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 explains why a market-making algorithm may keep orders at several prices on each side of the book. Competition pushes market makers to narrow their spreads to attract more trades, which can reduce the margin earned per trade. Orders at wider…
The discussion concerns locating DAX index and constituent data through Alpha Vantage. Answers give several possible symbol conventions: the DAX index itself or an index ticker, exchange suffixes for European listings, and a suggested search feature in a…
A trade at the quoted bid does not, by itself, reveal the market maker’s complete transaction history or prove that the maker bought at the ask and sold at the bid. The answer explains that market-making rules differ across markets and that a dealer may hold…
The document distinguishes dark pools that form prices internally from pools that import prices from visible markets. Internally price-forming pools resemble hidden limit order books and may execute at the best bid or ask when resting orders permit. The more…
The document discusses how to infer which participants may be market makers in an options order book. Visible traits such as quoting at the best prices, balanced bid and offer size, repricing with the underlying, or using non-round ticks can offer clues, but…
The document compares two R backtesting options: Quantstrat, which works with related portfolio and financial-instrument packages, and the Systematic Investor Toolbox (SIT). It does not provide a formal benchmark; instead, it collects user impressions about…
The document asks whether historical evidence can show how profitable technical analysis is in practice. It calls for evaluation across multiple years and market conditions, with returns and loss sizes considered rather than signal hit rates alone. It also…
A stock’s reported high trade price can exceed a resting sell limit price even though that particular order receives no execution. The explanation gives two market mechanics that can account for this apparent contradiction. First, some large trades may be…
The document asks why the tick test is used to infer whether trades are buyer or seller initiated. The rule labels a trade by comparing its price with the previous different trade price: an uptick suggests a buy, while a downtick suggests a sell. The…
The document asks how to connect models written in R to an Interactive Brokers account for live trading. It considers whether the trader must write a C or C++ interface, whether an R-only route is available, and whether the IBrokers package remains usable.…
The document addresses a mismatch between a model trained on the FTSE index and the price movements of tradeable futures. The suggested instrument is an exchange-traded fund that tracks the FTSE 100. An ETF provides a way to trade exposure tied to the index,…
The document compares field-programmable gate arrays with CPUs and other accelerators in trading systems. Its central distinction is that FPGAs can run many simple, repeated operations in parallel, making them suitable for low-latency feed parsing, data…
The document concerns retrieving current positions through the Interactive Brokers API. The questioner is unsure how to use the position request method because they cannot identify an associated event handler. The answer points to IBridgePy, an open-source…
The example explains how a marketable limit buy interacts with resting asks at different prices. A buy limit specifies the maximum price the buyer will pay per unit, while matching proceeds against available sell orders from the lowest price upward. The…
The document raises a data-quality question about using hourly OHLC prices for a cryptocurrency in strategy research. Its supplied dataset carries more decimal places than the values displayed by a chart, and the author asks whether to round the historical…
The document discusses practical differences between trading on smaller, less liquid exchanges and larger markets. It highlights wider slippage and potentially greater market impact, fewer liquid securities and trading opportunities, limited derivative…
The document describes a practical way to assess concentration risk in rates positions when market-wide trading volumes are hard to observe. Start by estimating likely market volumes from internal activity and broker input, then examine how hypothetical…
The discussion compares ways for a Europe-based high-frequency trader to obtain real-time S&P 500 E-mini futures prices. Responses distinguish retail data services from more expensive institutional arrangements that offer market data and access to points of…
The document distinguishes quantitative research from production execution when choosing programming languages. It presents R and Python as suitable environments for research and alpha-model development, while noting that a complete trading system must also…
The document outlines architectural decisions for building a customizable Python backtesting engine. It highlights market-data storage and serialization, memory limits, handling unstructured feeds, durable output storage, and access to prior run results. It…
The discussion surveys ways to estimate intraday patterns in volatility, volume, bid–ask spreads, order activity, and correlations. For level shifts, it mentions regression with time indicators and a Kalman filter with a changing slope. For spreads, it…
The document compares storage approaches for real-time and historical market data, focusing on column-oriented databases, row stores, in-memory arrays, flat files, and time-series systems. Column stores can speed analytical reads by scanning selected columns…
The document discusses ways to reduce the time needed for repeated strategy backtests. It suggests identifying the data the strategy actually uses and maintaining a buffer of relevant observations as new events arrive. For computationally intensive logic, it…
The document asks how to replace close prices with bid and ask prices in a VectorBT signal backtest. Using separate bid and ask observations can represent trade-side prices more realistically than a single close, but the answer says that a convenient…