# Tag Info

11

You kind of answered the question yourself. Precisely because different market participants use different inputs to their pricing models, it is much easier to quote one single input (implied vols) than the output of 5 different inputs (BS option price). What is important is that you clearly differentiate between quoting and agreeing on the trade vs. the ...

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

I reckon it's the $\frac{log(ASK)+log(BID)}{2}$, just simple arithmetic average as it makes sense, also considering logarithmic returns, when you can only take a differences from log prices. Also, the second alternative would yield negative 'prices' for spreads lower than 1, which cannot serve as a 'price' indicator.

2

This is an example of minimum price variation (also known as the minimum price increment or the minimum price fluctuation). All public quotes for US equities are displayed to the nearest penny. (Hidden quotes may be entered at sub-penny increments.) US stock indices follow this convention and thus quote to the nearest penny. The oil listing is odd indeed. ...

2

+1 for "feeling like the data is out there to be parsed for free". lol If data is just for toys, do: http://www.dxfeed.com/historical-tick-data/ They offer (free) tick data for May 6 2010 (flash crash). Scrape google. This question: Free intra-day equity data source

1

Your confusion is certainly coming from a distinction between Price and Yield. 1 - You're definitely right in regards to Bond Price as 99 1/8 = 99.125. Likewise 99 1/32 = 99.0313 (assuming 100 PAR). It's worth highlighting on the fact that this convention is only applicable to US bond prices, as far as I am concerned. 2 - By contrast, Bond Yield is the ...

1

I don't recommend linear interpolation of DFs and the swap rates you are applying this to are either against 12M libor which is illiquid or you are not accounting for Quarterly or Semi-Annual floating sides. And what I'm going to suggest uses a single curve framework which is long outdated. But that being said and given the nature of what's been asked... ...

1

Technical analysis is not quite in my wheelhouse, but it's been an interesting topic to me, so hopefully I can lend a hand. Let's start with some basic assumptions: Because OBV is based on volume, there is obviously a huge range as you've pointed out. This makes comparison straight across companies impossible. To compare companies, you need to take out ...

1

I made the next C++ conversion function. int Convert( Bar *bars, const Tick *tick, int tickCount, int lookback ) { #define Normalize(a) double((int((a)*m_scale+0.5))*m_point) unsigned int m_end = 0; int count = 0, i = 0; Bar *pBars = bars[count++]; // lookback - bar's timeframe in seconds const Tick &t = tick[i++]; pBars-&...

1

Pick a time range of traded prices, open is the first value in the range, high is the max of the range, low is the min and close is last value in the range.

1

Bars represent an summarized view of what happened during a given period of time of a single given value. Therefore, you need to first pick the value you want to summarize: Bid, Ask or Last Trade and use values of only these measures to build your bars.

1

Supply and demand... If you want an event that produce a change in the value of a currency, just look at the ruble. As Russia, gets more and more isolated and inflation spins out of control the ruble lose its value against other currencies.

1