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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 ...
databento's user avatar
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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 ...
AKdemy's user avatar
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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 ...
nbbo2's user avatar
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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 ...
lehalle's user avatar
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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 ...
amdopt's user avatar
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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
dixkix's user avatar
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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#: ...
drobertson's user avatar
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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 ...
kurtosis's user avatar
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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-...
databento's user avatar
  • 2,548
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 ...
Bikenfly's user avatar
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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: ...
J_P's user avatar
  • 266
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 Z├╝rich. A good starting point is the research page of his institute.
vonjd's user avatar
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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 ...
user30978's user avatar
4 votes

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 ...
Attack68's user avatar
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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.
wildbunny's user avatar
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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 ...
Canardini's user avatar
  • 553
4 votes

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. ...
fes's user avatar
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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 ...
Pleb's user avatar
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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 ...
river_rat's user avatar
  • 1,080
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 ...
adatherton's user avatar
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 ...
TraderPatrick's user avatar
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 ...
Dayton Marks's user avatar
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.
tgood's user avatar
  • 66
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. ...
amdopt's user avatar
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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 ...
Mrupsys's user avatar
  • 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'...
Phil H's user avatar
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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 ...
Attack68's user avatar
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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 ...
Attack68's user avatar
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3 votes

To what degree is volume correlated with price impact?

Market impact corresponds to price moves due to the intensity of trading in one direction. As you mention: when a market participant trades in size in one direction, the price usually follows. They ...
lehalle's user avatar
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3 votes
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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&...
databento's user avatar
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