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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 …
Sergei Rodionov's user avatar
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 …
Sergei Rodionov's user avatar
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 …
Sergei Rodionov's user avatar
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. …
Sergei Rodionov's user avatar
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.
Sergei Rodionov's user avatar
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 …
Sergei Rodionov's user avatar