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.

Filter by
Sorted by
Tagged with
-3
votes
1answer
63 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 ...
1
vote
0answers
47 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 (...
4
votes
1answer
259 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. ...
1
vote
0answers
342 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 ...
1
vote
0answers
33 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 ...
1
vote
1answer
391 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 ...
4
votes
0answers
59 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 ...
1
vote
1answer
110 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
votes
1answer
241 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 ...
3
votes
0answers
72 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
votes
1answer
76 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 ...
2
votes
1answer
102 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 ...
4
votes
3answers
253 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 ...
2
votes
0answers
105 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 ...
5
votes
2answers
484 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 \...
2
votes
1answer
131 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: ...
3
votes
1answer
347 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 (...
1
vote
1answer
245 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?
5
votes
1answer
246 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 ...
2
votes
1answer
3k 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 ...
1
vote
3answers
435 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 ...
3
votes
3answers
4k 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 ...
4
votes
1answer
1k 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 ...
2
votes
0answers
128 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 ...
1
vote
0answers
61 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 ...
-1
votes
2answers
86 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
vote
1answer
296 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 ...
2
votes
1answer
115 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 he has temporary or even permanent price impact? This assumes he cancels after T ...
0
votes
2answers
416 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 ...
1
vote
1answer
235 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, ...
2
votes
0answers
113 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 ...
1
vote
0answers
86 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,...
2
votes
0answers
76 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
votes
2answers
164 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 ...
1
vote
0answers
1k 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,...
1
vote
2answers
244 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 ...
6
votes
1answer
492 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....
10
votes
3answers
520 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 ...
1
vote
0answers
41 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 ...
3
votes
4answers
188 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
269 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 ...
1
vote
0answers
76 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 ...
3
votes
0answers
302 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, ...
5
votes
1answer
672 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 ...
4
votes
1answer
1k 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 ...
2
votes
2answers
78 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 ...
1
vote
1answer
110 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, ...
2
votes
0answers
106 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 ...
2
votes
0answers
137 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 ...
5
votes
5answers
7k 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 ...