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 to interpret the Kraken XBT-USD order book when estimating how many price levels are needed to trade a specified amount. It distinguishes asks from bids, asks which currency the displayed volume uses, and raises the problem of trading…
The document examines apparent executions of limit orders at prices worse than the best displayed bid or ask in message-level equity data. One response distinguishes exchange trade messages that are not linked to an order ID, such as reports of block or…
The response discusses ways to protect portfolio value and manage open positions. It describes portfolio insurance as hedging share exposure with put options, with puts placed below the acquisition price so they can gain value during a sharp decline. It…
The document explains what trading servers colocated at an exchange can receive and how they may subscribe to those feeds. Exchange data is commonly distributed over fibre using multicast, with subscriptions selectable by feed group or partition; TCP feeds…
The document asks how to estimate the price impact of a market buy order that is larger than the displayed ask size. Its example gives an ask price and quantity, then considers an order that would consume multiple levels of the order book. It seeks a general…
The document contrasts last-look foreign exchange market making with firm, no-last-look quoting. With last look, the market maker streams indicative prices and receives incoming orders that it may reject. Under no-last-look arrangements, the venue streams…
FIX repeating groups encode array-like collections of related fields within a single message. A count field announces how many entries follow, and the group structure lets a recipient interpret repeated values as separate entries. For example, a message can…
The post examines whether NYSE Rule 107C, which introduced retail price improvement orders, could explain Knight Capital’s August 2012 trading failure. It describes the rule’s non-displayed orders, which can interact with retail orders when they improve on…
The document addresses exporting daily closing prices for many Russell 2000 constituents from Bloomberg into Excel. A historical data query returns dates alongside prices, which can interfere with copying formulas across adjacent columns. One response…
The document addresses why substantial end-of-day share sales by market makers may occur without an obvious price decline. Its explanation is that market makers do not all start with the same inventory: those holding long positions may want to sell, while…
The document clarifies a common backtesting problem in a model that uses a completed candle’s closing price to generate a signal for the next period. The training setup is not automatically biased merely because it predicts a future value from past…
The document explains how the Carr-Madan decomposition represents a European payoff as a bond position, a call-minus-put position at a chosen strike, and integrals of puts and calls weighted by the payoff’s second derivative. In a complete market with…
The discussion addresses conflicting published tick sizes for Nikkei 225 mini futures. One third-party futures profile lists a ten-point increment, while the exchange’s product page states a five-yen tick worth ¥500 per contract. The accepted answer says the…
The document describes the exposure a broker takes on when a customer buys a contract for difference (CFD). Because a CFD passes through the underlying asset’s price change, the broker is short that exposure and may need to acquire a corresponding long…
The document asks whether Visual Basic can handle an order-routing calculation budget of about one millisecond, with much greater time expected for communication to and from exchanges. The replies distinguish modern Visual Basic .NET from older Visual Basic…
The document clarifies the meaning of price overshooting in the context of predatory trading. A distressed investor’s need to sell can prompt other traders to sell as well, intensifying downward price pressure; they may later buy back the asset. Such…
The document compares row-oriented and column-oriented storage for financial time series, focusing on tick trades and OHLCV bars. One answer favors conventional relational databases for a single-symbol-per-table workload with frequent writes, citing the…
The document asks whether bid and ask quotes, or an average spread, can be reconstructed when only transaction prices are available. One answer cautions that trades alone do not contain enough information to recover the quotes directly. Closely spaced…
The document considers how to estimate partial or full fills for a limit order placed at the best bid or ask in a FIFO order book. It recommends using historical data to examine whether and when simulated orders would have executed, while cautioning that a…
The document considers execution for a liquid-futures strategy that generates hourly signals and initially rests a limit order before switching to a market order. The trader reports substantial slippage and asks how to improve waiting times, limit prices,…
The discussion examines how market-data latency affects order decisions and claims about market efficiency. When order book updates arrive faster than a non-colocated trader can receive information and send an order, the displayed book may no longer reflect…
The document considers whether a portfolio should rebalance less often when its return forecasts cover a longer horizon. It explains that more frequent rebalancing can incorporate updated views and potentially improve alignment with target exposures, while…
The document distinguishes SWIFT and FIX by their structure and common roles. SWIFT is described as an organization operating a network that uses ISO messaging standards, while FIX is a non-proprietary set of messaging standards that does not prescribe its…
The document offers a basic principle for market makers managing quotes across multiple securities: adjust prices in response to inventory in the quoted asset, and also account for inventory in assets considered similar. This extends single-instrument…