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.
491
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How do I calculate option payoff before its expiration date? [closed]
How do I calculate option payoff before its expiration date? For example, if I long a 6 month call with K = 11100, T = 0.5, p = 150, what would be the payoff of the option if I exercise it in 3 months ...
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1
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616
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Relationship between tick size, tick value, and contract size?
For many options and futures I can see that
Contract Size = Tick Value / Tick Size
Are these values always related like this, and if so what does the relationship mean?
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213
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How do market makers manage to sell a large number of shares at the end of a trading day without a significant reduction in their price?
The trading day of May 9, 2019 was remarkable in this respect.
I have attached the Microsoft screenshot as an example, but I observed the same in many other securities.
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2
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581
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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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Stock trading data across multiple vendors interview question
I had the following coding question in a quant shop interview recently. I have no experience with quant finance, so I was hoping to get some insight on if this problem actually represents some real ...
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2
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Assessing the value of risk reversal and the fly
This is important for traders.
What I'm really asking is how do we ascertain if vanna (or dvegadspot) is being valued correctly by the market?
and for the fly, fair fly value will be a combination of ...
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217
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Separating Forex Instruments
I'm a mathematician and I'm newish to trading.
Is it possible to separate or decouple the two currencies in a trading pair?
That is, given the GBP/USD pair, is it possible to create a graph of the GBP ...
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Using LGD (Loss Given Default) in the trading of bonds
Do you use the LGD as a risk management tool when trading credit cash bonds? Or it's more for trading the loan product.
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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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729
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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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180
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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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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 ...
- 351
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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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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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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 ...
- 351
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619
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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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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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estimate credit bond price out of trading hour
How to estimate a credit bond's price out of trading hour ? For example, how to estimated an U.S credit bond's price at 8am london time, when the US bond market is closed?
We can decompose a credit ...
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410
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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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Accesssing buyers and sellers of futures contracts
I'm attempting to access all futures contracts traded for a given day. Reading the Quandl blog: https://blog.quandl.com/api-for-futures-data to access futures contract use the python code:
...
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What kind of returns should I use for my model?
I'm building a machine learning model with the aim of learning a daily strategy of buy or sell the stock.
I was wondering if I should use adjusted close price or something else to calculate returns (I ...
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Where bonds are marked v.s.where bonds are traded
We can get bond live prices from various venues, for example, BBG's CBBT prices. Usually you would get bid/ask prices.
Are these prices prices that people called bonds' marked prices ?
are they ...
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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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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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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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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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1k
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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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285
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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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How are open and close price of mini snp futures determined
I'd like to know how are open and close prices of the mini snp futures contracts determined. For some reason I cannot find an answer to this basic question on the cme website.
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Trading book estimation
Do you have any idea/hints how could I estimate the size of the trading book of a particular bank relying solely on its annual financial report?
Any help would be much appreciated!
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Financial Instrument vs Financial Product
From this link: where explained the relationship between asset-classes and financial-instrument types
That's good, but here -Types of financial products: shares, bonds
So is Financial Instrument = ...
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284
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trading equities on options feed/microstructure data
Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?
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How can one get broker order data?
Is there any chance to get order data from any broker with a label from which account it came from?
The accounts can be anonymized, i just need to identify an account's orders sent.
Any help will ...
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231
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What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? [closed]
From a modeling point of view, here are my primary assumptions for Monday:
a) I would expect the US$ to depreciate and crude oil to rise in the long term.
b) Expect crude oil to dip in the short run ...
- 137
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Trading jobs that do not require a PhD [closed]
I hope my question is allowed. On the front page, I only see technical questions although questions similar to mine have been asked before.
I found trading jobs that do not require a PhD or knowledge ...
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45
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Exchange redirecting order
I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE.
When NYSE gets my order he looks at the ...
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Do perpetual futures have initial and variation margins?
When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place?
I'll expand on my point:
Perpetual futures without leverage. For example, we want ...
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Kurtosis and skewness trading resources
I am writing and dissertation about distribution arbitrage, which is basically kurtosis and skewness trading with the Risk neutral densities. I found a few research papers, but I am looking for some ...
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70
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Quant Strategies on longer time frames
I'm researching quant strategies suitable for retail traders, focusing on those beyond the typical 1-3 month holding period. Traditionally, retail strategies are influenced by insider information, ...
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Commitment devices to remedy investment mistakes?
I'm looking into a new question that came up lately.
Some of our clients here are prone to sell their gains too quickly while amassing larger positions of assets that have lost in value. Although this ...
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Any references on material for understanding fixed-income price discovery and occurrences of discrepancy in valuation between buy side/sell side?
Can discrepancies in pricing occur for bonds between the buy-side and sell-side ask, in addition to other complex structured credit offerings like mortgage pools? My understanding is quoted yields and ...
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1
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180
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Trading strategy with only knowledge of price increase/decrease?
Take a hypothetical model that takes a stock as input and outputs "up" or "down" indicating if the stock price will increase or decrease in a fixed time interval T.
Assuming the ...
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Data on Trading Activity in Fixed Income Markets [duplicate]
Do any readers know of a good data source for trading volumes for fixed income assets (corporates [by rating, if possible], Treasuries, MBS and ABS) that provides historical data (back to 2008)? FINRA ...
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Multiple models for one single wallet
I am an algorithm day trader. I am trying to automate certain patterns on the stock markets. Here is my question. Suppose I have $n$ models $M_1, M_2, M_3, \dots, M_n$ with expected return $E_1, E_2, ...
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Difference between the two definitions of Ulcer Index
The Ulcer Index (UI) is defined as follows on page 89 of the book "Practical Portfolio Performance Measurement and Attribution, 2E" by Carl Bacon:
$$
UI= \sqrt{\sum_{i=1}^{i=n} \frac{D_{i}^...
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40
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Define the supports and resistances [duplicate]
When I day trade, I easily notice support and resistance areas. Visually it seems very intuitive to spot them, but I can't define them so that I can spot them using python. Can you give me a clear ...
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Trading options - risk adjusted return
I have often wondered what kind of risk restrictions do traders of options in Hedge funds have but have not managed to find any information on this matter. I presume there must be some kind of measure ...
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625
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What is the difference between Flow Trading and Market Making? [closed]
Are there two definitions to Flow Trading? From reading online, I've gathered two, but I'm not sure if I am mistaken, so a little bit of clarification would be very much appreciated.
(1) Flow Trading -...
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43
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How to choose limit prices on IR futures when targeting a specific 2s10s spread?
I understand the concept of DV01s and when doing an interest rate future trade I need to use about a 2:1 ratio when trying to trade the 2s10s. This is explained here:
https://www.cmegroup.com/...
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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 ...
