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 how asset managers track fixed income indexes whose holdings may number in the hundreds. It identifies characteristics that can guide a representative sample, including duration, credit quality, coupon, maturity, country, and bond type. It…
The answer considers whether banks and asset managers are likely to develop trading algorithms in-house or rely on specialist firms. It argues that either path may be difficult within traditional institutions, citing gaps in management’s quantitative…
The document clarifies the distinction between Bloomberg’s open source data distribution technology and access to Bloomberg’s data. The API and its documentation are publicly available, but connecting to Bloomberg’s database and downloading its data requires…
The document discusses where to obtain official real-time and intraday market data for venues such as US stock exchanges and CME. It distinguishes free, limited ways to explore data from the paid access typically required for raw exchange feeds. Suggestions…
The discussion explains why executions recorded for an order in LOBSTER data can share the order’s submitted limit price. A buy limit order resting at 100 may be filled by incoming sell orders at that price, or it may execute against several resting sell…
The document weighs R and Python for quantitative finance tasks, including time-series data handling, statistical modeling, mathematical computation, visualization, derivatives pricing, system integration, and deep learning. Its answers describe different…
The document asks how a two-sided market maker can use a signed forecast of the next price movement, expressed in ticks, to reduce exposure when prices begin to trend. Its concern is that adverse directional moves can make inventory losses grow faster than…
The document asks how to backtest and plot a strategy whose signals indicate long, flat, or short exposure, using historical prices. The proposed calculation forms log price returns, multiplies them by the prior period’s signal to represent the position held…
The document examines why paired leveraged and inverse ETFs can have different daily returns even when their stated goals are equal and opposite multiples of an index’s daily performance. It distinguishes the index level, the fund’s net asset value based on…
The document asks whether a trading application must establish a FIX quote session and subscribe to market data before sending a new order over an order session. The answers distinguish protocol rules from a particular broker’s workflow: FIX itself does not…
The document answers whether shares of a company listed on Nasdaq can also trade on the NYSE and whether a specific law enabled that activity. It attributes broader cross-market trading access to the NYSE’s merger with Arca, while stating that no particular…
The document addresses how to retrieve a changing set of valid security codes from Bloomberg in Excel, especially when option strikes and expirations change. Instead of manually listing possible strikes and building each option code, the accepted answer…
The document describes the basic market-making model in an ETF context. A market maker quotes prices at which it will buy and sell, generally buying at the bid and selling at the ask; the difference between those prices is a primary source of revenue.…
The document asks how to estimate an execution or settlement price from a spot price when order size affects the realized price. It proposes using the bid–ask spread as a starting point because both spread and execution impact depend on liquidity, and asks…
The document explains how an exchange can handle a crossed book at the market open, when buy orders are priced above sell orders. Rather than giving priority simply to the highest bid or earliest order, the described opening process evaluates candidate…
The document explains why multiplying a futures contract size by its displayed price can produce a mistaken contract value. The key is the price unit: a soybean future may be quoted in cents per bushel rather than dollars per bushel. Contract size must be…
The answer distinguishes dealer-to-dealer (D2D) markets from dealer-to-client (D2C) markets to explain why some swap order books show indicative rather than executable prices. In D2D markets, the answer says executable broker systems or voice prices are…
This discussion considers whether a candle-based strategy backtest can rely on mid-prices, especially when modeling stop losses, or should use bid and ask prices to reflect the side at which a trade executes. The author reports that replacing mid-price highs…
The document asks how activity by multiple traders can affect temporary price impact on both sides of an order book. In the Almgren–Chriss framing, it distinguishes a joint permanent impact term, which depends on aggregate trading rates, from a common…
Futures contracts are not generally paid for in full when opened; the settlement price supports daily mark-to-market valuation and final settlement at expiry. The document says exchanges often derive it from an average of late-day trades, reducing the impact…
The document describes how to distinguish order events in full-depth equity market data, particularly when preparing intraday records for analysis or machine learning. It maps message labels to their likely roles: adds on the bid or ask represent limit…
The document asks whether transaction records and candlestick summaries can reveal the highest bid, lowest ask, or quote sizes in the foreign exchange market. The available data includes trade times, amounts, prices, and bar-level measures such as highs,…
The document compares answers about downloading Bloomberg data through Excel and APIs, focusing on how request limits may apply and what can happen when they are reached. One explanation says limits count requests by ticker rather than by the number of…
The note explains why quoted bid-ask spreads matter for investor transaction costs and why they do not capture every trade price. Trades can occur inside the displayed spread when another venue posts different prices, or when orders meet between the bid and…