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 outlines several ways to assess whether a candidate signal adds useful return information. Suggested checks include risk-adjusted performance and tail risk, regression against established factor models to examine the intercept, trading costs and…
The document considers vendors for global equity trade bars at intraday frequencies, with the goal of researching short-horizon market patterns and using live data to trade resulting strategies. It identifies historical coverage, a real-time feed, and access…
The discussion compares buying weekly deep in-the-money calls and rolling them each expiration with buying a call about a month out. It asks which approach minimizes time value paid per day, assuming implied volatility stays constant. One response suggests…
The document explains “getting picked off” as an informal market microstructure term rather than a condition with a universal empirical definition. In high frequency trading and market making, it often refers to a faster, better informed participant trading…
The document explains delta as the sensitivity of an option’s value to a change in the underlying asset’s value. A quoted 50 delta corresponds approximately to a 0.5 change in option value for a one-unit change in the underlying, making delta useful for…
The document examines an hourly machine-learning signal that predicts the direction of returns measured from an interval’s average price. The key timing issue is that the signal becomes available only after that interval ends, so a backtest that assumes…
The document compares options for asynchronous, non-blocking TCP and UDP networking in C++, framed around low-latency and real-time development. It notes that standard networking support was expected in C++17 and presents Boost as a way to abstract…
The document presents reserve price and reserve bid and ask expressions from the Avellaneda–Stoikov market-making strategy. The reserve price shifts from the market midpoint according to the trader’s inventory, risk aversion, price volatility, and remaining…
The document discusses how to obtain historical opening auction prices for S&P 500 stocks, distinguishing the auction print from a generic first trade. It describes primary exchange price data as a source of opening and closing auction prices, since the…
This note considers replacing a long stock and short stock position in a pairs trade with synthetic option positions. It asks whether the synthetic exposure has the same risk and reward as holding the underlying shares directly. The response suggests that…
The document compares storage approaches for large options and time-series tick datasets used primarily in backtesting. When the dominant access pattern is reading sequentially between a start and end time, flat files with binary encoding can avoid the…
The document considers how a market maker with no initial inventory might submit orders to capture the bid-ask spread, and whether submitting both sides is preferable to sequential or one-sided strategies. One response explains that market makers generally…
The document describes where C++ is used in high-frequency trading and why firms rely on it. The main use is the latency-sensitive path that receives market data, updates forecasts or risk information, makes a trading decision, and sends, changes, or cancels…
The document explains portfolio terminology through examples involving dividend reinvestment, depositing cash, and selling one asset to buy another. It presents a portfolio as a collection of asset positions whose composition can change over time. In…
The document distinguishes exchange liquidity provision and retail broker execution from agency trading performed for a named client. It explains that identifiers in options FIX messages, including fields such as ClientID and CustomGroupID, support tracking…
The document addresses a practical obstacle in backtesting short-equity strategies: historical share availability and borrow costs can determine whether a proposed short trade was feasible and profitable. It suggests asking a prime broker for historical…
The discussion compares C++, C#, Java, and Python for quantitative finance and argues that language choice depends on the work being done. C++ is described as common for application backbones and computationally demanding tasks such as derivative pricing,…
The document compares two ways to run a prediction market: a limit order book, where participants post orders that wait for counterparties, and an automated market maker that quotes prices and accepts trades. Order books are described as straightforward to…
The document explains how to convert a fixed-width exchange data feed that mixes text and binary fields into a readable tabular format. It recommends using the feed specification as a field-by-field map, then processing each record as bytes and converting…
The document collects responses to a trader seeking a Python interface for automating non-high-frequency stock strategies. The trader already has an Interactive Brokers account and asks whether another broker offers a better supported API than unofficial…
The note explains how a portfolio turnover formula separates weight changes caused by trading from changes caused by asset returns. It first estimates each stock’s end-of-month weight under a no-trading assumption: its starting weight is adjusted by its…
The document explains why electronic order behavior cannot be learned from one universal description. Exchanges differ in the order types they support and in their matching rules, which determine matters such as queue priority and the effects of order…
The document compares ways to represent an order book while supporting price ordering, fast updates, and access to the best bid and ask. For order-based equity books, one detailed proposal combines an order-ID lookup structure with metadata linking each…
The document explains that a trade does not have to move the mid-price when the mid is defined as the average of the best bid and best ask. If the top of book has enough displayed size, a market order smaller than that size can execute without removing the…