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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10 views

I want to get a get stock prices for a vertical list of tickers in a csv file for a particular date [closed]

I am trying to make a simple code for determining ITM and OTM calls and puts. I have downloaded the FO data which contains all the Tickers and their strikes. However, the csv is missing the underlying ...
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2answers
78 views

Trading futures, how does it work in practice?

If my understanding is correct, then owning a future essentially means owning a contract which obliges to buy/sell something at a certain time for a certain price. But what I don't understand is how, ...
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101 views

Questions regarding a “lite/kindergarten” Barbell investement strategy implementation

The idea for this question is more or less taken from a slight hint regarding how Universa Investments L.P. functions from Taleb's Antifragile (obviously the real case is far more complex but this is ...
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116 views

A decent model to calculate hedges

Is there an option pricing model that wouldn't be too time consuming to set up in Python (for example) and that would provide better delta hedges than Black-Scholes? This would be mainly for equity ...
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37 views

Trying to grab 2 year 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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85 views

Futures Market Open

I've been reading a book recently about trading ORB (Opening Range Breakout) in the futures market. I haven't been able to figure out when exactly the open is for futures. I know the futures market ...
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2answers
91 views

How is forex market Quote-Driven?

I am new to the field, and trying to understand structure of spot currency market. As it is stated here, Quote-Driven Market ... only displays the bid and asks offers for a security from designated ...
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35 views

What are the best books or sites to learn to spot algorithm actions

12 years ago Alan Farley in The Master Swing Trader Toolkit wrote about how to spot the footprints of algorithms such as incremental steps in price through a gap and how algorithms push price down ...
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474 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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1answer
246 views

Does the Integrity of Tick Data Vary by Vendor?

My firm is currently looking at various vendors to purchase historical tick data from. The purpose of this question is not to ask for opinions on the best vendor, but purely on whether there is a ...
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88 views

Hedging Renminbi with EUR

Hedging Renminbi with EUR. What is the reason why FX traders sometimes go long EUR to hedge shorts in RMB?
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1answer
1k 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 ...
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98 views

Trading OTC FX options: choosing expiries

For FX options that are traded OTC vol quotes are given on a standardised grid, e.g. expiries 1D, 1W, 1M, 3M, 6M, etc. maturity and for each of these expiries you have quotes for ATM, 25 delta Risk ...
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109 views

When you rollover a FX Forward, do enter the FX swap at the spot rate or previous forward rate?

from below link: https://www.linkedin.com/pulse/distinction-between-fx-swaps-currency-risk-management-akubue-cfa/ "if the date of settlement of the export proceeds has been extended by three ...
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1answer
73 views

FX hedged investments

I was reading FX hedged investments do not have an impact on the FX rate. For example, a Japanese fund buying US treasuries fully FX hedged. I understand the hedging is usually done through short term ...
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64 views

Covariance Shrinkage - Am I getting the right variances?

I am looking into a quite simple task: shrinking the sample covariance matrix of a minor sample of monthly returns data on 5 different assets. I am using Python to process my data and have been using ...
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2k 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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113 views

FX swap par value

What is the relationship to apply so that an FX swap value is 0 at inception? For example, for a short 1y EURUSD swap with 1mm euro notional, at inception spot = 1.1000 and 12m fwd = 1.1022, EUR 1y ...
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32 views

Futures positioning reported by CFTC

How is the net futures position calculated by the CFTC? For instance, GBPUSD net contract is positive in the CFTC report, what does it mean given that for each buyer there is a seller?
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662 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
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1answer
40 views

How to interpret negative fixed rate in Vanilla IRS [closed]

Currently a vanilla 4Y EUR vs. 6M Euribor IRS has a negative price e.g. -0.35%. I do not understand how to interpret the swap when the fixed rate is negative. If I am the fixed rate payer in this swap ...
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67 views

India's FX foward market

https://www.bloomberg.com/news/articles/2021-05-04/india-asks-state-banks-to-protect-dollar-assets-on-cairn-concern Based on this article USDINR forward premium has spiked as there is abundant USD ...
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Determine what causes a stock price to move substantially. How?

The crypto currency market is young and they definitely don't use terms like Shares Float. When I trade stocks I know that a security with a small market cap and small float is capable of big price ...
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Role of multilateral trading facility

I'm trying to understand Multilateral Trading Facility why companies are traded in this type of exchange ? what's the role of High Frequency Trading firms in this exchanges ? Thank you
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132 views

The most appropriate volatility model

Which would be the most appropriate models to find volatility trading opportunities (i.e. plot a theoretical volatility smile I can rely on) for the following instruments: Options on equity Options ...
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441 views

FX official rates

How are "official" FX rates calculated? Are these given by an average across all big dealers or brokerage systems (eg EBS, Reuters)?
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142 views

FX Options price vs implied vol

From the screenshot below, what is the difference between the option price by strike in the table versus the implied volatilities by delta in the chart at the bottom? https://www.investing.com/...
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93 views

looking for recommendation for a var/vol swap trading book

I am aware this book - volatility trading by Euan Sinclair, and it's nice book. But I am looking for book focus on var/vol swap trading, i.e., introduce about trading strategy/ideas by using var/vol ...
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35 views

Calculating performance decay of a strategy

Came across this thread which basically advises t-test for difference in means across periods to calculate whether our edge is deteriorating. The catch being that this test will probably not be ...
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141 views

Currency trades

I usually read statements as the below: "Bank A recommends long positions in the yuan against the Singapore dollar" How are these trades usually implemented? Borrow SGD and convert into CNY (...
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15k 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 ...
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45 views

Cyclic analysis for trading signal generation

I would like to build trading signals using cyclic analysis in order to obtain a forecast afterwards. I had a look in literature and Hurst analysis, Fourier, etc, are used However, I am struggling to ...
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127 views

Use of CNY and CNH derivatives

I was wondering what are the reasons why investors use USDCNH forwards vs NDF on USDCNY? Do you usually pick CNH for trade reasons, while CNY more for speculation as these are USD settled?
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553 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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8k views

Volatility pumping in practice

The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
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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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76 views

Australian banks funding

"Typically, Australian banks pay a small premium to swap foreign currency into Australian dollars. This premium is also referred to as the basis, which is the difference between the implied cost ...
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105 views

How is calculated the futures/forward convexity adjustment for FX?

I could find lots of stuff online for IR derivatives but it seems there isn't too much on FX for this specific adjustment.
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107 views

How does one actually create a derivative of a given underlying security? [closed]

Let's say I'm an investment bank and I want to create a derivative whose value tracks that of gold. I don't want this derivative to in any way trade in the underlying security, so no futures or ...
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1answer
281 views

Formerly profitable algorithmic trading strategies?

Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
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1k 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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2k views

How long do algorithmic trading strategies typically remain profitable?

As I understand it, an algorithmic trading strategy could lose profitability, if, for example: it's rediscovered by others employee turnover leaks the strategy to others market conditions change ...
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37 views

To what degree is volume correlated with price impact?

There is question from 2017 here but the answer given doesn't really go into any detail. How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading ...
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1answer
42 views

Non convertible currencies and trade

How importers and exporters sell/buys products if their country currency is non convertible or when non residents want to invest in the country? For example in Brazil.
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146 views

Tech companies valuation

Usually tech companies/stocks are valued using one of the two methods: DCF (discounted cash flows) method that is sensitive to interest rates raise (if rates up value down) EBITDA or revenues ...
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1answer
116 views

How does a trader choose how to size his limit order?

Say Bob wants to buy \$30 million worth of APPL stock at a price of \$130. He decides to use a limit order. But posting a $30 million limit order would drive the price up and prevent him from being ...
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697 views

Software or apps for portfolio analysis and backtesting

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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66 views

Banks' use of repo to finance operations

"Dealers typically use repo to fund both their cash Treasury positions and their lending to clients through Treasury reverse repos. Thus, the ability and willingness to engage in repo, which ...
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2answers
209 views

What is the best way to interpret changes in Treasury yields?

My question is quick and simple. However, I would like to use this answer to further my understanding of bonds and yields. If the YTM on a 10yr Note yesterday was 1.00% and the YTM on the same 10yr ...
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55 views

Is there a difference between volume and turnover in the FX market?

For example in equities volume refers to the numbers of share traded and turnover to the total amount exchanged. Was wondering how this applies to FX.

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