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 option sellers should prefer very short expirations, where time decay is concentrated, or sell options with more time remaining. It uses an at-the-money straddle example to compare premiums at two expirations and observes that the…
The discussion asks how to classify a bid-ask spread as favorable for scalping or ordinary day trading, especially when comparing low-priced, thinly traded OTC shares with more liquid stocks. It notes that absolute spread size can mislead: a wider spread in…
The document cautions that comparing effective bid-ask spreads across assets can be misleading when volatility and trading activity differ. It gives a qualitative relationship for small-tick securities: spreads tend to rise with volatility and fall as the…
The document collects suggestions for real-time market data sources for a US equity strategy that is not high-frequency and already consumes normalized data from major financial vendors. Responses name a range of providers and channels, including CQG, DTN,…
The discussion explains how US trade-through protection works across stock exchanges. Under the account given, when a venue receives an order but another exchange displays a better price, the order must be routed to that better-priced venue. A consolidated…
The document is a brief directory of services that provide intraday financial data, organized by whether they charge and by the granularity and availability of their feeds. It names sources ranging from minute bars to tick data and distinguishes historical…
The document discusses automating a momentum strategy that looks for equities reaching a new all-time high while excluding stocks whose high has been renewed on immediately successive days. The question contrasts retrieving and sorting the full price history…
The document explains how to request historical data outside regular trading hours through Interactive Brokers’ API using the R IBrokers package. The key setting is the historical-data request’s regular-hours flag: disabling it allows the request to include…
The document explains Trade-at-Settlement orders in futures markets. A TAS trade sets the transaction price relative to the eventual futures settlement price, with the chosen offset recorded in the TAS order book. The reply characterizes the trade as an…
The document addresses whether an overnight index swap’s fair rate and PV01 can be calculated without constructing an OvernightIndexedSwap object in QuantLib. The response cautions that reproducing the calculation from a curve alone is complex and would be…
The document considers whether a new market maker can earn a spread in highly liquid ETFs when the best bid and ask are one tick apart and display substantial size. Its central lesson is that liquidity provision earns a premium only when counterparties need…
This note asks how to estimate implicit transaction costs for a newly launched portfolio under an approach that uses average bid–ask spreads for reference indexes. The author points out that broad indexes such as the S&P 500 or FTSE 100 are calculated…
The document distinguishes a rough estimate of trade capacity from a precise execution model. Its central answer is that immediate market-order capacity depends on the quantity available on the relevant side of the order book when the order reaches the…
The document discusses the empirical market-impact relation in which price movement scales with volatility and the square root of trade size relative to market turnover. It presents two explanations: a market-microstructure account based on the shape of the…
The document addresses whether separate exchanges can assign the same code to different stocks. It explains that no general rule prevents this, even though exchanges often use distinct naming conventions. A ticker or stock code alone therefore may not…
The document compares Interactive Brokers demo and personal paper-trading accounts for testing Trader Workstation API applications. Demo accounts provide simulated data and can help check connectivity or exercise account types, but the answers describe…
The document discusses how OTC FX option quotes are organized around standard expiries and delta-based volatility quotes, while positions can age into non-standard dates. Responses explain that off-grid pricing depends on the client or dealer context, trade…
The document compares Bloomberg and Reuters as market data sources for a firm considering consolidation of feeds used for derivatives and bonds. It covers pricing, infrastructure, data quality, instrument identifiers, and alternative vendors. The response…
The document considers whether historical futures data from one crypto exchange can support backtests for a strategy traded on another. The motivating issue is a change in listed contracts that leaves little history for the replacement market, prompting the…
The document discusses whether brokerages offer web APIs for market data and order entry. It gives examples of a URL-based trading interface and reports that TD Ameritrade provided web APIs requiring an account, while noting that broker access varied. The…
The document discusses how to broaden a mathematical finance reference sheet that is focused mainly on stochastic calculus and derivative pricing. The responses suggest adding topics that serve distinct parts of quantitative finance: risk management,…
The discussion considers how an ETF market maker might earn a spread while hedging exposure with the underlying basket or a related instrument. It distinguishes capturing a favorable price difference from realizing that profit: a hedged position can remain…
The document compares direct exchange connections with a consolidated market data vendor for someone seeking daily data and possibly delayed or real-time tick data. It explains that direct feeds require building and maintaining exchange-specific handlers,…
The document discusses extracting implied volatility from American option prices using a Cox–Ross–Rubinstein binomial tree. The tree prices the option by working backward from terminal payoffs, comparing continuation value with early exercise value at each…