12 votes
Accepted

Orderbook Arbitrage

A public order book gives traders information not only on the current price of a security, but also the volume and structure of the entire supply and demand schedule. Such information can be used for ...
  • 286
10 votes

Orderbook Arbitrage

I am not sure Dark Pools (DP) have been created to avoid "market manipulation". They have been created by firms because they found an advantage to create them (see Market Microstructure in Practice, L ...
  • 10.7k
7 votes
Accepted

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 ...
  • 9,647
6 votes

Is node.js being used in systematic trading software?

Cloud9Trader uses Node.js on the back end and JavaScript across its technology stack, including for writing the trading algorithms themselves. https://www.cloud9trader.com
  • 161
6 votes
Accepted

Is node.js being used in systematic trading software?

I think the best choice for technical analysis with node is node-talib, a wrapper around TA-Lib. We're using it for some projects and it works ok so far. Here's a list of the indicators you get out of ...
  • 176
3 votes

Which Nikkei225 futures contract to take?

Choice of Contracts Having traded Nikkei 225 futures, you usually have three choices for futures contracts: JPY-denominated contracts (full or mini) traded on JPX (historically, the Osaka Exchange, ...
  • 2,770
3 votes
Accepted

Are there any integrated framework that I can back-test and paper/live trading in one place?

Remember that all back testing is full of lies assumptions. Latency (both line latency and latency internal to the exchanges), adverse selection, market impact (yes, even you have market impact), etc, ...
3 votes

Is node.js being used in systematic trading software?

I am using NodeJS for a similar project. There's not a ton of packages on NPM for finance and stocks, so I wrote my own, that might help you get started: Fetching historical stock data, including ...
  • 131
3 votes

Is node.js being used in systematic trading software?

We use node.js at alta5. The event-driven, non-blocking I/O model performs well in data-intensive real-time applications like a trading platform. http://alta5.com/
2 votes

HFT Architecture

In trading you need to make a lot of simple computation of a very large flow of data. FPGA are perfect that for. It is typically FPGA that will host marketfeed handler (see NOVASPARKS website, or ...
  • 10.7k
2 votes
Accepted

Sortino Ratio calculation

Firstly, I suggest you to use more recognized source to study and compute quantitative finance model or indicators; in such case, for instance, you could take as example the following paper as ...
  • 2,446
2 votes

Are there any integrated framework that I can back-test and paper/live trading in one place?

Edit (2016-06-21): Now with live data/trading integration with Interactive Brokers. It has taken a while but it has finally arrived. backtrader (https://github....
  • 618
2 votes

Is there any literature on how stock exchanges guarantee consistency?

In database design there is a process known as ACID: "In computer science, ACID (Atomicity, Consistency, Isolation, Durability) is a set of properties that guarantee that database transactions are ...
  • 8,099
2 votes
Accepted

Interpretation of Open Interest for Options

You are generally correct with your definition of open interest. It is the total number of "open" contracts for example contracts that have not been closed by a liquidating trade, exercised, or ...
  • 328
2 votes
Accepted

How to choose a stock?

This seems like a terrible idea. If you can have such an automated system for one stock, you can have it for many stocks. Then, since you're a serious investor, you want to take into account the ...
  • 7,711
2 votes

How should Aggressive Limit Orders be Processed in a Limit Order Book

A limit buy means he is willing to pay up to \$200 for 1 unit. Since there is one offer of 1 unit at \$100 that one will be bought out first followed by 1 unit at \$200. So only a total of \$300 of ...
1 vote

What is the quickest way to start a database for algo trading from scratch?

I'm posting this as a proof that speed data-ing is possible in the world of databases. Step 1: Install database - 2 minutes Install Axibase TSD (my affiliation) as a Docker container. Alternatively, ...
1 vote

Which Nikkei225 futures contract to take?

Aspects that I presently see are: ...
1 vote

Which Nikkei225 futures contract to take?

People on the buy and sell side who do not sit in Japan usually use SGX Nikkei 225 Futures as it is denominated in JPY (sorry, initially said it was USD which was wrong) it also trades when JP ...
  • 49
1 vote
Accepted

Realized and Unrealized Profit and Loss

I think I finally got the required answer to my problem. I'm sharing the code in Python 3 in case it helps anyone struggling with a similar problem. Running Profit and Loss in Python 3 ...
1 vote

Does a combined Portfolio always performs like the average of the merged subportfolios?

This is likely attributable to one of a couple things: (1) Your portfolio size for the top/bottom set are on the small side. If you broke the SP500 into quintiles by performance, made top (100) ...
  • 1,608
1 vote

Interactive Brokers - Tracking High Relative Trading Volume

You can use in IB market scanner, hot contracts by volume - you have this also in the api. today'sVolume/avgDailyVolume is highest - for hot contracts by volume avgDailyVolume is a 30-day ...
1 vote

Backtesting, how missing data points should be handled?

For backtesting, through interpolation, take the mean of day before and day after. But note, you may want to flag that security as having interpolated data. If you're missing more than one day, just ...
1 vote
Accepted

Backtesting, how missing data points should be handled?

The key question to ask is: Can you act on it if you were trading live? Both Antoine and Norgate's responses are correct in that respect. You can't trade on holidays, nor can you trade on an ...
  • 5,081
1 vote

Backtesting, how missing data points should be handled?

Each security has its own set of trading days on which the market is open for trading. For stocks, typically this excludes weekends (Note: NYSE traded on Saturdays until Sep 1952) and also excludes ...
  • 1,252
1 vote

historical data on orders and executions

I am also looking for the same kind of information in order to evaluate mechanisms for double auction. So far, I found the following two sources: The TORQ database - a database of all data related to ...
1 vote

How Much cost to setup trading platform such as Flextrade, portware, Sungaurd or Bloomberg for hedge fund?

I don't know about the others,but the base for Bloomberg is about 1200/month before any useful real-time data.
  • 2,458
1 vote
Accepted

Z-Score calculation for a win-loss streak

Your source is not particularly clear about why what they're doing is a Z-score. To give some background, what they're doing is calculating $$\frac{R-\mu_{R}}{\sigma_{R}}$$ where R is the number of ...
  • 5,311
1 vote

How to evaluate a success rate of a trading strategy

I don't know if there is a standard way of solving the problem, but I solve it thus: Strategy A bought for $C_a$ dollars and sold for $S_a$ dollars for a result of $R_a = S_a - C_a$ over $T_a$ days. ...
  • 336
1 vote

HFT Architecture

FPGA's are used to run the latency sensitive HFT strategies. They can also be used solely for parsing whatever protocol is in use (FIX, ITCH, etc..) and routing the decoded objects to a CPU for ...
  • 156

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