10
votes
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Using market microstructure and exchange-specific knowledge to design trading strategies
I'll give examples of each: market microstructure, exchange protocols and connectivity.
Private fills
Probably the most well-known in the public domain is the idea of a "canary order". In ...
- 2,368
8
votes
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Dynamics of FX rate
I am answering now instead of commenting. The rate of change in FX is naturally forward looking in this case.
What you confuse is what happened to Spot due to changes in interest rate environments ...
- 8,143
7
votes
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Understanding the GDAX price chart
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 ...
- 10.9k
6
votes
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Why circuit breakers can't prevent a flash crash
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 ...
- 11.5k
5
votes
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What makes open-outcry preferable to electronic trading and what are its consequences?
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 ...
- 4,738
5
votes
Finding ETF Symbols for alpha vantange
I managed to get data from the Amsterdam stock exchange for Shell with the same naming convention as Google used: RDSA.AS
- 51
5
votes
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QQQ fillings history
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#: ...
- 1,872
5
votes
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What would be the point of Roll (1984) on measuring the effective bid-ask spread?
Yes, trades do occur within the quoted spread. This occurs often when a trade happens at another venue since that venue has a different quoted spread. It also happens at the same venue as the quoted ...
- 2,880
5
votes
Ensuring market order creation idempotency
I can't speak for cryptocurrency markets, however in conventional market venues, I have never seen it done on market-side. What you're thinking of is usually implemented on the client side as a pre-...
- 2,368
4
votes
is there any alternative to FIX protocol
Every trading venue will speak FIX, either natively or they will translate to their native protocol. The problem with FIX is that the messages are big which slows things down. Pretty much the gold ...
- 464
4
votes
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Symbols for DAX from Alpha Vantage
Please use BMV instead of BMW (I don't know Alpha Vantage reasons for it)
Playing a little bit it looks the symbol for the index is just DAX:
...
- 266
4
votes
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Literature recommendation on extreme asset price movements
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 ...
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4
votes
Literature recommendation on extreme asset price movements
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.
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4
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What is the priority of the waiting non-matched bets, when a match becomes available in Betfair?
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 ...
- 9,215
4
votes
Would it be fair an exchange where priority in the order book is the fee paid per share in the order?
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.
- 629
4
votes
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Volatility of Exchange Option
Define the process $$X_t=\frac{1}{\sqrt{\sigma_2^2+\sigma_1^2-2\rho\sigma_1\sigma_2}}\left(\sigma_2W_{t,2}-\sigma_1W_{t,1}\right)$$
It is a martingale because it is a linear combinations of ...
- 753
4
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Is publication of Black-Scholes in 1973 and founding of CBEO in 1973 coincidental?
In the essay "Futures and Options Markets in the Evolution of Stock Exchanges" William Brodsky (CBOE head) writes "The formula (Black-Scholes) had no relation to the launch of the CBOE. ...
- 1,692
4
votes
Why a company can have one stock on NASDAQ and one stock on OTC?
Astronics Corporation (ATRO) has two types of issued stock: Common stock and Corporate Class B stock.
The common stock (ATRO) found on NASDAQ is the "standard" type of equity stock that ...
- 4,186
4
votes
For options on futures why is there no discounting?
For futures style options on futures you are correct, there is no discounting. That is because the option contract is itself a future and pays variation margin. These are quite popular on some ...
- 940
3
votes
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Does all (or any) exchange eats the positive difference between a buy order and a ask order?
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 ...
- 56
3
votes
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Black & Scholes doesn't give current option market price
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.
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3
votes
Symbols for DAX from Alpha Vantage
AlphaVantage returns all the DAX (and FTSE, CAC, MIB etc.) components fine, you just have to add the appropriate suffix i.e. BMW.FRK (BMW) and ...
- 31
3
votes
Symbols for DAX from Alpha Vantage
Firstly some background:
DAX is a German stock market index for blue chip companies. It has 30 components.
AlphaVantage does not officially support European exchanges.
So, you cannot query ...
- 171
3
votes
How is the "probabilities sum to $1$" rule enforced in betting exchanges?
By what mechanism do b and c change? I see two options:
They move by market forces, since if at any instant a+b+c<1
people will take this arbitrage opportunity which will push b and c
up.
...
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3
votes
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Liqudity and Blockchains: How does settlement time affect real trading?
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 ...
- 46
3
votes
What is the priority of the waiting non-matched bets, when a match becomes available in Betfair?
The most immediately sensible choice would be a simple queue, "first come first served". That seems to be supported by various discussions online, for example this thread.
Your second version wouldn'...
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3
votes
Would it be fair an exchange where priority in the order book is the fee paid per share in the order?
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 ...
- 9,215
3
votes
When will a stock exchange suspend trading because of a short squeeze?
In general exchanges' business models rely on them being able to provide safe, transparent and liquid markets with the credibility of being trustworthy and honest.
Whilst I myself am very skeptical on ...
- 9,215
3
votes
Accepted
Exchange vs Order-Driven vs Quote -Driven
Some terminology, including terms like "quotes" and "orders", has become obsolete in the modern equity or futures markets.
However, "quote-driven" or "order-driven&...
- 2,368
3
votes
Dynamics of FX rate
Here is a way to demonstrate the logic of standard FX rate models. The key takeaway is that these models assume that uncovered interest parity (UIP) holds but still imply that a US rate hike leads to ...
- 1,692
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