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Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.
3
votes
FX official rates
Here's an example of how exactly FX reference rates are being calculated for the exchange-traded USDRUB pair (USDRUB MCDF Curncy in Bloomberg, USDFIXME=RTS in Refinitiv). In this particular case, it's …
1
vote
Tech companies valuation
Over the last decade or so, many enterprise technology companies migrated from the license revenue model to the subscription model, also known as SaaS.
Low inflation allows companies to amortize the s …
5
votes
How long do algorithmic trading strategies typically remain profitable?
To add to your list which is valid in itself:
Infrastructure changes at the trading venue, in particular latency-related changes
Market-making program changes at the trading venue
Order type changes at … the trading venue
Reference data changes (price increment, round lot size etc)
Listings/de-listings of correlated instruments …
6
votes
Accepted
Formerly profitable algorithmic trading strategies?
Take a look at compilations such as 151 Trading Strategies.
I wouldn't expect this information to be widely disclosed. …
0
votes
What's the optimal way to size a limit order?
Here are some alternatives:
Utilize Accumulate Distribute algorithm to reduce market impact.
Place an iceberg order.
Place a LOC (limit on close) order to execute it at the closing cross.
1
vote
Accepted
Is there ever a case where there are multiple ticks (different prices) at the same tick time...
I ran a script to measure the timestamp delta between top-of-book change events on a quote feed for an exchange traded FX contract (~80000 trades per day). The feed itself provides microsecond precisi …