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2

Owen, designated market makers in general are required to send in a two sided market (a bid and and offer) within a certain width for a certain percentage of the time. There's no obligation to cross the market and actually trade. Also, many people who self-identify as market-markers are not really designated by any exchange and have no obligation even ...


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It's clear the question is not about previous day close to next day open data and Almost every chart in publications show this same discrepancy for intraday charts. It's likely there is data missing around, that does not get into charts when individual candles are generated. I have noticed that while charts are being updated with new data, no attempt is ...


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Its called 'universal' because, unlike usual models trained on time series for a given stock/ contract, this model is trained on a POOLED data set (in this case 500 or so stocks) and is then shown to be applicable for forecasting any stock, including those not included in the training data. This is different from the usual approach where, say, you use time ...


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Compare Sharpe , Sortino Ratios, yearly Profit,Max Drawdowns per year of your strategy to 1) buy and hold all of the stocks in your universe 2) few strategies (with different random seeds) which randomly buy /sells stocks in your universe with monthly re-balancing If you want to go more mathematical and get p-values that your strategy's Sharpe Ratio if ...


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@amdopt's answer emphasises there is a lot of depth to this topic and that the actual behaviour of the order matching depends on exchange particulars. In this answer, I give a simplified view of an exchange where market orders also don't match other market orders. Orders can be split into two types: resting orders and immediate orders. All resting orders ...


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Two (or more) orders arriving at the same time makes no difference for an exchange's matching engine, the buy orders execute against sell limit orders, and the sell orders execute against buy limit orders. If no limit orders exist, market orders may be rejected by the exchange, or the price will be restricted to a 'volatility threshold' based on the last ...


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Market orders cannot be matched against other market orders. Consider this case: 1) Limit book is empty on both sides 2) Market sell arrives at same time as market buy with matching sizes What price do you fill this trade at?


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