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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Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". I have an exercise were we are asked the following: &...
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Best approach to select strike prices for an Iron Condor?

Options beginner here. I'm aware of three popular ways to select strike prices for Iron Condor. Select strikes such that they are equidistant from the CMP. Select strikes such that the they form a ...
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How to correctly explain the current price action in a trading chart with the Hurst Exponent found?

I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data. I decided to use futures 1H markPriceKlines data from ...
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Hedging large single asset positions

I recently came across an article that described how big market participants like GS, JPM, etc. take off large equity positions (block trades) of their clients, and putting that risk on their own ...
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Book recommendations for derivatives [duplicate]

I would like to ask you, if you could suggest me a good book regarding derivatives. Specifically, i would like a book which is more focused on how the derivatives are working and traded in practise ...
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How to train mental math for trading? [duplicate]

I have a mental math test coming up for a quantitative trading firm. Anyone knows good websites to practice?
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What is the Accumulation/Distribution formula doing geometrically?

My understanding of the essence of the Accumulation/Distribution Index is that it tracks the closing price of a security during each period relative to its price range for that period, something like ...
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How to optimize the finding of divergences between 2 signals

I am trying to create an indicator that will find all the divergences between 2 signals. (A divergence being defined as t1, t2 such that one signal increases between t1 and t2 while the other ...
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implied vol smile relative to atm vols

Am I correct in saying that most stochastic vol models are meant to behave in a way that as atm vol goes up the smile comes down and risk reversals become "less stretched?" - by that i mean ...
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Open Interest on Stocks

According to the first bullet point in this explanation, "In the stock market, open interest is the number of buy orders submitted before the market opens. When the open interest is high, people ...
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Does anyone know of any brokerages that allow trades to be placed in prices out to the 5th decimal place?

I have owned a penny stock for a while now that typically trades between \$0.0002 and \$0.0003. The thing is, though, that it most frequently trades BETWEEN those two price points and doesn't actually ...
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How the vwap band is defined?

https://www.prorealcode.com/prorealtime-indicators/vwap-bands/ https://www.investopedia.com/terms/v/vwap.asp I don't see a clear definition of the vwap bands. There can be several reasonable ways to ...
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What advantage does cash-settled futures have over spot? [closed]

For example with bitcoin there is both the spot market and a cash-settled quarterly futures market. As a buyer when would I want to buy quarterly futures instead of just buying on the spot market? ...
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Systematic trading strategies - Selling 1M Straddle

I am trying to compute the daily P&L of the following systematic trading strategy: sell each day a 1M straddle on EUR-USD from 04th January, 1999 to today. My dataset contains the strike, the spot,...
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What is SIV and LMV in the hollywood stock exchange?

I am studying the Hollywood Stock Exchange (HSX). It is a popular prediction market/ stock simulator, that uses movies as stocks. In the patent details, US5950176A - Computer-implemented securities ...
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Momentum Indicators/Oscellators for Trading

The concept of momentum in trading is a bit weird to me. It seems to me to be measuring a first derivative or first difference of price, or something in that ballpark depending on the exact formulae ...
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S&P e mini price difference between close and opening

Why on some days is there a price gap on the S&P futures market. Meaning why is there a major difference in the closing price and opening price. Example on 2/18/2022 market closed at 4343.5 and ...
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How to trade a commodity in a contango market?

Let S be the spot price of corn. And let F1, F2, . . ., F5 be the first futures contract, the second month futures contract, ... and the fifth month futures contract on corn respectively. I've been ...
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Formal definition of Open-High-Low-Close (OHLC) price data

I am trying to understand Open-High-Low-Close (OHLC) data. Several sources agree in the following type of definition (Source): An OHLC chart is a type of bar chart that shows open, high, low, and ...
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Interest Rate Options - OTC vs Exchange, vol difference

I understand that Exchange Traded Interest Options (USD Libor 3m or Euribor 3m) trade with a lower volatility than the respective Cap or Floor for an equivalent structure. Can anyone give any colour ...
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TradingView STC vs any python STC

I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly. The chart that I am using is BTC/USDT on UTC as a timeframe. Chart time: 01 Feb 22 - 16:...
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Relative Strength in Altcoins compared to Bitcoin

I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc ...
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You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms?

The shape of the volatility curve in index options trading typically shows that the 'just' OTM Calls (ITM Puts) options have the lowest implied volatility. If you are long an ATM Call and the market ...
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Equity curve money management strategy to minimize drawdowns

Some high risk/returns automated trading systems requires an on/off switch as a fail-safe feature and to minimize drawdowns. Besides using a moving average on the equity P&L curve to turn on/off ...
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3 votes
3 answers
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Should Cross-Currency Basis Swaps exchanging risk free rates trade flat?

In the paper "Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps" by Bruce Tuckman and Pedro Porfirio (2003) the authors claim that cross-currency basis swap ...
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Where to get Historical Intraday data from S&P500 with delisted stocks for free?

I am under 18 and do not have a credit card to purchase this data to test my investment strategy. So what should I do?
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Free paper trading with api

Im currently using Alpaca but I want to switch the service since it had some major outages. Does anyone know a good reliable free broker with paper trading and api so I can test my trading bot. Thanks
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Problem with trying to code Chaikin Money Flow in MT4

I followed along in the video linked below and wrote the code exactly as he did, but it came up with 8 errors and 2 warnings. Below the video link is a link to the code I wrote by following the ...
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Correct return calculation if short position involved

I wanted to calculate the daily return for a long-short position. Say one has 1 unit of stock A (long) and alpha units of stock B short. How can one now calculate correctly the daily percentage return?...
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Trading currency on Kraken.com platform using their REST API (AddOrder), is this correct?

I would like some confirmation on whether what I came up for buying/selling currency on kraken.com is valid. Right now I get ...
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Vocabulary: "Well Bid" and "Fading" Meaning?

I think it is important quants understand what traders are talking about. With that, what does it mean: "vol is well bid" "fade the trade" ?
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Is there a financial instrument that is exposed to the change in growth of an asset over time?

Is there a financial instrument that is exposed to the rate of change of the value of a specific asset? If I believe a stock price will continue to grow in the future, but grow more slowly than in the ...
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Is fast reaction important for quantitative trading/research/analysis?

The interview process of many quantitative finance positions involves solving something not very difficult in limited time. This includes for instance this question on practicing simple arithmetic. So ...
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Delta of FX Options, Different Currency in Trading Book - Trading Interview Question

Having done stochastic analysis in university, together with tons of other math courses, do never prepare you for an actual interview in trading. Stumbled on what I believe might be an easy question, ...
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2 votes
1 answer
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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 ...
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Purpose of Vega Hedging

I am trying to understand the principle of vega hedging. When should a market maker vega hedge his position ? Let's suppose that a market maker delta and gamma hedge himself, and carries his position (...
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3 votes
2 answers
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What is the difference between "disposition effect" and "contrarian trading strategy"?

It is not a good comparison when I compare an effect and a trading strategy. However, I see the meaning fo these two concepts are quite similar. Disposition effect is that "the tendency of ...
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-1 votes
1 answer
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Why GameStop is a case of "predatory trading"?

Predatory trading is defined as below by Brunnermeier, 2005 This paper studies predatory trading, trading that induces and/or exploits the need of other investors to reduce their positions. We show ...
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-1 votes
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How to clarify "Predatory trading" process?

Brunnermeier, 2005 studied the "predatory trading" This paper studies predatory trading, trading that induces and/or exploits the need of other investors to reduce their positions. We show ...
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Formulas for indicators from ThinkOrSwim

I have a set of indicators that work for my trading style with TD Ameritrade ThinkOrSwim. In my attempt to replicate these indicators, I have tried TradingView but they don't match. Where can I get ...
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1 vote
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Is there an Ops Risk in being short a bond on the redemption date?

I am trying to understand whether everyone needs to be long or flat when a bond is redeemed, or being short a bond at that time is also not an issue
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1 answer
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Alternatives to Kelly Criterion

I am preparing for Quantitative Trading interviews and I know that they basically require you to solve problems on the probability of winning in a given game and then they would ask you: How much ...
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When developing an algo code with Interactive Brokers: which instruments to take during the weekend for testing orders and live data?

I am developing a trading algo that will use Interactive Brokers. Presently I use my paper trading account but face the difficulty that during the weekend the exchanges are closed. Are there any (...
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1 answer
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trading exit strategy

I have the following exit strategy under consideration. Suppose I have n shares of stocks that I want to sell. When the price reaches n/(n-1) of the original price, I sell 1 share. When the price ...
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2 answers
120 views

Calculating win-ratio

I want to quantify the performance of a trader and as I see in the books, there's a performance measurement called win ratio for this. In a book, it is defined as: ...
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3 votes
1 answer
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Inflation effect on FX rates

With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates. The article linked above points out ...
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3 votes
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How can momentum trading strategies work if returns are not serially correlated?

Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work?...
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Spot-Vol covariance and risk reversals

I have been looking into the covariance between log spot returns and log IV returns over a variety of tenors and lookback windows. However I am not sure how these numbers relate back to the outright ...
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What does it mean to be long the skew?

Consider an equity option such as SPY and I'm long the skew, do I make money if puts raise in price and calls decrease or the opposite?
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Dice question - expected winnings of rolling dice $2$ times

Typical trading interviews consider gambling problems such as rolling a dice and winning its face value. The expected winnings are $\\\$3.5$, $\\\$4.25$, $\\\$\frac{14}{3}$ for one throw, two throws, ...
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