
84 views

Turning an amortising swaption into a normal swaption

Is there a way to enter a trading strategy in which the notional of the cashflows of an amortising swaption become all the same? For example, imagine the notional for the first four cashflows of an ...
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0answers
641 views

Which Pivot Point Algorithm Does TradingView Use?

TradingView has an indicator in their standard/built-in library called "Pivot Points High Low." When combined with Renko, it gives a really clean signal and I'd like to use it in code. The problem is,...
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2answers
101 views

How do you factor in skew when assessing implied volatility for a non-atm option?

If you think volatility is too cheap, how do you decide if an ATM call or an upside call (which trades at lower vol because of skew) is better? Let's say you have a $100 stock. You think the stock ...