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 addresses apparent half-tick price changes in Micro E-mini futures despite the stated minimum tick size. Its accepted answer suggests first checking whether the data show executed trades or midquotes. When the bid–ask spread widens from one tick…
The document asks how to deploy a fixed cash allocation into an asset class while seeking a favorable average purchase price. Its example splits an allocation into several buys at progressively lower index levels, then contrasts that idealized path with…
The document asks where historical or current intraday prices for government bonds can be obtained. The response identifies Interactive Brokers as a source of historical intraday bond data and gives a T-bill as an example of a security checked. It also…
Nasdaq ITCH distinguishes attributed orders, which include a market participant identifier, from non-attributed orders. The discussion explains why a firm might choose to reveal its identity: venues may offer rebates or program eligibility, and a broker may…
The response describes how market makers estimate fair value for a domestic ETF when its international holdings are not trading. Rather than relying on unavailable spot prices, they combine proxies such as American depositary receipts, foreign equity…
The discussion explains why constant volatility appears in market-making models and how volatility differs from the risk that incoming trades carry adverse information. Volatility estimates the risk that an inventory position will lose value as prices move;…
The document describes a test of exit rules in short-term foreign exchange data using randomly selected entry points. It compares a trailing stop, which closes a position after gains retrace by a preset amount, with a fixed threshold that exits when either a…
The document explains that QuantLib’s C++ calendar interface provides a holiday-list function, but the Python wrapper does not expose it. Calling that method from a Python calendar therefore raises an attribute error, and calling it as a standalone function…
The document asks how an exchange updates the displayed last price when a market order consumes liquidity at multiple price levels. It distinguishes the time an order finishes executing from the individual matching events that occur as the order fills…
The document discusses why American options on illiquid underlyings are difficult to price: when the underlying share value is poorly known, option valuation is correspondingly uncertain. One answer recommends scenario-based risk and reward analysis, similar…
The document discusses why an order book does not determine a unique theoretical stock price. Possible reference values include the last traded price, the unweighted midpoint between the best bid and ask, and a midpoint weighted by displayed order…
The document asks how a relationship for the screening of market-order flow is derived in a statistical model of a continuous double auction. In the quoted passage, a market order that survives to a price bin can be prevented from reaching the next bin when…
The document considers whether cryptocurrency market conditions such as low volume, high volatility, or market immaturity might allow intra-exchange triangular arbitrage gaps to persist long enough for an API-based strategy. It asks whether traders can…
The document considers how to simulate a passive buy order using trade prints and snapshots of the best bid and ask, while assuming the simulated order has no market impact. The proposed simple approach is to use changes in bid and ask prices as a rough…
The document explains ways to estimate how AAPL’s trading volume is split across exchanges. It describes using a financial data vendor’s volume-weighted average price view, where exchange names and their reported volumes can be displayed as a breakdown. It…
The document discusses language choices for a pricing library that should support parallel pricing, control maintenance costs, and remain accessible to newer quantitative researchers. It argues that there is no single best language and suggests Python as a…
The document collects operational safeguards for an automated trading script interacting with an exchange API. The proposed controls include prioritizing exits and stop orders, checking whether orders reached the venue, handling failed requests, monitoring…
The document compares possible exchange responses when a market order reaches an order book with too little or no opposing liquidity. It distinguishes whether an unfilled remainder stays active, is canceled, or is handled through another venue-specific rule,…
The document asks how to classify a strategy that goes long in the cheaper of two markets and short in the more expensive one after their prices diverge beyond a threshold. The assets are described as fungible, but the strategy does not move them between…
The document explains why spoofing orders may avoid execution and what financial exposure remains for the trader. In the example, a large limit order is placed away from the current bid and ask to create pressure on prices, while the trader takes a position…
The document explains the roles of limit orders and marketable orders in exchange matching. A resting limit order supplies liquidity as the maker; an incoming order that executes against it takes liquidity, even if it was submitted as a limit order. Orders…
The document explains why digital options can be difficult to hedge near expiry: their payoff changes abruptly at the strike, creating steep or concentrated sensitivities. One practical approach is to approximate a digital with a call spread. A tighter…
The document surveys ways to build a user interface for controlling trading software whose strategy runs in C++. The suggested design is to expose a small service from the strategy host, then let a separate web or desktop client send commands and display…
The document asks where to obtain inexpensive historical tick data for a futures contract, using NYMEX WTI crude as an example. Its answer explains that data price often reflects whether the feed preserves all reported activity or filters some events. A…