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
Liquidex_V1 is described as an educational automated trading system that seeks entries using a simple moving average and price range, then exits with a trailing stop. The account characterizes it as a very short-term approach and says it is intended for…
The article argues that quantitative funds may find China’s A-share market more attractive than US equities. It points to a large listed-company universe, active and volatile small-cap stocks, and lower trading costs as conditions that could support…
The article characterizes high-frequency trading as automated, rapid intraday trading based on fine-grained market data, with rapid order entry and cancellation and high capital turnover. It surveys four approaches: providing liquidity through market making,…
This intermediate FMZ tutorial explains practical platform techniques for building automated trading strategies. It covers operating across exchanges and symbols, configuring futures and swap contracts, and handling API failures through retries, null checks,…
The document explains how MQL5’s trade-transaction event can report account changes caused by submitted requests, interface actions, pending or stop-order activation, and server-side operations. It presents a base class that receives the transaction,…
This overview organizes strategy examples collected from a cryptocurrency trading platform into three groups: basic trading aids, simple strategies for study, and strategies described as having performed well in live trading. The examples span price alerts,…
This reference explains how to connect to Binance’s SBE market-data WebSocket service and what the streams provide. It covers real-time trade events, best bid and ask updates, incremental order-book depth updates, and periodic snapshots of the top levels.…
This configuration describes a Qlib workflow for training a binary LightGBM model on one-minute CSI 300 data from China. It uses the Alpha158 feature handler, robust feature normalization, missing-value filling, and cross-sectional label ranking. The label…
This platform support note explains the intended use of a high-frequency feature extraction module. It takes fields from a specified Level-2, one-minute Chinese stock bar table and applies expressions compatible with pandas and NumPy to calculate…
This article presents a modified high-frequency “profit harvester” concept for a one-way crypto perpetual-futures market. It tracks recent trades and order-book prices, then compares a short-term weighted price estimate with recent highs or lows. A move…
This tutorial develops a stock factor from the sum of trading volume during the first 15 minutes of a session. It explains why opening activity may be informative: overnight news is reflected in early trading, the opening period contributes to price…
This opinion article argues that individual A-share traders face disadvantages against quantitative firms through both speed and market rules. It contrasts claimed latency figures for colocated trading systems and retail apps, then describes the T+1…
A VeighNa community reply compares running the trading platform on Linux and Windows, focusing on tick-to-trade performance. The commenter estimates that Linux may reduce tick-to-trade time by 30%–50%, attributing the difference to its user interface…
This overview outlines four broad high-frequency trading approaches: market making, large-order execution, quantitative signal trading, and event-driven trading. It explains how passive market makers seek spread and fee-rebate income while managing inventory…
The document compares six programming-language options for building quantitative trading strategies: visual programming, EasyLanguage, Python, MATLAB/R, C++, and Java/C#. It evaluates them by capability, speed, extensibility, and learning difficulty, then…
This description presents a trading-platform header library intended to let Expert Advisors submit buy, sell, and modification requests asynchronously. Its central idea is to avoid making the strategy wait for a server response after each order, allowing…
This Chinese research summary examines whether intraday data can support sector rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing industry level factors inspired by high…
The article explains event-based tick data through changes to a limit order book: orders arrive, are canceled, or trade against resting quotes. With this event stream, a researcher can reconstruct the visible book, subject to venue rules and the depth…
This brief technical note discusses implementing an exponential moving average (EMA) in a trading indicator. It focuses on execution speed and code reuse, noting that the calculation is relatively simple and that an implementation without nested loops should…
The document asks whether minute or second level price and volume data can be aggregated into daily net flow measures for very large, large, medium, and small trades. It points readers to two implementations: a general set of high frequency factors and a…
This example implements a tick-driven futures or securities strategy using the wtpy framework. It estimates a theoretical price from the best bid and ask, weighted by the quantities resting on the opposite sides of the book, then compares that estimate with…
This overview argues that no programming language is best for every algorithmic trading system. The choice depends on strategy frequency and volume, data needs, performance targets, development and maintenance costs, and the functions the system must…
This Freqtrade strategy seeks frequent small long trades on a one-minute chart. It calculates five-period EMAs of high, close, and low, a fast stochastic oscillator, and ADX. Entry requires the open below the low EMA, ADX above 30, both stochastic lines…
This translated discussion distinguishes the apparent simplicity of a trading rule from the difficulty of implementing and validating it. A basic buy-low, sell-high idea may be easy to state, but high-frequency firms must receive market data, calculate, and…