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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2answers
85 views

What is the disadvantage using the edge ratio?

I want to evaluate and optimize an algorithmic trading system. For this I want to follow a step by step approach - first looking at the entry, later at other aspects of it (money management, position ...
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0answers
22 views

What can one do with cross-sectional relationships?

This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just left with cross-sectional relationships (...
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0answers
45 views

How to estimate traded volume at each tick, given the quotes and the volume at the bid and ask?

I have some data which contains Bid and Ask prices as well as the number of units at the Bid and Ask. Since I'm just messing around and I don't have price of a trade, I will use mid price. But what's ...
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4answers
2k views

Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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0answers
18 views

Is this a new way to profit from earnings releases using long straddles?

How much can I reasonably make if I buy a long straddle just as soon as earnings release day is announced and ride the rise in implied volatility along with any movements till the earnings release ...
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0answers
48 views

How do trading firms that pay for order flow make money from “arbitrage”?

I understand that retail brokers pass their customers' trades on to trading firms, and receive a payment for order flow in return. These trading firms carry out the trades and presumably also have to ...
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2answers
255 views

Detect pattern from OHLC data in Python

I'm trying to create a script that, from standard OHLC data, finds patterns. The specific pattern i'm looking for right now is sideways movement after a move up, here is an example: So basically my ...
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1answer
60 views

More/less trading on Mondays and Fridays?

In market microstructure/high frequency finance, it is well known that the trading day has high activity in the opening hours and closing hours compared to mid-day. Can the same be said about the ...
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1answer
31 views

Spread determinants

Knowing that bond A is more liquid that bond B, i.e higher volumes are traded on bond A, does this information have any impact on the spread? Can we say that the large volumes traded on A will ...
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3answers
225 views

How can we estimate new stock price after a large purchase?

Suppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price goes up in a visible way compared to ...
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0answers
17 views

Why might a bulk annuity provider hedge their exposure to risks such as inflation, interest rates, and exchange rates on a weekly basis?

I was recently speaking to someone who works at a UK life insurer which offers defined benefit pension scheme buy-outs. He mentioned that the company employs traders (of bonds and swaps, mostly) and ...
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1answer
40 views

Digital height of an option

Could someone please help me explain the concept of Digital Height clearly in the options world? Thank you
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4answers
127 views

Which Nikkei225 futures contract to take?

I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year. I want to ...
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117 views

How do you formulate trading ideas and strategies?

I have access to some tick data and Bloomberg data. Outside of data mining and hoping to find an economic rationale after the fact, what do you usually do to generate ideas before you look at the ...
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2answers
347 views

What are the main types of orders on an exchange?

I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
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1answer
31 views

Can a pay-for-order-flow wholesaler front-run orders it sees?

An argument I often hear (which was repeated here) against sending orders through "pay-for-flow" wholesalers is that those wholesalers can potentially determine if you are an "informed" trader (as ...
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3answers
89 views

Expected returns for scalping futures [closed]

I've been an investor for about 12 years now. My annual return, November 2008 until today, is 25.77% on my stock portfolio, which is heavy on AAPL, BRK.B and recently TSLA. Mostly buy and hold, hardly ...
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0answers
17 views

Cost basis for Month-to-date unrealized and realized p&l calculation

how do you calculate Month-to-date unrealized and realized P&L/performance? What is the cost basis for both? Should the cost be reset based on the end-of-previous month mark to market or the ...
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0answers
61 views

why don't people trade KOSPI2 options electronically

I checked the screen market of KOSPI2 and found that there are reasonable quotes only for the first two months contracts. I understand in Korea there are some restrictions on foreign investors but I ...
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1answer
38 views

In FIX protocol, how to identify if the trade being submitted to foreign country?

In FIX protocol, how to identify if the trade being submitted to foreign country ?
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1answer
75 views

Do Institutions (large trading firms) use market orders?

It is well known that Institutional traders (Large trading firms, market makers) most of the time use LIMIT orders or Hidden limit orders. My question is, do they ever use market orders in their ...
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0answers
61 views

Types of financial derivatives

I am looking for an explanation for different types/grades of derivatives. For example we have various asset classes: equities FX (currency) derivatives, etc. Or different types of secured debts, ...
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4answers
1k views

Algorithmic Trading: Python vs SQL

I am new to algo trading. But I have bit of coding experience in SQL. Now I am planning to develop a Algorithmic Trading system. In here I am storing all the historical data in Database (PostgreSQL DB)...
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36 views

Investment & Trading — Tracking Error

I think i am having a problem annualising my tracking error because im getting an oddly big number especially its bps. So my values are taken from Market-class where we get our returns yearly, which ...
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1answer
73 views

Calculating returns with trading costs

This perhaps is an over simplification of calculating trading returns while including trading costs. I've made some assumptions - the commission for investing and extracting an investment is 1% and 2% ...
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1answer
179 views

Bond quotes to EDSF

I am having a hard time understanding what "EDSF" (Eurodollar Synthetic Forward Curve) represents as a bond pricing benchmark. I have seen bonds quoted as spreads to EDSF with maturities < 2 years ...
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0answers
60 views

Bond Hedging: PCA and regression based hedge ratios

This is my first question and I would very much appreciate any help. For a project I am trying to compare different hedging techniques for hedging a long portfolio of bonds. I have a history of ...
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0answers
29 views

assumptions for an intraday U.S equity strategy

Hi All: I'm working on a U.S intraday equity trading strategy but it's not high frequency. Here is a quick summary of it but I don't think the summary really relates all that much to my question. ...
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1answer
87 views

How am I buying at the bid?

I've done some active trading in my personal account at Fidelity. With surprising frequency when I enter market orders I am filled at the bid for buys and at the ask for sells! How and why does this ...
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0answers
70 views

Trading options - real life vs. textbook?

I'm a Management with Finance student and we have recently learned about options. Because I find it easier to learn these things when I have some context to apply them to, I put $100 in my brokerage ...
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2answers
131 views

Books on options trading with a practical bent?

just curious to see if anyone here has come across a book or books on options trading with the practitioner in mind? My lecture slides for instance, go through black scholes and the ins and outs of ...
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0answers
50 views

Where do trades take place when the stock exchange is closed?

Some markets support pre-market and after-market trades. These trades take place outside the opening hours of the stock exchange. My questions are: If the stock exchange is closed, how and where do ...
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0answers
30 views

Average daily move from implied volatility of risk reversal

I'm trying to understand an example in Euan Sinclair's Option Trading book. On page 239 he gives a risk slide and pnl from a long 30 delta put short 30 delta call position. He says the implied ...
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0answers
15 views

Trying to grab 2 years blocks of symbol data and would like to exclude symbols that havent traded at least 2 years

Normally I pull all the data I can, this is a very expensive operation. Usually I'm working with 504 trading days plus a month or maybe a quarter of lead time. So I'd interpolate and then count the ...
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0answers
36 views

Optimal Cash Deployment in a Bear Market

Assume: You can't time the market bottom You have a finite amount of cash to buy equities There are P dip/bear periods you're gonna purchase the equity 2 Problems: You deploy too much cash early, ...
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2answers
106 views

Once the client buys a structured product, what does the trader do?

These are simple questions, i know what is a structured product and how you price it but i'm a bit confused regarding the process. Let's say client buys a simple product for 1Y, guaranteed capital ...
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0answers
48 views

Literature and Intro to Dispersion Trading

I am familiar with the basic idea of the dispersion trade i.e. index vol vs constituent vol and implied correlation. I am wondering if there are any standard resources (pdfs, books, presentations) ...
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0answers
54 views

What does proprietary trading for derivatives mean?

I understand traditional asset management is buying/selling stocks with clients' money to generate alpha, and proprietary trading is using the company's own money instead. For derivatives, do ...
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1answer
64 views

How can I model the way that average Joe trades in FX markets?

I want to develop a trading bot that trades like a non-professional trader in FX markets. I wonder if it is possible to think that an average trader trades randomly regardless of the market conditions?...
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2answers
133 views

How much shall we bet on head/tail with $1m bankroll?

I was asked this question in a trading interview: how much would you bet in a game where you win 300 on tail and loses your 100 on heads? how much will you bet if you can play game once or multiple ...
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32 views

Are all companies that are part of an exchange required to trade on all trading days?

For example, if today is a trading day for NYSE or NASDAQ, does that mean that all companies which are part of these exchanges must allow stocks to be exchanged on that day? Can companies choose to ...
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1answer
72 views

Realized and Unrealized Profit and Loss [closed]

https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ What I want to know is, after Scenario 4 in this article how does the ...
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1answer
91 views

Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
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0answers
23 views

Finding the selling price of FTR (energy trading) [closed]

I have been reading the forum here for a while but this is my first question. I am trying to figure out (for an assignment) the price some FTRs (Financial Transmission Rights) were sold. Here is an ...
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1answer
88 views

how to I get the statistical significance of a backtested result

If I have a simple long/short value strategy (say long stocks with high e/p and short stocks low e/p or any other parameter) rebalanced monthly, and a look back window of say 15 years. How do I ...
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3answers
524 views

How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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1answer
255 views

How to use neural network for technical analysis?

I am working on building a Neural network for technical analysis of stocks. The input I have is the open price and two (so far) technical indicators : RSI and William's R - for the past 2 years. I can ...
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3answers
107 views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
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0answers
56 views

Extreme AUDJPY FX vols

I'm seeing levels of -12% of market strangle vol at 25 delta for AUDJPY at 20Y onward that is causing havoc with my pricing routines, the 10 delta market strangle is trading around -6% which is again ...
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1answer
82 views

Correlation between the perfect market-timing strategy and the market itself?

What would be the correlation between a perfect market-timing strategy [that it always goes long (short) one unit of the market the day before the market goes up (down)] and the market itself, given ...

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