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 describes a stock trading signal that combines multiple predictors with different forecast horizons. At each tick, the weighted indicator total is compared with a positive and negative threshold to determine whether to buy or sell. Differential…
The document asks how equity order-book depth changes over the trading day, including whether total size follows a particular time pattern and how displayed quotes are distributed across price levels. The answer points to research on queue-reactive…
The document explains how faster access to prices or faster order transmission can create a temporary advantage across markets. A trader who learns that an asset has changed price in one venue may try to trade in another venue before its prices adjust. The…
The document considers whether a low R-squared is surprising when estimating stock beta from intraday returns, using a regression of Google returns on S&P returns as its example. The responses explain that R-squared measures how much of one return series’…
The document considers whether NASDAQ TotalView ITCH order reference numbers are sequential, random, or patterned, with the practical goal of choosing an efficient hash table for a memory constrained device. The response suggests asking the data provider…
This note compares several exchange matching methods and explains how their design can affect trading. Call auctions concentrate order matching at set times, which can help process many orders quickly, including when trading resumes after a suspension.…
The document considers operational drawbacks of Esper and its .NET port NEsper for complex and event stream processing in trading applications. It asks about implementation problems and how these engines compare with alternatives, including databases and…
The document surveys several forms of liquidity provision. It describes cross-market arbitrage, where a trader posts a limit order in one venue and hedges a fill by taking liquidity elsewhere, and rebate trading, which seeks exchange payments for passive…
The document asks how to forecast volatility when one-minute bar data is available. It outlines several broad approaches: GARCH models, stochastic volatility models, implied volatility, and realized volatility. Since options prices are unavailable, implied…
The document distinguishes a visible order-book pattern from confirmed iceberg detection. A rising count of buys at a bid that does not advance may indicate that incoming buying is being absorbed by sell liquidity, but the answer says this is better…
The document discusses how to choose price-range and order-queue limits when implementing a limit order book, especially for an FPGA based equities market-making system. Its central guidance is to tailor the data structure to the venues and instruments,…
The note distinguishes market-by-price data from market-by-order data. L2 typically reports aggregate quantity at each price level, sometimes with the number of orders, and may cover only a limited number of levels or arrive as periodic snapshots. L3 reports…
The document examines how to measure order imbalance for a market maker. A cited definition accumulates the excess size of buy orders over sell orders at the current quote since the market maker last changed that quote. This measure resets to zero after any…
The discussion frames beta as a measure whose usefulness depends on the portfolio, benchmark, and intended use. Multi-factor models often explain returns better than CAPM, and the market factor can account for relatively little volatility, but beta can still…
The document considers how a colocated trading system can choose among exchange order-entry gateways whose delays vary over time. It proposes using TCP round-trip time as an observable proxy for gateway delay, then estimating each gateway’s near-term latency…
The document discusses approaches to reducing latency in TCP communication between trading machines. One answer recommends a single-threaded, asynchronous, non-blocking reactor that handles multiple connections on a dedicated, isolated CPU core. It reports…
The document surveys sources that may provide free or sample high-frequency market data for research and training. Suggestions include foreign exchange tick histories, exchange sample files, equity order book data, and reconstructed limit order books. Some…
The discussion explains that historical volatility is typically measured from log returns, with the estimate depending on the return interval and the lookback period. For an intraday volatility profile, calculate returns between successive minute bar prices…
The document reviews research comparing foreign-exchange volatility forecasts from variations of GARCH models. The studies construct realized volatility from squared intraday returns, including adjustments intended to reduce market microstructure bias, and…
The discussion surveys reported uses of F# in banks, trading firms, and quantitative finance teams. Examples include valuation and derivative pricing, energy trading software, sports trading models, data cleaning, and analytics. Some teams combine F# with C#…
The document discusses whether a market maker can estimate fair value by modeling the limit order book (LOB) and its evolution without separately accounting for recent trades. It explains that trades help drive changes in the book, while resting orders also…
The document explains two sources of unusual patterns in high-frequency price data. First, trades do not occur continuously: during quiet intervals, the last traded price may remain stale while the underlying fair value changes. Returns measured from these…
The document asks which market features help explain stock price movements over short time intervals and which tools can indicate the direction or local trajectory of price. It proposes order flow imbalance, volume imbalance, trade counts, and counts of…
The document describes a real-time pipeline for Bloomberg tick data covering many stocks and equity options. Multiple processing services publish updates through Redis pub/sub, Redis also holds intraday tick data, a separate process saves periodic snapshots…