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 describes a trading-system issue in which a fair-price estimate is rounded to price increments and alternates between adjacent ticks. When the system amends a resting limit order whenever its target differs from the order price, this oscillation…
The document asks how traders should select strikes and expiries for option positions such as protective puts and volatility strangles, while expressing concern that choices based only on backtest performance may be overfit. The response offers a practical…
This discussion addresses how to retrieve stock data when a German instrument list identifies securities by ISIN but Yahoo Finance requires ticker symbols. Suggested approaches include querying Yahoo’s search service with an ISIN, using exchange mnemonic…
The discussion answers where Python strategies can send live orders across markets, distinguishing execution connectivity from Python’s role in research or backtesting. It names Interactive Brokers’ APIs and tools, including IBPy, IB Gateway, and Trader…
The discussion concerns machine-readable news for low-latency trading around US economic releases and equity news. It identifies several commercial feeds: Dow Jones Elementized News, Thomson Reuters News Feed Direct, Bloomberg Event-Driven Trading Feed, and…
The document discusses ways to reduce cancel-and-replace activity in market making while balancing execution volume against quote margin. Suggested filters include waiting for larger price moves before revising quotes, referring to the opposite side of the…
The document compares programming needs in quantitative finance and argues that language choice depends on the work being done. For research and backtesting, it favors high-level languages such as Python, Matlab, and R because they shorten the path from an…
The discussion compares broker and vendor APIs for collecting real-time and historical market data, especially for US futures, equities, and market depth. It contrasts Interactive Brokers’ update intervals with services that offer tick data, historical…
The document considers how trading activity is divided between liquidity taking and liquidity providing, and whether this differs by participant type. It cites a study of 36 liquid French stocks observed from November 2015 through July 2016. A table…
The document considers how to compare strategies with different instruments, trade sizes, leverage, and capital needs. It argues that price movement or pip counts alone can misrepresent performance when strategies face different spreads, trading costs,…
The document explains ways to turn an in-the-money call option’s value into cash when exercising requires paying the strike price. Its example compares the strike payment with the difference between the stock price and strike, after accounting for the option…
The document considers how to match multiple buyers and sellers without relying on a greedy sequence that can miss the allocation with the highest total utility. One response suggests adapting a second-price auction by ranking offers with a monotonic…
The document frames a trading problem in which an oracle repeatedly predicts whether an asset’s price will be higher or lower at a fixed future horizon. Each forecast has a stated accuracy rate, and the question assumes that absolute price-change magnitudes…
The document outlines end-of-day analysis for options market-making desks. Beyond explaining profit and loss through option sensitivities, it describes monitoring the book’s opening and closing positions, market-driven changes, newly executed trades, and…
The document discusses how to compare foreign exchange trading venues and related technology vendors when public materials do not disclose concrete details such as latency, costs, liquidity, or protocol capabilities. The replies first clarify that electronic…
The document considers execution risk in a two-market foreign exchange arbitrage. If one leg fills and the other does not, the position is exposed rather than hedged. The question proposes crossing the spread to complete the missing leg, waiting briefly…
The document distinguishes a sell limit order from a sell stop order in the context of liquidating a position. A limit sell sets the minimum acceptable sale price and rests on the ask side if its price is above the best bid, so it may remain unfilled. If its…
The document describes a proposed local exchange for algorithms sharing a computer. The envisioned system would maintain virtual accounts, check available balances, route eligible orders through broker gateways, and match compatible orders internally. Such a…
The document describes how to reach exchange market data carried inside packet captures when building a feed parser or order book. For UDP traffic, the application payload follows the Ethernet, IP, and UDP headers, which must be skipped to access the feed…
This note considers the costs of buying SPY options near the market open and selling later in the day. It highlights explicit transaction charges and the bid-ask spread as separate drags on a trade. It also warns that option spreads may widen around the open…
The document explains how to interpret a price tick table when adjacent price bands leave apparent gaps. In the example, prices through 1,000 use a five-unit tick, while prices above that threshold use a ten-unit tick. Under this interpretation, prices…
The document considers two measures of near-term buying and selling pressure for a market-making strategy: comparing displayed volume across several bid and ask levels, and comparing recent buyer-initiated and seller-initiated trades. These are identified as…
The discussion explains two time-in-force instructions for an order that may encounter insufficient available liquidity. A fill-or-kill order requires the full requested quantity to execute immediately; if that cannot happen, the order is canceled. An…
The document discusses what an intraday volatility estimate means in a market impact model and how to construct one when a trade begins shortly after the market opens. The response interprets the paper’s reference to every transaction during a day as an…