amsh
  • Member for 6 years, 8 months
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  • London, United Kingdom
why is there a cancel/replace message in FIX?
15 votes

Order Cancel-Replace might save you from losing priority in the book (for instance when cancelling some of the remaining shares - check the venue rules!). The communication overhead is very ...

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Rest API to retrieve ISIN
11 votes

Try OpenFIGI (formerly the Bloomberg Global Identifier - BBGID)

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Interpretation of portfolio standard deviation
Accepted answer
5 votes

It depends on the distribution of the returns. If you assume that it's roughly normally distributed, then you have a ~68% chance for a return in the range of 1 standard deviation, ~95% chance for 2 ...

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Trading Interview Question (Bullish, Bearish)?
5 votes

It doesn't matter since multiplication is commutative (in $\mathbb{R}$); you will always end up losing the same.

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Where can I get alerts for future delisting?
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4 votes

You should have this information freely available on EDGAR. It is going to require some parsing and probably human verification (it's not a lot of data). You can query by filing type (i.e DEFM14A / ...

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how are gaps usually handled in market data received with multicast?
Accepted answer
4 votes

You are usually given an option to either - Request a re-transmission of the messages you missed (through a different channel). Request a snapshot of the current book from a dedicated server. Both ...

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Definitive way of figuring out companies with multiple classes of stocks
Accepted answer
3 votes

You can download the company list csvs from nasdaq.com, it has the mapping you need.

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Macaulay Duration: Duration for 2 bonds
3 votes

Macaulay duration is simply a weighted average. $MacD(A,B)=\frac{V(A) \cdot MacD(A)+ V(B) \cdot MacD(B)}{V(A)+V(B)}$

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What happens to the stake of a lay bettor on a betting exchange?
Accepted answer
2 votes

If you want to win £10 by laying at odds 3.40, you are staking £24 (the amount you're prepared to lose), and that's the only amount of money that will be held by the exchange as liabilities (i.e. you ...

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How is this financial product called?
2 votes

You may want to consider Single Stock Futures in Eurex. BMW: http://www.eurexchange.com/exchange-en/products/equ/fut/BMW/25544

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Why does the Sharpe ratio not change when the strategy is leveraged?
2 votes

Sharpe ratio = $\frac{r_p - r_f}{\sigma_p}$, where: $r_p$ is the expected portfolio return $\sigma_p$ is the portfolio's standard deviation $r_f$ is the risk free rate. When you leverage '$n$' ...

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What do you do with low r-squared when calculating high-frequency beta
2 votes

A high R-squared (1.0) means that you can explain the movements of one time series using the other. The lower your R-squared is, the worse your explanation is -- that includes the 'quality' of your ...

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