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.
1,116 documents
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 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 distinguishes transport protocols from presentation or wire formats used to exchange trading data. It says firms colocated in the same data center often use raw UDP for transport, and notes Aeron as another option that has gained use. For market…
The note clarifies the timing and roles of variables in an OLS model built from principal component projections of asset returns. The dependent variable is the accumulated log return over the next H periods, from t+1 through t+H. The explanatory variables…
The document considers how to adapt an exponential smoothing parameter online, distinguishing a univariate estimator such as a mean or variance from multivariate regression. It argues that choosing a smoothing window is meaningful only when the data may…
The document discusses ways to detect short-term price pressure in equity tick data so an execution algorithm can pause buying after a rapid rise and resume when conditions stabilize. It distinguishes liquidity-driven activity within the order book from…
The document compares communication protocols used across trading workflows. FIX is described as a widely used standard for order communication, while SWIFT is associated with post-trade and back-office functions. The answers distinguish order entry from…
The document considers forecasting returns and volatility from data sampled at intervals of one second or less. It notes a limitation of relying on ARMA and conventional GARCH alone: these time-series models do not directly represent order imbalance or order…
The document collects brief suggestions in response to a firm seeking an off-the-shelf system for storing and querying high-frequency tick data. It names kdb+ as a prominent option, while noting that its programming language may be difficult for some users.…
The document defines a supervised-learning target for limit order book data using the mid-price, calculated from the best ask and best bid. Each book update is treated as an observation, and the target records whether the mid-price rises, falls, or stays…
The document describes a lower-resolution trade feed that preserves selected timestamps and prices while aggregating the volumes of trades between observations. Because the omitted trades are unknown, the question asks whether a single incomplete feed can…
The document describes challenges in estimating value at risk and conditional value at risk from high-frequency strategy returns. At short sampling intervals, returns may be heavy-tailed and discrete, while periods with no open position create many zero…
The document outlines common roles for field-programmable gate arrays in high-frequency trading. FPGAs can process large streams of market data with simple, repeated computations at low latency. They may handle feed parsing, compute analytics, perform risk…
This discussion organizes risk management for high-frequency trading into infrastructure, model-specific, and system-wide controls. Infrastructure oversight covers software and hardware reliability, code review and testing, connectivity and reconnection,…
The document explains why volatility estimated from every transaction price can be overstated at high frequency. It models observed prices as a latent price that evolves with market uncertainty plus a separate component reflecting whether a trade occurs at…
The discussion considers whether GARCH-MIDAS, commonly applied to daily returns, can model one-minute returns while incorporating daily exogenous variables. It suggests adapting the model to include an intraday volatility component, with a multiplicative…
This indicator builds a compact time and sales table showing timestamp, inferred direction, last price, and volume for recent observations. It offers two data modes: sampling a selected lower timeframe or processing live updates tick by tick. Direction is…
This indicator displays price updates as they arrive on the current real-time bar. In tick up/down mode, it places a dot at each update’s sequence number; in tick progression modes, it marks updates on the candle with symbols that shift horizontally. Colors…
This indicator uses lower-timeframe bars to maintain a rolling tape of volume observations, their timestamps, and the direction of each price change. It sums volume associated with rising and falling closes, displays their relative shares as a two-sided…
The document compares three CFD account modes: ECN, STP zero-fee, and Pro. ECN is described as charging a per-lot fee with raw spreads, while STP has no transaction fee and uses an all-in spread. Pro also charges per-lot fees but offers dedicated quote depth…
The article explains execution latency as a chain spanning market data delivery, strategy processing, network routing, exchange gateway checks, matching, and confirmation. It distinguishes latency from throughput and recommends measuring more than an…
The document introduces MegaETH as an Ethereum-connected network designed for fast execution, then describes its proposed architecture: parallel processing, external data availability, Ethereum settlement, and EVM compatibility. It frames the design as a…
The document surveys platform categories and supporting tools for high-frequency trading across equities, futures, options, and digital assets. It discusses broker and exchange APIs, software environments, market-data processing, and execution…