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 way to calculate minute returns when a price table contains rows only for minutes with trades. It recommends building a complete minute-by-minute time grid, placing observed prices at their timestamps, and carrying the last available…
The document asks whether signed net volume could predict asset performance in a way that resembles the information carried by returns. It distinguishes ordinary gross volume from net volume, defined as buyer-initiated volume minus seller-initiated volume.…
The document discusses how to assess a cryptocurrency portfolio rebalancing strategy based on mean reversion, especially when frequent trading costs overwhelm attractive backtest results. Its example compares hourly and daily backtests under different fee…
The note explains the effect of the isInArrears setting on floating-rate coupons in a QuantLib IborLeg. When enabled, the coupon’s fixing date is based on the accrual period’s end date, adjusted backward by the index’s fixing days and calendar rules. When…
The document clarifies that “tick data” can refer to different market event streams. Trade ticks record executions, typically with price, quantity, and time; bid/ask updates capture changes in quoted prices and sizes; order book or market depth data can…
The document shows how to calculate a running net amount for a short-selling backtest when positions are added over time. The proposed recurrence updates the previous net amount by the next period's short-sale price change, then adds the value of any new…
The document compares storing market bars in separate arrays by field with storing each bar as an object. The column-oriented option keeps open, high, low, close, and volume values in separate arrays. One answer recommends this layout for time-series…
The discussion explains Nasdaq Sell Imbalance-Only orders, which are limit orders intended to provide liquidity against orders participating in the closing auction. The cited description says sell IO orders execute only at or below the closing-time bid or…
The document poses a practical question about deriving an executable B/C price from two markets, A/B and A/C, on the same exchange. The proposed route is to buy A with B and then sell A for C, with the achievable price depending on the desired quantity of C.…
The document raises an apparent mismatch in NASDAQ ITCH data: an ask order is added at a limit of ten dollars, yet an executed-with-price message reports a fill one cent lower. It highlights a microstructure and data-interpretation question about how…
The document considers a two-period market with a risk-free asset and a stock whose future price can move along several scenarios. It asks whether short selling creates an arbitrage when each stock trade incurs a transaction cost proportional to its volume.…
This document is a curated reading list spanning factor investing, trading and execution, volatility estimation, derivatives pricing, and commodity futures. It names influential papers and briefly describes their contributions, including multifactor asset…
The discussion addresses measuring latency between a trading server and liquidity providers when their FIX SendingTime values differ from the local clock by around tens of milliseconds, despite the local server using SNTP. The central caution is that a…
The discussion outlines how exchange market data licensing can depend on whether data is historical or real time, how it is delivered, and how it is used. Professional users, firms redistributing data, and users of non-display applications may face…
The document explains a practical approach to solving a stochastic Hamilton–Jacobi–Bellman equation for a trading control problem. It separates the equation into an optimization over the control and the remaining terms that describe the value function’s…
The document corrects the claim that futures markets have no bid–ask spread. It explains how bids and offers at different prices form a spread in the central order book: after orders at the same price trade, a buyer may need to pay the next offer while a…
The document asks whether Google or Yahoo Finance streams can provide every price change during the trading day. The replies describe polling quote pages or APIs at short intervals and detecting unchanged prices, including an approach that periodically reads…
The document concerns a value-function integro-differential equation from a high-frequency trading model with limit and market orders. The question asks how to solve it numerically when the equation couples multiple market states and includes optimization…
The document distinguishes two practical components of trading costs: broker commissions and slippage. Commissions are described as charges per share, while slippage reflects execution prices that differ from the market and depends on trading volume, order…
The document explains how exchanges’ minimum price increments determine whether a bid and ask can match. Prices are discrete at the instrument’s tick size, so orders are entered at permitted price levels rather than at arbitrary decimal values. A buyer’s bid…
The document explains why a delta-hedged option position is not necessarily a source of trading profit. In an idealized model, a perfectly hedged portfolio earns only the risk-free rate. A dealer may earn revenue by selling an option above its theoretical…
The document presents a short-sale backtest example and asks why an equity calculation differs from a return estimate based on the ratio of the mean price to the close. The trader sells short using a quantity determined by dividing available capital by the…
The answer argues that historical tick data should be evaluated for integrity because vendors using the same exchange feeds can still deliver materially different records. It identifies packet loss and session recovery behavior, parser errors, lossy…
The document considers how an order gateway can retain sent and received FIX messages for audit without adding substantial latency to trading. One approach is to pass messages to a dedicated logging thread through inter-thread communication, allowing disk…