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 discussion considers software requirements for currency arbitrage, including fast market-data updates, processing many combinations, exchange connectivity, account support, and algorithm scripting. The replies caution that FX markets are not generally…
The response addresses the difficulty of selling an out-of-the-money monthly call or put after its trading volume falls and its bid-ask spread widens. A theoretical price from Black-Scholes does not ensure that a buyer is available at that price, so a sell…
The document explains two roles for volume-weighted average price (VWAP). First, institutions can compare their completed buy and sell executions with a stock’s VWAP for the same date. Separating buys from sells provides an execution benchmark: average…
The document asks whether predicting limit order cancellations has academic or practical value, including for exchange surveillance, spoofing detection, and high-frequency trading. The response emphasizes that spoofing is difficult to define and prove: an…
The document asks how to represent bracket orders in a Python backtester. A bracket consists of an entry order linked to child exit orders, typically a stop loss and a take profit, with one exit canceling the other after execution. The response recommends…
The document surveys software and approaches for examining limit order books over time. The requested capabilities include displaying bids and asks, switching between individual orders and aggregated price levels, tracking changes through time, replaying…
The document addresses whether a trader keeps queue position after increasing the size of a resting limit order. Its example starts with a smaller order at the best bid and considers submitting an update when the desired size grows. The accepted response…
The document considers an informed trader who observes an endowment and a correlated risky asset, trades against independent noise demand, and faces a market maker who prices from aggregate order flow. The trader's demand is intended both to exploit…
The discussion questions whether C is preferred over C++ for numerical optimization and offers several possible explanations. One answer argues that C is not generally favored for numerical optimization today, with continued use often reflecting legacy code…
The document surveys ways to estimate the price impact of large trades in liquid markets. A commonly used family relates impact per unit traded value to volatility and the trade’s share of volume during the execution interval, with an exponent between…
The document compares simple price proxies for estimating short-term price movement. One proposal weights the best ask price by bid size and the best bid price by ask size; the last traded price is offered as another useful predictor. These measures are…
The document asks how to estimate execution-price deviations and slippage for stock strategies when only daily OHLCV data is available. The proposed starting point in the question relates the daily high-low range to trading volume, with a restriction on…
The document outlines how to build an equity curve for a two-stock pair-trading backtest. It starts from entry and exit signals, assigns long and short portfolio weights, and estimates share quantities using initial capital and prices at entry. It then…
The document considers whether a trader who needs tight spreads should post non-marketable limit orders inside the quoted bid–ask spread instead of crossing it. It explains why the chance and timing of a fill are difficult to estimate in spot foreign…
The document discusses estimating intraday liquidity at price levels to guide execution, rather than relying only on a time-based volume profile such as the U-shaped pattern used by a VWAP schedule. It suggests combining liquidity signals with a decision…
The document discusses ways to detect hidden liquidity in a limit order book. One proposed signal is repeated trading at a best bid or ask while displayed size is replenished, or while the price repeatedly returns to the same level despite continuing buying…
The document asks how to assign an overall buy or sell direction to a complex order containing several options and a stock leg, and how to recognize an identical order versus one with every leg reversed. Its central lesson is that a structure’s direction…
The document surveys strategies in which receiving market data or reaching an exchange sooner may affect execution. It describes latency arbitrage as a contest over speed, with examples including arbitrage across fragmented equity venues, triangular…
The document outlines a progression of methods for testing strategies that depend on timely execution, especially passive orders and cross-market hedging. For liquidity-taking strategies, top-of-book data may support conservative size assumptions that can…
The document considers how to generate many Brownian bridge paths for multiple underlying assets in a Monte Carlo setting. The original routine advances through time steps and simulates one path at a time, which becomes slow when the number of simulations…
Market makers stand ready to buy from sellers and sell to buyers, providing immediacy when natural counterparties are not available at the same time. They quote a bid, the price at which they will buy, and an ask, the price at which they will sell. The gap…
The document explains what a currency pair position represents, why a newly opened trade can show a loss, and why three pair trades may not automatically leave an account flat. In a spot-market interpretation, buying a pair means acquiring the base currency…
Quote spam, also called quote stuffing or book colouring, refers to order activity that changes the visible order book without reflecting a genuine intention to trade the displayed quantity. Because participants use order-book depth and prices to assess…
A portfolio long the EuroStoxx 50 total return index and short its futures appears to earn about 15% over ten years, exceeding the return of three-month Euribor. The discussion explains why this spread should not be treated as a risk-free arbitrage. A…