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 research that extracts information from high-frequency order-book data and turns it into two groups of factors. It says the researchers aggregate these measures into monthly signals and evaluate their stock-selection performance in…
This document describes preprocessing checks for event data that records both exchange timestamps and local receipt timestamps. One routine detects when the local clock appears ahead of the exchange clock, then shifts local timestamps by the largest observed…
This tutorial adapts a GLFT-based grid market-making backtest to multiple futures assets. It normalizes order size to a common notional amount, sets inventory limits in units of that order size, estimates trade-arrival intensity and price volatility from…
This historical OKCoin strategy combines short-term price-breakout trading with a portfolio-balance rule. It tracks recent trades, order-book prices, and a smoothed trading-volume measure. When price moves beyond a threshold relative to recent highs or lows,…
This report describes a high-frequency futures CTA approach that uses the relationship between traded prices and adjusted intraday open interest. It argues that open interest can provide information beyond trading volume, and derives directional signals from…
The document explains a short-horizon market-making tactic that seeks exchange rebates when quoting in a stock with a narrow bid–ask spread. A market maker first sells at the ask, then moves its quotes up by one price increment and waits for a buy at the…
The document briefly introduces the Tim Morris moving average system, also called TMMA, and attributes its creation to Tim Morris in 2004. It says traders use the system for scalping and other short-term trades, with the 15-minute chart identified as a…
This research summary examines whether excluding stocks ranked poorly by high-frequency factors can improve a Shanghai-Shenzhen 300 index-enhancement portfolio. It compares three construction methods: combine standardized factors into one score, use a…
This document describes a MetaTrader 5 VWAP indicator designed to adapt session resets to different asset classes. It lists automatic asset classification, timezone-aware session handling, and a 17:00 New York rollover for forex, gold, and energy. It also…
This note summarizes research on high-frequency trading (HFT) competition and liquidity on Canada’s Alpha trading platform. Using millisecond order-book data for large stocks and comparing Alpha with the Toronto Stock Exchange, the study tracks liquidity as…
This weekly report surveys Chinese equity-selection factors built from intraday trading behavior. Examples include return skewness, downside-volatility share, buying interest and large-order net buying after the open, late-session trading share, average…
The article introduces algorithmic trading as a way to automate rule based market analysis and order execution. It describes potential uses including applying technical indicators, high frequency trading, arbitrage between markets, scalping small price…
This recap presents four trading scripts developed by participants in an educational program. The examples include a portfolio that rebalances equally across assets, spot–perpetual arbitrage that opens positions when the price spread exceeds a threshold and…
The article argues that retail investors in China’s A-share market face structural disadvantages. It presents three explanations: major shareholders reducing holdings while new retail accounts enter, institutions’ technical and high-frequency capabilities…
This article describes infrastructure choices for crypto trading systems where market data and execution speed matter. It recommends persistent WebSocket connections for time-sensitive market data and order flow, while reserving REST interfaces for less…
This document describes a price-action indicator intended to flag sudden price movement for short-duration scalping. The user can choose the moving-average calculation method and analysis period; the stated default period is 50. The indicator uses a selected…
This forum post raises a replication problem involving a high-frequency stock return-variance factor described in a Haitong research report. The author says they implemented the report's first two calculation methods in SQL, but obtained results on a very…
This report summary reviews stock-selection factors derived from individual trade records, including large-buy value share, buy-order concentration, intraday aggressive-buy activity, and informed trading near the close. It reports that orthogonalized factors…
This practical article discusses market data reliability as an operational concern for high-frequency foreign exchange systems. It describes failure modes such as delayed quotes, dropped connections, and anomalous prices, which can interfere with short-term…
The article explains how limit order books work and why large visible orders can expose traders to front running and adverse selection. Iceberg orders reduce that exposure by displaying only part of a larger order, though hiding demand can also make…
This MetaTrader indicator tracks the time remaining in a candle on a second-by-second basis without relying on incoming market ticks. It can count down to the expected candle close, alert when a new candle opens, and count up elapsed time if a candle opens…
This documentation overview explains the trading architecture of Hyperliquid. It describes HyperBFT, a HotStuff variant, as the consensus mechanism, with validators producing blocks in proportion to native tokens staked to them. The state is divided between…
This article describes a MQL5 library that caches a symbol’s rate data so repeated time-series queries can reuse an initialized array. Its examples focus on bar shifts and related series operations, such as retrieving open, high, low, close, volume, and time…
This utility reconstructs an order book from a supplied sequence of market-data files and returns the market-depth state at the end of that data. It configures a backtest asset with the relevant tick size and lot size, and can optionally seed reconstruction…