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17

The primary quant skill needed to make the market is optimal control (a typical paper is Guéant, O., L, and J. Fernandez-Tapia (2013, September). Dealing with the inventory risk: a solution to the market making problem. Mathematics and Financial Economics 4 (7), 477-507), because you need to control your inventory and adjust your quotes accordingly: be more ...

11

Among matching rule, do not forget "auction calls", in most markets, you have one at the open and one at the close. To give you the main reasons to use one matching engine rather than another: Auction calls (i.e. fixings) are good to digest a lot of orders in a very short amount of time. It is why after a trading suspension, the trading starts with an ...

8

Successful strategies in both areas can have the same math requirement. It just depends on the algorithm. PhD level mathematics is not a requirement in either area, despite the impression you may get from academic papers (note that a lot of these papers use math to build a sim market, which is completely dislocated from what a researcher needs to do). I feel ...

7

The top chart is called a 'candle stick chart' or 'OHLC candlestick' or 'OHLC bar chart' http://multicharts.com/trading-charts When the price goes down during a time interval (from O to C) the box is filled in orange, when the price goes up it is green bordered with black inside. The exact colors are a matter of taste, as long as they are clearly different ...

7

Unfortunately, the ability and tools to develop a low latency trading system are extremely commoditized and will be insufficient for you to make a living in this field. An overwhelming majority of electronic market makers are staffed 100% by PhDs because trading experience and research compose their primary differentiators, e.g.: SIG EMM - 100% PhD. DRW EMM ...

6

As a preamble. There are two types of "circuit breakers" if the price goes outside a (long term or static) corridor defined as yesterday close +/-p% (very often p is a multiple of the long term volatility): "stop the market" and "reopen"; if the price goes outside a (short term or dynamic) corridor defined as previous trade price +/-q%: "stop the market" ...

5

Companies with more than $10M in assets and a share class with more than 500 equity owners are required by the SEC to file an annual Form 10-K report. You can reverse engineer how NASDAQ makes its revenues through their latest Form 10-K. After deducting expenses from transaction rebates, brokerage, clearance and exchange fees, this is the breakdown: Market ... 5 If you are looking for the official SEC filings then EDGAR is your best bet. QQQ is still listed under PowerShares, the old (and better IMHO) name for Invesco. POWERSHARES QQQ TRUST, SERIES 1 CIK#: 0001067839 This link should get you what you need; https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0001067839&type=&dateb=&owner=... 4 The better price will come from two live traders (one on each side of the trade) willing to take a smaller percentage commission for a large block trade. For example, if a trader's average commission per day is USD 2,000 and someone sends them a 100M block trade, they aren't going to insist on their standard commission rate. Let's say they usually get a .5%... 4 There is a large literature on extreme value theory (EVT) and a sizable subset that concerns its applications in Finance and economics. A well known reference in the literature is: Modelling extremal events (Read Taleb's review here) I would suggest you start there to see if you find what you are looking for. A good reference for 'pure' EVT is Resnick's ... 4 I think this would be equivalent to having an infinitesimal tick size, since you could always improve your execution priority by increasing the price you offer. 3 If you're looking for all transactions against any or a given set of securities on whatever exchange, you can get that from a data provider like IQFeed or eSignal. Most of them will have tick level data going back for at least several weeks. Some people have been collecting tick and market data for quite sometime against a variety of securities, and as ... 3 It's not bad but you have to backtest the method out-of-sample. Say you have discovered an indicator that works 100% in history, you still cannot be sure if it works next time. Another advise is you might want to investigate the distribution of loss when your system fails to work. If your system delivers 1% every time you trade, and loses 10% each time it ... 3 In the long term you will underperform buy & hold because you need an accuracy of at least 65%. See these papers for more: Bauer, R.; Dahlquist, J.: „Market Timing and Roulette Wheels Revisited“, CFA Institute, 2012. http://www.cfapubs.org/doi/pdf/10.2469/irpn.v2012.n1.10 Sharpe, W.: “Likely Gains from Market Timing”, Financial Analysts Journal, March/... 3 Option #1 - If you need historical data you can use one of the links from other answers http://eareview.net/tick-data/download-free-tick-data Training set of tick-by-tick data? Option #2 - Also, historical data can be exported from Metatrader or Ninjatrader : https://www.mql5.com/en/articles/27 (OHLC bars only) http://www.ninjatrader.com/support/... 3 It's exchange dependent. An answer to each question which applies to every exchange doesn't exist. But for the major developed world exchanges, execution happens in continuous time and not discrete time and transaction will occur instantaneously when conditions are met (e.g. a buyer crosses the spread). So a few nanoseconds or microseconds after the buy ... 3 i am not an expert in equity settlement, but through example you will be able to grasp the idea. there are few separate parties involved - for example client, broker and third party register where equity ownership is registered. let's say client buys equities through broker. now broker needs to collect funds from the client and deliver ownership of asset (... 3 Also, your input for volatility into the BS Calculator is 1551%. I am assuming you want to input the volatility as 15.51%, which would be 0.1551. 3 What your describing is a simple limit-order book. Bob submits a limit order to buy 10 shares at \$101 so he will get filled for 5 @ 100 and 5 @ 101 and have a VWAP of \\$100.5. If a broker or exchange did that to you where you pay 101 for all it would be completely illegal. You’re entitled to receive shares at the best available price by law in most ...

3

I would suggest having a look at the books and papers of Didier Sonette from ETH Zürich. A good starting point is the research page of his institute.

3

I know this question is specifically about Betfair but you may be interested to know that financial derivatives exchanges operate similar procedures. In fact their algorithms generally factor the time of order placed and order size. Also the precise details of the algorithm are kept secret so that algorithmic traders cannot profit from the precise knowledge ...

3

Would it be fair? On the one hand, the total price paid for a security is simply the asset price + execution fee, and if one is willing to pay higher than another party then so be it, that's their edge. On the other hand the market is no longer transparent. Exchanges display bids and offers and you place your order with some inherent knowledge about your ...

2

Yes definitely, the biggest challenge of using direct exchange feeds is the cost of maintenance. Here are a few issues to consider in your position: Cost of maintenance. This includes the time it takes to write a feed handler and keep it up-to-date against the exchange's feed API; the cost of colocation, and (often) higher licensing costs of receiving the ...

2

No. All you need is to be naturally smart, and not lack common sense. Well, clearly, a bare minimum of education (the 4 operations should suffice) ;-) Also sometimes, too much specialized education may really be detrimental (it's common the case of Physics PhDs, who have an harmful tendency towards predictive models). Usually, and generally speaking, a ...

2

I emailed one of my contacts at NYSE, who replied that there is no rule or policy governing half days (other than that the exchange must be opened for a full day on the last day of the year).

2

IEX is an ATS. The ECN/ATS business is dominated by rampant and well known conflicts of interest. A part of the IEX value proposition from the beginning was to offer an alternative to traders who were disenfranchised by this market structure. If maker-taker rebates are part of your trading business model or if you engage in any strategy that could be deemed ...

2

Have a read of the paper posted here: http://prescientmuse.blogspot.co.uk/2015/01/mixed-martial-arts-fight-outcome.html It pertains to MMA but expounds on research method and what a profitable strategy may look like. I wouldn't suggest liquid sports at all. Liquidity will imply often imply prices which correct quickly to represent the best guess at the ...

2

You might be interested in this link: https://www.dukascopy.com/swiss/english/marketwatch/historical/ It's not as good as Reuters or Bloomberg data, but it's free.

2

It's not unusual to find a financial time series with positive trend samples biased between 55-60%, depending on the period sampled. Stocks tend to have an upward drift over the long run. When you account for the drift, I would say, that number is really not much better than chance. A better way to verify your question would be to make certain to build ...

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