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.
9,797 documents
This strategy places paired long and short limit orders around the market, then rebuilds the grid after fills using the last filled price and a position-dependent step. It tracks net position and average entry price with a grid position calculator. When…
The document describes a spread-taking algorithm that waits for valid bid and ask volume, checks that prior orders have finished, and hedges any unbalanced passive legs before initiating another active-leg order. For a long spread, it takes the active leg…
The document describes a long and short strategy driven by fast and slow moving averages. It checks crossover conditions using completed-bar values, then opens a position or reverses an existing one. Position size is calculated from current account assets,…
The document explains a graphical workflow for maintaining historical market data. Users can download data from connected market data services or trading interfaces, import CSV files, inspect stored records, export selected ranges, and delete contract data.…
The document presents a rules-based BTCUSD trading example that derives three directional signals from recent price bars: RSI thresholds, CCI thresholds, and a comparison between fast and slow simple moving averages. It sums those signals and scales the…
This document explains how to represent a multi-leg spread using separate price and trading multipliers. It derives synthetic bid and ask prices from each leg’s best quotes, reversing which side of a leg’s market contributes when its price multiplier is…
This guide explains how to operate live CTA strategy instances: create them with a contract and parameters, initialize them from historical data, start or stop automated trading, and edit or remove instances. Initialization replays bars or ticks to warm…
The document outlines a cryptocurrency futures system that combines MACD direction signals with Bollinger Band breakouts. It proposes opening a long position when MACD forms a bullish crossover with its fast line above zero and price breaks the upper band,…
This lesson contrasts spot trading, where profit generally depends on prices rising after purchase, with futures contracts, which allow traders to open and close positions and use leverage. It explains that leverage reduces the margin needed for a position…
The document describes a two-sided futures grid strategy that places orders on both sides of the market and includes take-profit and stop-loss controls. It presents the approach as most suitable for range-bound conditions or periods of relatively low, stable…
This guide explains how to launch a trading workstation through either a graphical interface or a script, connect a simulated futures account, subscribe to contract data, and place manual orders. It outlines how limit and market orders move from submission…
This strategy combines a slower trend signal with faster entry and exit rules. It builds 15-minute bars and compares a fast simple moving average with a slow one; their ordering sets the directional trend. On 5-minute bars, it calculates RSI and opens a long…
This module describes a real-time radar for calculating derived values from multiple contracts. Users define named rules with a Python mathematical expression and assign contract symbols to formula variables. Incoming tick data for any assigned contract…
The document shows how a graphical trading application is assembled from an event engine, a main engine, exchange gateways, and several trading applications. The configured components include strategy execution, backtesting, data management and recording,…
This document demonstrates how to turn a backtest’s sequence of fills into completed trade records. It accumulates signed position, traded value, and price-based profit and loss until exposure returns to zero, then derives each trade’s duration, volume,…
The discussion asks whether manipulation of SPX options or equity and volatility futures caused the February 2018 VIX spike, and what data could help investigate. The response points to volatility-linked exchange-traded products as a possible source of…
The document asks how a short-term VIX futures index’s daily roll weights translate into the holdings and cash flows of an exchange-traded product. It uses a dated example with two adjacent futures prices to question how a roll handles a price difference,…
Liquidity depends on the asset class and on how participants access each market. The document compares spot, futures, options, and swaps across currencies, single stocks, equity indices, commodities, and fixed income. It offers a practical framework: there…
The discussion explains how the cheapest-to-deliver bond can make a Treasury futures curve trade differ from the yield spread suggested by the contract names. A 10-year Treasury note future may be priced around a deliverable bond with a maturity closer to…
The discussion addresses whether negative interbank rates should be floored at zero when valuing FX forwards or futures. The answer argues that market participants can lend and borrow at negative rates, so valuations must reflect those rates: replacing them…
The post asks how to build a yield curve from three-month interest-rate futures, using Euribor as an example, and whether cubic-spline interpolation is available in Python. It points to a reference on multi-curve bootstrapping and a worked Python…
The document asks whether a forward price for a financial product can be expressed as its current price divided by the price of a zero-coupon bond maturing at the settlement date. The proposed argument uses a conditional expectation under the…
The answer identifies a gas-fired power plant’s spark spread—the relationship between electricity revenue and the gas cost required to generate it—as a central exposure. It describes over-the-counter spread options as a way for a plant operator to hedge this…
The problem describes a seller who observes a sequence of prices for different future delivery days and must choose when to commit to selling. Prices for each fixed delivery date are assumed to follow a martingale. The proposed approach begins with a Bellman…