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 opinion article argues that quantitative trading can intensify volatility in China’s A-share market and disadvantage investors who lack comparable speed or technology. It attributes these effects to strategies that respond to market rules and short-term…
This document describes settings for a scalping Expert Advisor presented as a retracement strategy, intended for a five-minute chart and named for EUR/USD and NASDAQ stocks. It lists controls for moving-average lengths, trade size, maximum trades, stop loss,…
The document explains Hummingbot’s configurable tick size, the interval at which its clock calls strategy components for another iteration. Connectors and strategies inherit from a time-iterator component, and the clock notifies these components on each…
This forum post asks how to monitor whether exchange limit orders have filled in a JavaScript trading loop. The example repeatedly requests the open and closed order list, checks for closed orders, logs fill details, and also processes webhook commands and…
This article examines stop-loss decisions in frequently trading strategies, especially market making. It describes a method that adjusts order submission probabilities when market direction appears unfavorable, cancels resting orders, and tracks the…
This research summary describes adapting daily price-volume alpha research to intraday high-frequency data for stock selection. It examines relationships between price and volume, including ordinary and unusual activity, and reports constructing three…
The document describes an order-flow indicator that monitors the rate and density of market data updates rather than relying only on cumulative volume. Its proposed method compares incoming tick activity with a moving baseline and its standard deviation,…
This expert-advisor description outlines a tick-driven scalping system that compares short-window price returns with a rolling statistical baseline. It enters only when the move’s z-score exceeds a configurable threshold, then lets the user choose either…
This primer explains how electronic trading and venue fragmentation changed stock order execution. It distinguishes high-frequency trading as a way to implement strategies, such as market making or arbitrage, rather than a strategy in itself. It describes…
The discussion addresses how a spread strategy should handle ticks arriving at different times for multiple contracts. It describes a latest-available-data approach: cache each leg’s most recent tick and recalculate the spread whenever any leg updates. This…
This forum exchange concerns semi-automated trading with VeighNa’s CTA framework. The questioner runs a strategy without a graphical interface and wants to change parameters manually while it is active, using those changes to trigger a manual entry and…
This research summary examines high-frequency equity factors built from minute bars, tick data, and transaction-level records. The factors capture intraday skewness, downside volatility, reversals, late-session trading, price-volume relationships,…
This essay argues that quantitative, discretionary, short-term, long-term, active, and passive approaches coexist within a market ecosystem. It warns that historical models can fail in unusual conditions, crowded strategies may lose their edge, and…
The document outlines a tick-driven Expert Advisor that compares the current price with the price observed on the preceding tick. It identifies two static variables as the core implementation idea: because a static variable retains its value after a function…
This migration guide explains changes users must account for when moving HftBacktest strategies and data from version 1 to version 2. The key control-flow change is that functions such as the event-advance operation and order submissions now return status…
This research summary proposes a stock illiquidity factor based on the shortest path through intraday candlestick data. It aims to improve on a conventional proxy that relates price returns to trading volume, which the authors say can be unreliable during…
The article describes joining the makers by placing a limit order at the current bid to buy or at the offer to sell, then waiting for execution. This can suit an investor without immediate time pressure who seeks a better entry or exit price. The investor…
The document describes a partnership between Hummingbot and Binance focused on attracting algorithmic traders and expanding token liquidity-mining campaigns. Hummingbot is presented as software for automated crypto trading, including market making and…
The README describes a market replay framework for researching high-frequency trading and market-making strategies. It reconstructs order books from detailed market data and simulates order and feed latency, queue position, and fills. Its tick-by-tick engine…
This document explains a MetaTrader library for accessing trading transaction data throughout a program, rather than only inside the transaction event handler. It presents this as a way to make asynchronous order workflows easier to build: a program can…
This document describes an MT5 indicator that measures price change over a user-defined number of seconds and displays the result in points and percentage. It uses tick history, so the described tool is limited to MT5. The displayed value can be based on…
This roadmap outlines development work for a quantitative trading toolkit spanning Python reporting, Rust backtesting, live trading, exchange connectors, orchestration, and examples. Its backtesting topics include Level 3 order-book simulation, combining…
This article explains a method for increasing the frequency of observed commodity-futures market updates by subscribing to the same contract through multiple futures-company connections. Its premise is that each feed can deliver updates at different times…
This short-term equity screen selects stocks whose turnover lies within a specified band, that appeared on the prior day's trading leaderboard, and that had positive pre-open auction turnover above a stated threshold. The document frames the combination as a…