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Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage

Let $k$ be the funding amount (in \$), let$N$be the number of stocks, let$V$be the vector of expected daily volumes$v_i$, let$R$be the vector of expected returns$r_i$, let$W\$ be a vector of ...

crypto HFT architecture

I can show you here what we did, and how we architected several production-ready low latency trading (achieving under 2 microsec tick-to-trade) Note: we did all this using software-based only systems (...
1 vote

Python: detecting measured moves of candlestick data

I can only offer apriori solutions which are slightly overfit: to calculate the slope of N lookback periods and drop the ones that have a low and high std dev (how to determine low and high?) the ...
1 vote

Python: detecting measured moves of candlestick data

You can use fractals to identify highs and lows. You can also measure movements as a percentage of the nearest extreme points. Here I showed how to find down fractals, and here I measured movements in ...
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