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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 ...
nbbo2's user avatar
  • 11.4k
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, ...
kurtosis's user avatar
  • 2,910
3 votes
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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, ...
Thomas Johnson's user avatar
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 ...
Attack68's user avatar
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2 votes

Effective way to persist strategy real time orders to database?

Some approaches I can think of. Let the hardware capture all incoming and outgoing traffic and filter out the orders and order updates. This has the advantage that it shouldn't come with any added ...
Bob Jansen's user avatar
  • 8,562
2 votes

Fatigue with Historic Backtesting - Alternatives?

Highly speculative and would require a decent degree of domain knowledge, but I would guess that two or more adversarial agents competing against one another in a properly-configured financial context ...
Adam Conrad's user avatar
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 ...
stackoverblown's user avatar
2 votes
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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 ...
Bob Jansen's user avatar
  • 8,562
2 votes
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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 ...
klib's user avatar
  • 328
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....
mementum's user avatar
  • 628
1 vote

Latency (market updates) and link to market efficiency

"The trading activity of HFT updates limit orderbooks at a higher rate than the round trip for any non-collocated observer. The snapshot of the limit orderbooks you take into account to make ...
Jim Broiles's user avatar
1 vote

Effective way to persist strategy real time orders to database?

If I may suggest, QuestDB is a time-series database written exactly for these use cases, with many users on the financial industry. Ingesting data can be done using any postgresql compatible library ...
Javier Ramirez's user avatar
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, ...
Sergei Rodionov's user avatar
1 vote

Which Nikkei225 futures contract to take?

Aspects that I presently see are: ...
user28221's user avatar
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 ...
jeonw's user avatar
  • 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 ...
Anirban Saha's user avatar
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) ...
Chris's user avatar
  • 1,643
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 ...
Andrei Ciuca's user avatar
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 ...
user1130176's user avatar
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 ...
madilyn's user avatar
  • 5,240
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 ...
Richard at NorgateData's user avatar
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 ...
Erel Segal-Halevi's user avatar
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.
JoshK's user avatar
  • 2,623
1 vote

Is node.js being used in systematic trading software?

With the rise of crypto trading more and more technical indicators, backtesting software and live trading applications have been created using JavaScript/TypeScript and Node.js. One of the most ...
Benny Code's user avatar
1 vote

Appropriate method for calculating negative returns on a trading strategy?

I have a cumulative profit/loss time series below for a trading strategy, what is the appropriate way to calculate the returns in percentage for such a series? Correct me if I am wrong, but it seems ...
wombatonfire's user avatar

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