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9

Think of it like a forward trade on the settlement price. If you are buying with a TAS you are agreeing to go long the futures contract at the settlement price (+/- the offset), and whoever you trade with is agreeing to go short at the same price. It is guaranteed because the exchange becomes the counterparty for both traders and there is a margin deposit. ...


9

The flickered orders are postonly bid at 15.16. The exchange slides it back to 15.15 to avoid a locked market. Submitting firm sees the slideback and cancels. Then tries again. When the 15.16 offer is executed or cancelled out, the offer moves to 15.17 then the postonly bid at 15.16 goes through at the targeted price and gains good queue position.


7

Re the first part of the question: Quants play no role whatsoever in the actual execution tasks of trading regardless of frequency or whether we talk systematic trading or not. Its done by traders/execution traders (especially on the discretionary side) and not by quants. As your title suggests your focus is on hft, I still would claim quants do not really ...


7

There is a wide literature on optimal execution, among others: Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion, by Lehalle, 2009, Vol. 4, No. 3: pp. 40-46 Optimal Control of Trading Algorithms: A General Impulse Control Approach, by Bouchard, Dang, Lehalle, in SIAM J. Finan. Math., 2(1), 404–438 Optimal starting times, stopping times and ...


7

For reference, note that execution strategies for some types of futures contracts can be very different from equities. An example are Interest Rate Futures, e.g. here. The main reason lies in microstructure differences. For some more details see the white paper "US Treasury Futures Roll Microstructure Basics" by Quantitative Brokers (I have no affiliation ...


6

Everyone can do what HFTs do, if they spend the necessary time and money to build and run the infrastructure required. This may involve becoming a regulated broker/dealer, but it is in no way an invite-only club. Now, to your specific question, you'll find some information on Haim Bodek's site. Bodek does content that ISO's and Day ISOs are used to gain ...


6

If your original algo's goal was the follow the top-of-book quote, then it should have had some minimums before it would join a new quote. For example, the reference quote must have a minimum size shown and must be live for a minimum amount of time before you'll join. Also, it helps to "stack the book" by breaking your quote into smaller orders at worse ...


6

In my opinion, instead of developing an analytical model, it's better to evaluate this probability directly from the data. Place your simulated orders at different price levels, and check whether and when they would be executed. Then use this probability model to simulate your trading strategy. However, assuming that you want to simulate a trading strategy,...


5

If you want to be more aggressive without revealing your hand, place your orders as hidden orders inside the bid/ask. Algos on the other side will fish with small size orders to see what is hidden however. The fishing will not reveal the size of your order, but reveal that something is there. Can get some size done this way. The advice above regarding ...


5

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work. There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.


5

I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will be ...


5

You now have four reference books for algo trading Market Microstructure in Practice (L and Laruelle) for an introduction and microstructure related aspects The Financial Mathematics of Market Liquidity (Guéant) for practitioner who want to start implementation Algorithmic and High-Frequency Trading (Careta, Jaimungal and Penalva) for quants or young ...


4

With respect to what you need, you have to consider different aspects of optimal trading: the Almgren-Chriss framework (cited by Anna, since Jim and Alex -amongst others- extended it) focus on obtaining an optimal trading rate, it is nice but not really what you need. You can nevertheless use it to plan / schedule your trading during the day. but what you ...


3

Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF.


3

In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ...


3

Look into OLF's Findur http://www.olf.com/software/financial-capital.html highly customizable trading platform, will not give you everything you mentioned out of the gate but has capability to get there with some development effort


3

Most of the big players offer a suite of execution algorithms for big orders, as seen in this listing from Credit Suisse. Very generally speaking, the algorithms will have a pedigree going back to volume weighted average pricing schedules, or perhaps to the famous paper by Almgren and Chriss. They have various modifications, including use of "unusual" ...


3

To slice up an order you can use several execution strategies. TWAP which will execute small slices of your order over a time period VWAP which will spread your order over time and try to minimize slippage against the vwap benchmark for a given instrument POV which will split your order up into smaller chunks and attempt to keep your order filled as a ...


3

I think what you are looking for is an Adjustable Stop Orders (https://www.interactivebrokers.com/en/index.php?f=574). Using adjustable-stop-order you can limit your losses in case the price falls and protect your profits if the price rises. Adjustable stop orders are not orders per say but they are "instructions" to change an existing order. For example: ...


3

IBPy + IB Gateway + TWS and you can send order to any interactive brokers, how to setup


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

Suppose your target participation rate is 1/11 ~ 9%. At each price level, whenever someone puts a limit order of size 10, you put a limit order of size 1 right after him. Whenever someone cancel an order of size 10, you cancel 1 share from your limit order with the lowest priority. When a market order arrives, you adjust your limit orders depending on ...


2

So to summarize the comments given, dark pools seem to do the following: banning of specific firms by the dark pool requiring a minimum order size banning of firms by the participants flow analysis to separate different types of players To me it seems that this covers most of the reasonable actions they could possibly take and whether this is done seems to ...


2

Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...


2

No. 10 shares from Order1 have time priority. The 100 shares of Order2 will trader after 10 from Order1. The 90 hidden shares of Order1 are hidden, and therefore at the back of the queue. When they light, they get in line at the back.


2

The adopting release of Reg NMS http://www.sec.gov/rules/final/34-51808.pdf discusses the problem(s) they were looking to solve. That will provide the SEC's thought process.


2

You would create an "Alert" that submits the trailing order when some set of market conditions are met. It's confusing because this is really a trigger, but IB calls it an alert.


2

You would need intra-day bid-ask and volume data, otherwise this would be difficult to analyze. Even with large spreads, your trade can execute on either end of the spectrum just based off of how the market is trending that second as a whole for most low-volume securities. For most truly illiquid securities, execution is more dependent on the broker's ...


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