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.
9,660 documents
The document asks whether historical implied volatility can be downloaded from Interactive Brokers. The responses indicate that a dedicated utility may not be available and describe a possible workaround: retrieve historical option prices through the API,…
The document examines whether ETF market makers can secure the bid–ask spread by immediately hedging trades with correlated instruments such as futures. The questioner models the spread earned in the ETF against the spread paid in the hedge and introduces a…
The document describes the inventory challenge faced when quoting many option strikes and levels in a fast market. Frequent fills change the portfolio’s delta, but immediately hedging every fill with taker orders can incur substantial spread costs. Waiting…
The document compares tick and minimum trade sizes for BrokerTec U.S. Treasury central limit order books. It reports that the existing venue uses different price increments across Treasury maturities, with quotes expressed per $100 of face value and a…
The document describes a proposed way to compare an algorithm’s backtest with a simple benchmark portfolio. The benchmark buys some or all stocks in a selected universe at the start of the test period, then closes positions at the end, with transaction fees…
The document addresses how to execute a large futures order in a thin order book while limiting market impact. It recommends splitting an order algorithmically instead of submitting a large market order. VWAP is presented as a straightforward, widely…
The document explores why historical replay alone may not faithfully test market-making or other microstructure strategies. A replay uses recorded order-book events, but cannot fully capture how other participants would react to the strategy's orders. The…
The document notes that market depth has no single official quantitative definition and proposes measuring it through the cost of immediately buying and selling a specified quantity, given the order book at a particular time. This cost varies with both the…
The discussion addresses why an Alpha Vantage intraday query may work for US listings but fail for Indian exchange symbols. One answer describes uncertainty around the provider's underlying sources and exchange coverage, noting that US data was linked to IEX…
This document explains how to calibrate a pricing model by selecting parameters that bring model prices close to observed market prices, using an error measure such as mean absolute error or root mean square error. It discusses choosing an optimization…
The document discusses whether stochastic-control models built around the Hamilton–Jacobi–Bellman equation have practical value in market making and algorithmic trading. It describes their role as research and teaching tools for reasoning about quote widths,…
The discussion distinguishes computational limits by workload. For real-time trading, it argues that network throughput is often the constraint, while historical analysis is more commonly limited by memory capacity or bandwidth; ordinary CPU use may not be…
The document describes an apparent inconsistency when reconstructing a Nasdaq order book from ITCH messages. An order is added at one ask price, partially filled through a standard execution message, then its remaining quantity is reported as executed at a…
The discussion explains why a dealer who sells an option may adjust an underlying position as the option’s delta changes. An initial hedge offsets directional exposure, but subsequent price moves alter delta, so keeping the position near delta neutral…
The document asks what a market participant would observe from the Securities Information Processor (SIP) alone. The reply directs readers to Consolidated Tape Association materials and technical specifications for trade and quote messages, then highlights…
The document explains why a chart can show an isolated candlestick spike after a large price move. A reported transaction may be far from the prevailing market price because it was arranged earlier, then reported later through a trade reporting facility. The…
The answer explains why exchanges may keep limited trading sessions despite demand for electronic access. Longer hours could spread price discovery and reduce sharp liquidity concentrations, while shorter shared sessions can gather participants and liquidity…
The document outlines a proposed search process for automated intraday strategies in FX and equity index futures. The plan uses short forecast horizons, many candidate features, genetic feature selection, and SVM models ranked by cross-validation error. The…
The document explains why high-frequency trading can remain relevant when a market allocates fills pro rata, reducing the importance of queue position. It distinguishes liquidity provision from liquidity taking: speed may matter less for winning a place in…
The document addresses backtesting crypto strategies that calculate indicators on daily candles while processing finer-grained data for entries, exits, and risk controls. Its accepted answer recommends using Backtrader’s data replay feature with minute data…
The document explains how a market maker can earn a spread while managing inventory risk with a related futures contract. In its simplified example, a dealer quotes both sides of an illiquid S&P 500 ETF, buys shares from a seller, and shorts index futures to…
The document addresses how to calculate pivot points and first support and resistance levels from a stream of trade data. The key preprocessing step is to aggregate trades into five-minute bars using calendar time. Each bar should contain its open, high,…
The document compares Excel DDE and ActiveX connections for streaming market quotes and explains why an RTD server may be a better option when faster spreadsheet updates are needed. RTD supports a configurable refresh interval, including millisecond…
The discussion explains why slippage in quantitative equity trading depends on position size relative to a stock’s liquidity, as well as on the execution benchmark and order style. Historical volume and time-and-sales data can help assess realized liquidity,…