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 expert advisor described here monitors real tick data and waits for price to move a specified number of points within a specified number of ticks. This defines a short-horizon price impulse condition: the strategy is triggered by the speed and size of a…
This research summary compares minute-data factors across equities and futures, grouping them into return-distribution, volume-distribution, combined price-volume, order-flow, and trend-strength measures. It reports that several factors behave differently by…
The article argues that institutional digital-asset activity depends on reliable custody, transparent market data, and timely transaction records. It describes how order books, trade histories, and snapshots from centralized and on-chain venues can support…
This short forum exchange explains why a minute-bar option strategy cannot simply schedule orders to run every few seconds. In the described framework, strategy callbacks are driven by incoming market data rather than by a clock. One reply says…
This research summary describes using market microstructure data to estimate the share of individual stocks held by public mutual funds. It reports that a model trained across the full stock universe has some out-of-sample predictive ability, and that…
The code excerpt outlines a Rust live-trading bot builder and event-processing loop. A builder registers instruments with connector and symbol details, tick and lot sizes, and market-depth storage; it can also attach error handlers and order-response hooks…
This document summarizes several modeling choices for quantitative trading. It argues that machine learning may be easier to apply in high frequency strategies than in lower frequency settings, and that nonlinear models can capture more from data than linear…
This tutorial distinguishes bar data from tick data and explains why the distinction matters when handling market time. Bars summarize open, high, low, close, and volume over a chosen interval. The text describes a common domestic tick snapshot as a frequent…
This article frames trading-server selection around stability, latency, and computing performance. It argues that a home computer and consumer internet connection can introduce interruptions or competing workload, and suggests placing a trading process on a…
The document explains that MetaTrader 4 and 5 millisecond timers can drift from their intended schedule because they rely on the system timer. It demonstrates measuring elapsed time in an Expert Advisor and comparing it with the expected interval, including…
This document explains the role of a connector in an algorithmic trading system: it provides a communication point between bots and exchanges, brokers, or market-data providers. A system can manage multiple bots, and each bot can connect to several…
The document recommends plotting live and backtested equity, positions, strategy signals, and order prices together as an initial way to locate discrepancies. If the strategy logic is implemented consistently, it identifies latency and queue modeling as…
The document challenges the claim that US rules define high-frequency trading by a fixed limit of 15 orders per second, contrasting that claim with a behavior-based way of identifying high-frequency activity. It lists characteristics such as automated order…
This Chinese equities research reproduction develops a cross-sectional factor from minute-level volume surges. A surge is defined when the minute-to-minute volume increase exceeds that stock’s daily average increase by one standard deviation. For each surge,…
The document explains a limit order tactic for investors who want to buy a stock at a better price than the current ask. It first distinguishes investors, who take liquidity with marketable orders, from market makers, who post bids and offers to earn the…
This article describes how high-frequency trading (HFT) can shape cryptocurrency order books. It presents cross-exchange arbitrage as one HFT approach and discusses possible effects including deeper displayed liquidity, tighter bid-ask spreads, faster price…
The indicator estimates how quickly prices are changing by measuring the elapsed time required for 100 ticks to arrive. It uses time subtraction between tick events, then displays the resulting duration as a chart comment when attached to a chart. A shorter…
The document describes four ways to use the short-side information in high-frequency equity factors when building a CSI 300 index-enhancement strategy. It focuses on factors whose ability to identify weak stocks is stronger than their ability to rank…
This overview explains why high-frequency research systems process tick snapshots, trades, and order data with distributed computing. It describes the challenge of loading very large datasets and the time required to clean and analyze them on a single…
This introductory chapter compares open-source and commercial software for quantitative trading. It describes open-source tools as flexible and inspectable, with the trade-off that users generally need programming skills and may have to solve technical…
The article introduces crypto market microstructure analysis through granular data such as order books, liquidity, and order flow, then surveys machine-learning approaches that may help process large datasets. It describes recurrent neural networks such as…
RT Scalper is described as a real-time indicator for scalping instruments traded on FORTS. It plots market changes as percentages using three lines: changes in buy and sell deals, changes in buy and sell order volume in the depth of market, and changes in…
This discussion distinguishes machine learning for execution optimization from machine learning for directional trading. Execution begins with a known trade and seeks to reduce its cost; alpha generation must identify price direction and capture enough of…
The author recounts a path from manual crypto trading and losses to building strategies with FMZ, a trading platform. Experiments included an exchange funding rate strategy, studying high frequency trading, and trying a Martingale approach. A sharp market…