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 article argues that a factor can be useful even when its strongest information lies in identifying poor-performing stocks. It describes ranking stocks into daily groups by factor value and interpreting unusually strong performance in the worst-ranked…
This document presents a programming approach for working with millisecond timestamps in a trading platform. It extends a date-time structure with a millisecond field and methods to convert between milliseconds since the Unix epoch and ordinary date-time…
The document outlines three broad stages in the development of commodity trading adviser strategies. It attributes early CTA success in the 1960s and 1970s to persistent commodity trends associated with economic growth, inflation, and oil-market shocks.…
This document introduces HftBacktest, a Rust framework for developing and running high-frequency trading and market-making strategies. Its backtesting approach replays tick-level market data and aims to model important execution effects, including feed…
The report develops stock-selection factors from one-minute Chinese equity data, adding transaction counts to price and volume inputs. It examines average trade value and the direction of large-trade activity, then evaluates these signals both alone and…
The document explains a high-frequency tactic called penny jumping through a limit-order-book example. A large visible bid may signal that an institutional buyer is willing to trade at a particular price. A faster trader can step one tick ahead of that bid,…
The article outlines common aims of algorithmic execution: splitting a parent order to follow market volume, reducing market impact, and concealing trading intent. It also presents automation as a way to improve order-entry efficiency and reduce manual…
This article surveys engineering choices for algorithmic trading systems, including desktop computers versus dedicated or cloud servers, operating-system trade-offs, remote access, and low-latency server placement. It emphasizes resilience: developers should…
This opinion article argues that quantitative trading has become entrenched in China’s A-share market despite retail investor criticism. It attributes its perceived advantage to rapid automated execution, access to data and signals, and institutional tools…
This opinion article argues that retail traders face disadvantages against quantitative firms in short-term trading because of differences in data processing, execution speed, and trading infrastructure. It describes how large orders can be divided into many…
This article argues that some quantitative strategies in China’s A-share market focus on exploiting short-term price fluctuations rather than company fundamentals. It portrays rapid trading as a source of high turnover and a potential conflict with the…
The tutorial describes a faster backtesting approach that precomputes fill conditions across intervals, reducing the need to replay every depth update or estimate queue position. It retains feed and order-entry latency but omits order-response latency.…
This commentary describes six measures it says would reshape quantitative trading in China’s A-share market: adding network latency, sharing or relocating trading ports, capping order activity, requiring strategy registration and disclosure, imposing…
The note describes a way to turn high-frequency trade data into a daily measure of stock order book pressure. It uses intraday tick price movements to identify displayed orders above and below traded prices, aggregates these observations at the close, and…
This report examines whether removing stocks selected by high-frequency multi-factor short portfolios can improve a CSI 300 index-enhancement strategy. It compares three approaches: combine standardized factor scores, use a regression model to forecast…
This Chinese-language article introduces order flow toxicity through the market microstructure problem of information asymmetry. Informed traders may profit at liquidity providers’ expense; if this adverse selection becomes severe, market makers may withdraw…
In this interview, market maker Harry Yeh discusses applying electronic trading and Hummingbot to cryptocurrency market making. He stresses that operators need to understand limit orders, bid-ask spreads, order levels, parameters, and cancellations before…
This document describes a small MQL5 benchmarking library for comparing how quickly functions or expressions execute. It introduces three measurement styles: timing a call in microseconds per invocation, running a fixed number of repetitions and reporting…
This commentary argues that oversight of quantitative trading should focus on predictable, transparent market rules and enforcement of misconduct, rather than suppressing algorithmic methods as a category. It frames the regulatory challenge as balancing…
This research summary describes a machine-learning approach to predicting very short-term price changes from futures order-book data. It proposes using support vector machines with features such as best bid and ask prices and sizes, order-book depth, slope…
This article presents the volume clock as an event-based way to measure market activity, in contrast with fixed calendar time. Sampling equal-volume intervals can reduce intraday seasonal effects and may produce observations better suited to conventional…
These reading notes discuss James Simons and Renaissance Technologies as an example of systematic investing built by combining mathematical research, statistical signals, computer models, and automated execution. The notes contrast discretionary investing,…
This document presents a framework for testing trading decisions made at multiple time scales together. It argues that portfolio selection and intraday order execution should interact within one backtest because execution quality can change which…
This Chinese-language case study describes using an AI coding assistant to reproduce and modify a high-frequency volume factor for Chinese equities. The source factor uses intraday volume’s Fourier spectrum to measure energy in a short-period band, with…