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Algorithmic trading has two meanings: - the process of taking in inputs such as market data, current news, and producing orders without human intervention. - the process of optimising the trading of a large order or the market making process.
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Meaning of cross sectional rank
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from any data point such Di on, we take the last ten data points (e.g. 10 days) from Di-10 to Di-1, and do the calculation with rank(D.Open)i and rank(D.Volume)i, and the result is a s …