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 lists potential sources for historical foreign exchange tick data, including TrueFX, Dukascopy, TickStory Lite, and HistData.com. It presents Dukascopy as an option for downloading hourly data files, either through a website or direct scripted…
The document discusses how much capital an individual may need to run an automated strategy, with positions held from a day to a year. The responses disagree about the practical budget: one argues that limited capital can help access capacity-constrained…
The document asks how long an FX order book takes to recover after a large trade consumes available liquidity. It defines recovery as the return of the spread for a specified trade size to its prior level, using a hypothetical EUR/USD book as an…
The document asks how to identify unusually large bid or ask queues, or “walls,” in a limit order book. It considers simple rules based on quantities above the mean or median, price zones, and comparisons between large queues near the best bid and ask. These…
The document formulates portfolio liquidation as a continuous-time optimization. It balances a trading cost that depends on the rate of position change against a penalty for holding portfolio variance, represented using positions and their covariance matrix.…
The document asks how a market maker could train a regression model to estimate fair value when the target label is not directly observed. The accepted answer explains that a fair-value proxy can be calculated from current order-book data: the mid-price…
This discussion offers a framework for selecting a dependable real-time stock data feed, especially for second-by-second or tick data. It separates use cases by latency and fidelity needs: a broker's streaming feed may suit users without strict latency…
The document explains a basic manual market-making approach in index futures: quote both bid and ask, attempt to earn the spread, and manage an unbalanced position after one side fills. If a trader sells to a buyer at the ask and the market moves higher…
The discussion asks whether Bloomberg’s standard data functions can retrieve trading volume for individual corporate bonds. It points to TRACE, the reporting system for many bond transactions, and describes Bloomberg’s trade-history view as a way to inspect…
The document considers whether realized volatility from five-minute returns, measured from market open to a trade, can explain transaction costs in a regression. The answer treats realized volatility as a noisy estimate of the underlying volatility over a…
The note distinguishes the bid–ask spread from the mid-price: the spread is the difference between the best offer and bid, while the mid-price is their arithmetic midpoint. It then cautions that this quote midpoint is only a simple proxy for fair value,…
The document discusses monthly rebalancing of commodity futures portfolios amid seasonal liquidity patterns and market microstructure effects. It argues that there is no universally suitable point in each month for rebalancing and suggests avoiding periods…
The document asks whether exchanges match orders continuously or at scheduled times. Its answer says there is no universal rule across all venues, but describes major developed-market exchanges as generally using continuous-time matching. In that setting, an…
The document discusses how to represent trading costs when comparing robust and traditional portfolio allocation. It suggests testing a range of fixed cost assumptions and examining how those assumptions change optimal holdings and portfolio profitability.…
The document asks whether a low-frequency US equity statistical arbitrage strategy can assume that liquid stocks are available to borrow. The strategy holds roughly equal-sized long and short stock baskets, trades at the open, and replaces much of its…
The document explains how to search academic work on strategies that exploit knowledge of clustered orders. It distinguishes stop orders, which are not publicly displayed, from visible limit orders in the order book. For visible liquidity and imbalances, it…
The document presents a theoretical case for skilled active management while distinguishing manager skill from the returns investors ultimately receive. In the equilibrium argument attributed to Jonathan Berk, investors allocate capital to capable managers…
This note asks how to pace the build-up of a target position according to price movement rather than elapsed time or traded volume. It frames the problem as accumulating a desired position while price travels from one level to another, and wonders whether…
The discussion reviews assumptions for a custom equity backtester using bar data, especially for strategies that hold positions for days. For conservative simulated fills, one answer recommends adverse bar extremes after a signal: high prices for long…
The document surveys ways to use QuantLib-backed analytics from Excel, motivated by spreadsheet workflows that combine pricing with data from market terminals. The options named include QuantLibXL, RExcel with RQuantLib, PyXLL with QuantLib-Python, a…
This interview discussion considers what a supposedly perfect quantitative model would imply for stock and futures trading. If predictions truly reveal future returns, a trader could take long positions before gains and short positions before losses; the…
The post explains how to interpret bid-volume and ask-volume fields in tick data that reports bid and ask prices together. In the example discussed, the row represents the state of both sides of the market, so its volume fields describe quoted liquidity or…
The document considers whether a trader with long-term GBP/USD exposure should roll into a less liquid deferred futures contract or continue using nearby contracts. Its central distinction is between using futures as a convenient way to hold exposure close…
The document asks how to automate daily retrieval of CDOR rates, swap rates, and options prices from Bloomberg into an Excel workflow. The answer recommends sending requests through Bloomberg's WAPI, which it says refreshes data when a request is sent,…