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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 ...
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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 (...
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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 ...
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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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