Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
304 documents
The document describes three high-frequency trading approaches through an example in which an institution splits a large stock order into smaller child orders. Liquidity rebate trading detects likely follow-on orders and provides liquidity to earn exchange…
This note surveys seven pitfalls in quantitative investing: survivorship bias, look-ahead bias, storytelling, data mining, signal decay and trading costs, outliers, and asymmetric long-short payoffs. It explains how current index constituents can distort…
Automated trading uses software to monitor markets and place trades when predefined entry and exit conditions are met. Rules can range from simple moving average crossovers to custom strategies, with order types, timing, stops, and profit targets specified…
This article explains how to read futures volume and open interest alongside price during short-term trading. It defines total volume, the reported outside and inside volume categories, open positions, and the change in open interest. A price break…
This tutorial explains how to add reusable template libraries to trading strategies and use a cryptocurrency spot-trading library. It demonstrates calling library buy and sell functions from interactive controls, while the template handles details such as…
The post describes a time-based controller for starting and stopping automated domestic futures trading robots. It checks the current time and weekday, uses a status flag to avoid repeated starts, and calls platform functions to restart or stop two named…
This career guide outlines a self-study path for aspiring quantitative developers. It emphasizes strong programming and numerical implementation skills, with language choices shaped by likely workplaces: C++ and Python for broad applicability, while Java or…
The document is a user’s request for help translating indicator values and candle direction into strategy conditions. The proposed rules are to open a long when a bullish candle aligns with a red volume bar, and to open a short when a bearish candle aligns…
This article outlines a two-part FMZ design for forwarding futures position changes from a reference account to one or more synchronizing accounts. A template library runs inside the reference strategy, records initial long and short position amounts, checks…
This tutorial develops an earlier cryptocurrency spot hedging bot for trading price spreads between two exchanges. It adds optional spot margin mode switching for Binance, separate trigger thresholds for trades in each direction, chart lines and live spread…
The article introduces calendar spread arbitrage as opposing positions in contracts on the same underlying asset with different maturities. It describes monitoring the price difference between crypto contracts and acting when the spread widens beyond a…
Grid trading places orders at regular price intervals above and below a reference level to seek gains from market fluctuations without requiring a directional forecast. The described design opens successive buy orders as price falls, then places a sell…
The document compares two ways to retrieve Binance perpetual futures candles. Using the platform’s standard record retrieval after setting a maximum bar length of 1,500 returns only 1,000 records in the described example. A direct exchange API request for…
This guide explains how the FMZ Quant platform organizes strategy development and bot operation. Users manage strategies and bots through the website, while a Docker service on their own or a rented machine connects to exchanges, runs the strategy, and sends…
This talk overview explains four broad approaches to quantitative trading: market making, statistical arbitrage, price prediction, and microstructure trading. Market makers post bids and offers to supply liquidity and seek to earn the spread, while managing…
This report overview describes the longstanding use of machine learning and artificial intelligence in quantitative investing. It notes that applications were already present during an early-1990s wave of interest, and that use continued in areas such as…
This guide outlines an event-driven framework for monitoring and trading many Binance spot pairs quoted in a selected base currency. It recommends using the aggregated ticker WebSocket feed instead of repeatedly polling individual pairs, while noting that…
The article argues that no single programming language is best for every algorithmic trading system. It recommends starting with system requirements and strategy characteristics, then selecting tools for separate components such as historical research,…
A trader reports that a live ETH/USDT setup returns a ticker whose raw exchange data identifies the symbol as ETCUSDT, with a last price far below the ETH price shown in the Binance app. The example also shows an account response containing a raw information…
The article describes a way to collect exchange ticker data concurrently while a JavaScript trading strategy runs. A separately compiled Go program acts as a protocol plugin and repeatedly requests market data, stores the latest ticker response, and serves…
This document introduces a digital-asset trading library that combines an existing spot-trading template with futures support for OKCoin and BitVC. Its main teaching is operational: futures orders require contract selection and position-aware handling that…
This intermediate FMZ tutorial explains practical platform techniques for building automated trading strategies. It covers operating across exchanges and symbols, configuring futures and swap contracts, and handling API failures through retries, null checks,…
The document describes an order-management issue in a Binance perpetual futures example. A partially filled sell order has an original quantity and an executed quantity; subtracting the latter from the former in JavaScript produces a residual quantity with a…
This beginner tutorial explains why a live trading system may need to collect its own candlestick history. Some exchanges provide candle data directly, while others may not. The author distinguishes live use from testing: the platform supplies historical…