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 discusses what can happen to expiring put options when the underlying security remains halted, using RSX options as the motivating case. It summarizes an Options Clearing Corporation policy: when the clearinghouse knows by expiration Monday that…
The post describes an attempted infinite-horizon Avellaneda–Stoikov market-making implementation. It gives a nonlinear equation for an inventory value function, with an inventory penalty, bid and ask arrival rates, fill-decay parameters, and maker rebates or…
The response addresses several interview-style questions about option risk. For a delta-hedged short call, it identifies negative gamma: large moves in either direction are harmful, while smaller moves can help, with volatility changes offering a related way…
The document investigates why Bloomberg Terminal trade displays and Bloomberg Desktop API tick timestamps can appear to fall on different calendar days. Its example compares a Japanese equity trade shown by the Terminal in Eastern Time with the API’s UTC…
The document concerns retrieving historical option identifiers through Refinitiv Eikon or Datastream services, especially for expired contracts linked to an underlying security. The question asks how to turn an ISIN, RIC, or mnemonic into a list of…
The document asks for practical accounts of how trading, high-frequency trading, or asset-pricing companies are established, including choices about data sources and hiring. The answers point to a general high-frequency trading book and to firsthand material…
The document discusses why high-frequency traders submit and quickly cancel limit orders. One explanation is routine event-driven market making: algorithms update quotes as order-book events change their estimate of fair value, producing frequent…
The document explains how electronic communication networks may assess whether a liquidity taker’s FX flow is difficult for liquidity providers to monetize. Its central diagnostic is an aftermath chart: average mark-to-market profit from the provider’s…
This troubleshooting account describes a QuantLibXL failure triggered intermittently by Excel’s Paste Values shortcut. A worksheet formula passed into a QuantLib calendar function could return #NUM! after the shortcut was used, and subsequent calls continued…
The document considers how to build continuous futures price histories for a multi-market backtest. The questioner describes using backward Panama adjustment, rolling when open interest switches, and selecting the first listed contract across a diverse set…
The document describes an attempted search for option combinations whose payoff would remain profitable across possible underlying prices. The original example combines short puts and calls with long options at other strikes, and the author asks whether the…
The document asks how to test whether a pairs trading strategy has predictive power, and whether detrending methods used for other trading systems apply when the traded signal is already a linear combination of two price series. The answers outline two…
The document surveys possible sources for historical intraday US equity data, ranging from downloadable datasets and finance websites to broker APIs, data vendors, and exchange samples. It mentions data at several granularities, including minute, hourly,…
The document raises a problem in testing the square root market impact law when a dataset does not identify metaorders directly. It describes using activity during an early market window and unusually large order size as proxies, then observes that the…
The discussion considers how to turn exchange-provided half-second Level 1 buckets into hourly or daily observations. It treats fixed-time snapshots as a valid sampling choice, while emphasizing that the right price measure depends on the intended analysis.…
The document considers whether buying or shorting before the open and closing at the end of the day can be profitable. It raises concerns about intraday news, noise, and competition, then presents a simplified target-and-stop gamble to explain why trading…
The discussion explains how a strategy with a slower decision schedule can use high-frequency trades, quotes, or order-book updates without treating every update as a trading signal. The proposed approach is to calculate features from the updates, such as…
The note asks where to find the instruments and quantities in an ETF’s creation unit basket, information that can support comparisons between the ETF and its underlying basket. It distinguishes exact basket composition from general marketing material…
This exchange explains why buying when a short-term exponential moving average crosses above a longer-term average may appear effective on a chart but fail as a trading strategy. The main failure mode described is a market moving sideways rather than…
The accepted response argues that an internet-connected retail brokerage API is unsuitable for high-frequency market making. It cites limits on streaming market data and API messaging, restrictions on active orders, and cancellation fees as barriers to…
The document explains why feeding historical order-book updates into a fresh matching engine can produce cancellations or executions for orders the engine never saw. The underlying issue is incomplete initial state or limited market-by-order coverage: a data…
The document asks how a market maker can incorporate information from a correlated asset when estimating the mid price of the instrument being quoted. In delta-neutral market making, the mid estimate can respond to moves in a related asset that tends to lead…
The answer argues that exploiting a predictable market pattern can change prices and weaken the pattern itself. It illustrates this with a hypothetical weekday effect: if traders buy ahead of the expected rise and sell into it, their activity may shift…
The document addresses how to place several orders when a trading target is expressed as a price interval rather than a single price. Its proposed approach first sets the number of orders according to the capital allocated to the decision and the minimum…