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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.

2
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0answers
33 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
69 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 ...
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1answer
78 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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1answer
125 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
47 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 ...
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0answers
16 views

Creating the spread between inverse assets?

I'm fairly new to quant finance/trading, and I've been reading up on material regarding pairs trading. One thing that I'm confused on is pairs trading inverse assets. Say you have an asset that ...
-1
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0answers
75 views

quant trading strategy analysis

I have been playing with some quantitative trading strategies and I have now developed a model and I am at the point of analysing the results. Can somebody help me analyse the following trading ...
3
votes
1answer
92 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
81 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: ...
1
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1answer
168 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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0answers
75 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
166 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
153 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
71 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
781 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 ...
1
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0answers
74 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 ...
3
votes
1answer
593 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
63 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
39 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
80 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 ...
1
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1answer
44 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 ...
0
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2answers
236 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
88 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
93 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
62 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
61 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
496 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,...
0
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2answers
87 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 ...
5
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1answer
445 views

Known Forex Market Trends

As the title implies, is there anywhere I can find (or would anyone be kind enough to make) a [obviously far from comprehensive] list of known connections between a currency’s trends and world markets....
9
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4answers
408 views

Deciding how many trades to make

I recently sat a technical interview with a prop trading and market making firm. I didn't pass the interview, and I was wondering about answering one of the questions they asked me. So the ...
0
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0answers
34 views

How are Risk indices linked to Physical Trading returns?

Ref to my previous question here: Physical trading spot transaction analysis-Quantified I have been able to narrow down my aim to defining a physical trading strategy P&L. My question is, how ...
2
votes
4answers
171 views

Why not break the volume every day into buy and sell volumes?

In stock trading softwares, the volumes underneath the candlestick chart of stock prices are typically marked by one color, either green (buy volume) or red (sell volume), depending on if the closing ...
2
votes
1answer
144 views

Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets

Hello all, and sorry for this stupid question. I am using my custom RSI indicator to which I created programmatically. I follow the equation type from here. My problem is when I compare it with the ...
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0answers
52 views

Physical trading spot transaction analysis-Quantified

ref to my previous question here: Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
2
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0answers
173 views

OTC derivatives trade life cycle

Can someone please walk through a typical OTC derivative trade life cycle? Or could you please provide a good source on that topic? ( I mean things like negotiation - trade execution - trade capture, ...
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0answers
451 views

Cashless Exercise of Warrants

This is the formula for a Cashless Exercise of Warrants: X(A-B)/A = Y Where: Y = the number of shares received X = the number of shares purchasable A = price of the stock B = exercise price ...
4
votes
1answer
500 views

Trading Strategy adapting to my trading frequency

We want to predict the direction towards which the price will change. In this work the term price is used to refer to the mid-price of a stock, which is defined as the mean between the best bid ...
3
votes
1answer
408 views

Understanding Cover's Universal Portfolio Algorithm

I am trying to implement the Universal Portfolio algorithm strategy inspired by the paper by Professor Cover from Stanford. At the moment I am trying to understand the underlying logic of the ...
1
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2answers
68 views

Is it possible to buy/sell a futures contract with a non-zero initial price?

At creation, the strike price $K$ of a futures contract is determined using the formula $$ K = S_0 e^{rT} $$ where $S_0$ is the price of the underlying asset at time $t=0$, $r$ is the risk-free ...
0
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0answers
113 views

Stop loss strategy using options

I normally trade stocks using Robinhood, and use a simple stop loss strategy for 2:1 P/L trades. I recently got invited to use their options via their phone app, and was interested in trading some ...
0
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0answers
44 views

Lower cost alternatives to prime brokers

Given that our model trades ~40 million shares per month on a USD 10 million portfolio, our trading costs are significant under most price-per-share models. I was wondering if anyone here has a list ...
0
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1answer
78 views

Estimate intraday trading and $ volume

UPDATE With Questrade, I can get the usual data from their API, i.e. symbol, bidPrice, bidSize, askPrice, askSize, lastTradeTrHrs, lastTradePrice, lastTradeSize, lastTradeTick, volume, openPrice, ...
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0answers
84 views

Monte Carlo Simulation of Spread Strategy. Two correlated assets vs One spread simulation?

I am trying to simulate paths of a certain spread strategy such as a calendar spread between two futures ( May Crude vs Aug Crude) using a Monte Carlo simulation. My questions is there a difference ...
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0answers
101 views

Soft question - To a mathematician, can someone please explain quantitative trading? [closed]

I'm sorry if this question is too vague or too simple. I'm actually finishing my masters in Pure Mathematics this year and I was looking into the field of quantitative trading. I am pursuing my PhD in ...
2
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3answers
3k views

Does anyone know of an equivalent to trader test?

I've been looking at forums that provide links to prep for trading interviews and TraderTest.org always pops up however, the website is down. Does anyone know what happened to the website or what are ...
1
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2answers
78 views

Does all (or any) exchange eats the positive difference between a buy order and a ask order?

Say Alice asks for 100 for 5 stocks, Rob asks 101 for 5 stocks. Bob really wants to buy the stocks, so he bids $101 for 10 stocks. Does Bob actually pays 100 * 5 + 101 * 5 + fee, or 101 * 10 + fee? ...
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0answers
80 views

ODR/TLS Regression Hedge Ratio

I want to be able to run a Total Least Squares regression using python to find a hedge ratio. I have the OLS hedge ratio function but can't figure out how to get the TLS version of it. def ...