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.
9,797 documents
This discussion covers a VeighNa CTP test setup that connected to the market-data server but showed no trading-server activity, received no quotes, and left orders in a pending submission state. The initial troubleshooting advice is to verify the broker,…
The document explains VeighNa's standardized datafeed configuration and lists supported providers, their broad instrument coverage, and available data frequencies. Configuration uses a provider name and credentials, with a token placed in the password field…
This reference explains the fields used to represent a dated cryptocurrency futures instrument in a trading system. It covers instrument identity, underlying and quote currencies, settlement currency, inverse status, activation and expiry timestamps, price…
This live strategy listing describes a cycle-reversion approach with position compounding across several Binance crypto futures markets. The page identifies a one-hour chart period and says the strategy runs on a repeating schedule several times per day,…
The document presents a portfolio optimization problem involving integer long or short futures positions, transaction costs, expected returns, covariance, position bounds, and a target volatility range. The proposed objective subtracts transaction costs from…
The document considers how an industrial electricity buyer might manage purchase-price variability using spot and futures markets. The problem includes electricity’s limited storability and resulting spot-price spikes, futures with monthly, quarterly, or…
The document gathers rules for gold futures dates that traders may need to calculate without consulting a calendar. One answer describes the last trading day as the third business day before month end, while another quotes listing months from exchange…
The document explains how to derive past expiration dates for WTI options when a historical calendar is unavailable. It starts from the underlying futures contract: its final trading day falls three business days before the 25th calendar day of the month…
The document addresses why a Nasdaq-100 futures settlement value can differ substantially from the cash index’s closing value on expiration day. The explanation is that these futures settle against the Special Opening Quotation, which is calculated from the…
The document explains why a handful of short-term USD Libor quotes cannot define a full zero-rate curve. It outlines a typical instrument sequence: use cash or deposit rates for the short end, Eurodollar futures to extend the curve through the intermediate…
This discussion examines why a stock’s futures can trade below its spot price even when the company pays no dividends. It starts with cost-of-carry pricing and asks whether heavy demand to hedge stock holdings could explain the gap. The responses point to…
The document explains how to construct a return series for measuring realized volatility in front-month VIX futures. The proposed approach starts by listing the monthly contracts, then defining a consistent roll rule, such as switching contracts a set number…
The discussion asks whether SPX options offer a way to trade the index’s closing value with an offset for forward alignment, similar to a futures index basis trade. One response says SPX combo-on-close trades are available over the counter, with interdealer…
The document describes an attempt to estimate a Treasury bond future’s delivery option by applying principal component analysis (PCA) to yields of deliverable bonds. The author uses the leading components to create yield scenarios, scales them using the…
The note explains why VIX futures can converge toward the published spot VIX near expiration even though the spot index itself is not tradable. Futures settle in cash, with the settlement amount determined on delivery day from a calculation closely related…
The document explains the role of a fixed interest component in perpetual futures funding. Funding combines a premium component with an interest-rate component, and its broader purpose is to encourage perpetual prices to track spot prices. The premium…
The document explains the settlement mechanics of short-term Eurodollar interest-rate futures through a bank’s hypothetical sale of several contracts. These contracts are cash settled, so expiry does not involve delivery of a time deposit. Instead, the final…
Conversion factors make bonds with different coupons and prices comparable in a futures contract that accepts multiple deliverable securities. The explanation starts with the cheapest-to-deliver problem: if futures settlement simply tracked one bond’s…
The document explains why financing enters a physical commodity forward price. Holding the commodity until delivery ties up capital, so the cost of financing the spot purchase contributes to the forward price, alongside storage and insurance costs. The…
The document explains a common distinction in forward pricing: the forward price is set when the contract is initiated, while the contract’s value changes as the underlying price moves. Confusing these quantities can lead to the mistaken conclusion that…
The document explains how stock index futures relate to cash indices, particularly when the equity market is closed. While both markets trade, a futures price is related to the spot index through a cost-of-carry relationship that includes interest rates,…
The discussion distinguishes a vanilla forward swap rate from rates inferred from futures or from cash flows paid under a different measure. A forward swap rate paired with its corresponding swap annuity is treated as a martingale under the annuity measure,…
This discussion explains why a QuantLib Black calculation for a Treasury futures option can appear to disagree with Bloomberg on price and gamma. The accepted answer attributes the apparent mismatch to quote conventions and Greek settings: Bloomberg may show…
The document identifies two financial risks for an exchange and its associated clearing corporation. First, a trade may be accepted before the system checks whether the trading member has exceeded its exposure limit. This delay supports fast order handling,…