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
This study examines whether differences in buy and sell limit order strength contain information about short-term price moves and longer-horizon stock returns in Chinese equities. Its Spread measure aggregates order book strength at each tick. Across…
This announcement introduces HBOT as a governance token for the Hummingbot open-source trading-bot project. It describes a community governance model in which holders vote on code changes, improvement requests, and proposals about Foundation governance or…
This programming note presents a basic logging class for MQL5 trading projects, modeled loosely on Python logging. It supports severity levels from debug through critical, configurable message formatting, optional alert dialogs, and substring inclusion or…
The document outlines a way to construct daily, cross-sectional high-frequency equity factors. It proposes ranking stocks by their volume as a percentage across the market, then calculating the cross-sectional variance, skewness, and kurtosis of those ranks.…
This guide describes operational practices for receiving foreign-exchange prices for research, backtesting, and live systems. It recommends a WebSocket push connection instead of frequent polling for actively used currency pairs, retrying after temporary…
This overview explains how traders can translate technical rules into algorithms that monitor markets and place or manage orders. It describes automation’s practical uses: tracking multiple assets and indicators, high-frequency trading, cross-market…
The overview describes a multi-asset trading platform that uses a Rust core for event-driven processing and Python for strategy control and system orchestration. Its central design idea is to use common strategy and execution components across research,…
This article outlines a short-term stock-screening idea based on activity in the Chinese opening call auction. It focuses on changes from 9:20 to 9:25, monitoring auction volume and the displayed quantities at the first and second bid levels. The author…
This documentation explains the event record format used by a high-frequency backtesting system and how to validate timestamps in market data. Each record stores an event type, exchange and local timestamps, price, quantity, and optional order or extra…
This guide explains how to connect to cryptocurrency exchange WebSocket feeds through a platform's Dial function, subscribe to channels, parse incoming messages, and handle compressed data. It distinguishes streams whose subscriptions are encoded in the…
The forum exchange addresses whether VeighNa’s CTP Test interface works on macOS. A user reports that the regular CTP interface installs successfully, while the CTP Test interface fails with a missing Python module error. The reply states that CTP Test does…
This forum exchange asks whether routing events through one queue in a Python event engine can cause congestion, blocking, or reduced efficiency, and whether multiple queues or engines would help. A respondent argues that adding threads may reduce speed in a…
The document describes turning intraday order-book and trade data into monthly equity-selection factors. It introduces volume order imbalance (VOI), order imbalance ratio (OIR), and market price bias (MPB). MPB classifies trades by whether buyers or sellers…
The guide explains how to create synthetic order latency for more realistic high-frequency backtests when measured order timings are unavailable. It recommends collecting exchange and local timestamps for market data, and says actual order latency can be…
This HftBacktest documentation explains how exchange fill rules and queue-position assumptions shape market-data replay backtests. It contrasts a default model that fills orders completely with an alternative that allows partial fills when a trade reaches an…
This document describes an example that distributes units of an MD5 password search across local and remote agents. Agents return any passwords they find, while the master Expert Advisor can receive and handle their data frames. The example also displays…
This tutorial develops a grid market-making example for a large-tick asset, where queue position can strongly affect execution. Its first version estimates fair value from best bid and ask prices weighted by displayed quantity, then shifts a reservation…
This brief technical post illustrates asynchronous exchange operations for retrieving a ticker, retrieving order-book depth, placing a buy order, and requesting hourly records. Each call returns an object immediately, and the example later invokes a wait…
The document compares methods for using high-frequency factors with strong short effects to improve a CSI 500 index-enhancement strategy. It distinguishes screening out stocks before building the strategy from removing them afterward, and describes combining…
This indicator presents three Bollinger Band pairs on a single chart, using standard deviation multipliers of two, three, and four. Its default lookback period is 50, and the description says it is suited to viewing minute candles. The main purpose is to…
The article examines how algorithmic and high-frequency trading have entered cryptocurrency markets alongside institutional participation. It describes exchange colocation as a way to reduce execution latency and argues that faster access can give…
This programming note explains how to keep a rolling cache of recent bars for use in strategies that calculate time-series indicators from live data. A bounded array is updated from bar callbacks, and strategy logic waits until the cache is initialized…
This research overview presents a framework for studying high-frequency equity factors, emphasizing both incremental information and the economic logic behind observed returns. It uses linear models, factor statistics, and portfolio backtests to assess a…
The speaker describes developing systematic futures trading from a simple intraday rule into a portfolio of strategies. The example begins with entry thresholds around the session open, a fixed stop, and a close-based exit; moving-average filters and a…