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 interprets ATOP in a strategy presentation as a likely abbreviation for annual portfolio turnover, expressed as a percentage of portfolio value. It describes a common calculation: compare total purchases with total sales over a year, use the…
The document considers how to assess bid, ask, and volume data from two vendors when observations do not share exact timestamps. The questioner samples prices at regular time intervals, finds that plots look similar, but sees weak cross-correlation after…
The discussion examines how adjusted and unadjusted stock prices affect backtests, especially cointegrated pairs trading. Adjusted prices can remove artificial jumps from splits and dividends, which helps when measuring returns or momentum. But later…
The exchange explains what trade, quote, and order book feeds reveal about order types. Public feeds generally do not label market orders or iceberg orders. Matching trades with identical timestamps may help approximate market order activity, but it can…
The document discusses whether QuickFIX is fast enough for an order management system and argues that the answer depends on measured requirements and the full processing architecture. A slow component elsewhere, including network communication, can dominate…
The document clarifies terminology for a trading account’s position at the end of a session. It treats overnight inventory, end-of-day holdings, and the end-of-day net position as referring to the inventory remaining at market close and carried into the…
The document compares ways to calculate a bond’s yield to maturity from price when repeated updates make speed important. One approach computes yields for three selected prices, fits a quadratic price–yield relationship, and uses it to estimate yields for…
The document discusses a market maker who is assigned an in-the-money American call after the underlying market closes, creating stock delivery and delta exposure by the next open. Because the underlying cannot be traded during that interval, the direct…
The document illustrates how a company with dollars can use an FX swap when it needs francs to settle a bond purchase and later expects to receive foreign-currency proceeds. In the example, the company exchanges dollars for francs for near-term settlement,…
The document considers how to automate a spread strategy when the charting platform does not execute the user’s full rules automatically. The example strategy buys one instrument and sells another when their spread falls below a lower Bollinger Band, then…
The document asks how to model the relationship between signed trading volume and price changes, using a simplified Kyle-style expression in which price impact is proportional to signed volume. It also asks whether least squares is appropriate for estimating…
The document explains how an investor can sell shares they do not own by borrowing them, selling them, then buying shares later to return to the lender. A custodian may locate shares from a long holder and arrange the loan, while passing along fees,…
The document describes the Quote Instability Factor used by IEX’s Crumbling Quote Indicator, which informs the D-Limit order type. It presents the factor as a logistic transformation of a weighted combination of hard-coded variables. Those inputs describe…
Time-and-sales feeds report executed trades, not necessarily the original orders that produced them. Large prints can therefore appear even when an institution worked a larger order in smaller pieces. One common source is a block matched off exchange through…
The discussion explains that equity prices can move outside regular trading hours, so the next session’s opening price is not independent of overnight activity. It cites research describing investor preferences for trading near the open versus during the…
The discussion models exchange round-trip latency as the sum of network transit time and matching-engine message-processing time. For venues in separate data centers, network distance and routing usually dominate: fiber routes are indirect, switches and…
The discussion diagnoses an implausibly large cumulative return in a simple moving-average crossover backtest. The strategy uses closing prices and a 10-day simple moving average to set a long or short position, then applies that position to daily asset…
The document explains how trading in over-the-counter fixed income markets differs from trading listed equities. Rather than relying on one central exchange order book, dealers may maintain their own bond inventories and pricing books, especially for…
The document examines definitions of a market-making strategy in a supervised-learning context. The cited definitions describe a strategy as a time-dependent vector of quotes selected using a prediction, and a market-making strategy as paired bid and ask…
The discussion surveys ways to store and query large financial time series without relying on kdb+. Options include memory-mapped binary files, Python with Pandas and PyTables, columnar databases such as Vertica and MonetDB, time-series databases, and newer…
The document presents an interview scenario in which an exchange OTC desk must handle a corporate request to trade a very large quantity of bitcoin within a narrow band around the mid-market price. The requested size is several times the exchange’s stated…
The document discusses how to obtain a decade of hourly or finer historical data for one stock without paying for exchange-wide coverage. It distinguishes hourly bars from tick data and lists several possible sources: free API access through Quandl or Alpha…
The document asks how the U.S. Quote Rule and Limit Order Display Rule apply to broker-dealers that serve both as agents for clients and as dealers. The underlying concern is a potential conflict: a firm might favor its own trading interest over a customer’s…
The discussion outlines factors for selecting an execution management system and aggregating fragmented FX liquidity. It compares ECNs and bank channels in terms of currency-pair strengths, liquidity, fees, technology, and available execution algorithms. It…