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 brief indicator description presents BB_OsMA, which displays the OsMA oscillator with upper and lower bands formed as a spheroid deviation. It also mentions an accompanying chart template and recommends using the indicator on a five-minute timeframe for…
The author describes a Binance perpetual futures strategy that used recent trades, order book depth, and current positions to infer short-term direction and place maker orders. In a rising market it opened longs and closed shorts; in a falling market it did…
This note presents a short-term equity screen based on daily high-low range and turnover. It combines a range threshold above one with turnover bounds: first greater than 2% and less than 9%, then greater than 3% and less than 12%. Because the latter…
The document explains how Hyperliquid handles transaction nonces for API wallets, also called agent wallets, and why its scheme differs from Ethereum’s sequential nonce model. Hyperliquid retains the 100 highest nonces per signer, accepts only unused values…
The article describes replacing the general-purpose MQL tick structure with smaller representations tailored to instrument type. For Forex and CFDs, a compact structure stores bid, ask, millisecond time, and flags; an exchange-oriented version also retains…
The document summarizes research on rapid fluctuations in US equity bid and ask quotes, their cost to liquidity takers, and possible causes. It measures short-horizon quote variability with variance ratios, using millisecond quote data for 150 listed…
This programming note describes a method for detecting when a new market bar appears. It stores the latest bar timestamp in a static variable, retrieves the current latest-bar time through a series information function, and compares the current time with the…
The post reports two errors encountered while analyzing the high-frequency factor hf_volume_diff_large_order: the software formed only four groups when five were requested, and it reported factor-value coverage below the minimum threshold. The author says…
This brief indicator description explains how tick events can be collected from a trading terminal into an array and shown on screen. Each displayed tick can carry a flag identifying the type of event: a change to bid, ask, last traded price, or volume, or…
This polemical essay argues that quantitative funds have an unfair advantage over retail traders, focusing on differences in settlement and trading rules. It claims that institutional strategies can exit or reverse positions rapidly while individual…
This practitioner report describes experiments using a deep neural network to select stocks for a rapid rotation strategy. The model labels stocks by their subsequent return over a short holding interval, divides outcomes into ranked classes, and uses a…
The article distinguishes high-frequency trading firms from quantitative investment firms by their typical origins, time horizons, capital models, and technical priorities. It describes high-frequency trading as focused on rapid processing and efficient…
The transcript surveys four ways quantitative methods enter trading: high frequency strategies, statistical arbitrage, execution algorithms, and quantitative tools used alongside discretionary investing. It describes market making as earning bid–ask spreads,…
The document presents an implementation of a limit order book that stores level-two depth in bid and ask vectors over a configured range of price ticks. It maps prices to array indices using the tick size, aggregates quantities at each level, and tracks best…
This collection of trading anecdotes describes manual, high-frequency intraday futures scalping based on order-book changes, quick reactions, and repeated attempts to capture small price differences. Practitioners emphasize watching volume and position…
The article offers four proposed reasons Chinese quantitative funds may find A-shares attractive relative to US equities: a large listed universe and volatile small-cap stocks, lower trading costs, a higher retail share of trading that may create mispricing,…
This tutorial introduces a workflow for inspecting market data and orders in HftBacktest. It shows how to configure an asset with historical tick data, an optional starting snapshot, contract and tick sizes, latency, queue position, exchange fill behavior,…
The document describes a high-frequency futures data method: connect to multiple futures brokers, subscribe each connection to the same contract, and combine incoming tick events. Its platform design uses a continuously running main loop and an event-waiting…
This document describes a Rust framework for developing high-frequency and market-making strategies in backtests and live trading. Its replay approach uses tick-level market data and reconstructed order books, including both market-by-price and…
This report introduces an early-stage study of market microstructure signals in the IF equity index futures contract. It proposes examining the difference between midpoint and trade-price log returns, quoted depth, large trades, and signed volume. The…
This article explains why high-frequency trading firms invest heavily in reducing the time it takes to receive market information and send orders. It describes an earnings-news episode in which an automated firm traded before financial news terminals…
The document explains quantitative trading software as a system for turning investment rules into data analysis, strategy development, historical simulation, risk controls, and automated orders. It describes typical inputs such as prices, volumes, and…
This report summary outlines an investigation of how high-frequency factors behave across different periods and domains, along with an analysis of what may influence their performance. The authors say earlier work built factors from trading logic using…
The article gives a high-level taxonomy of nine quantitative approaches and the market effects each seeks to exploit. Trend following aims to capture persistent moves; mean reversion trades price dislocations around an average. Value and growth models screen…