The algorithmic-trading tag has no wiki summary.
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1answer
110 views
Distinguish between market makers and other participants?
Are there any known quantitative techniques to distinguish between market makers and other participants?
I manually MFT, have no knowledge of these specialties, and may be observing phenomena that ...
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1answer
72 views
Question about weighted midpoint formula
The answers from these two replies seem to contradict each other. The first numerator is bidSize*bidPrice + askSize*askPrice but the second is bidSize*askPrice + askSize*bidPrice.
Price functions ...
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2answers
365 views
C# Broker API for FX Trading
I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
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2answers
453 views
Why are there still manual market makers in options
Why are manual market makers still predominant in options markets? Why haven't algorithms replaced these market makers, as they have for liquid stocks for example?
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5answers
133 views
FIX- what exactly do repeating groups represent?
I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
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0answers
73 views
Calculating order arrival times using log-likelihood, Raphson and Jacobian matrices?
I am reading the following paper:
http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf
and in particular page 13:
Now I never did a degree in maths (I did ...
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1answer
272 views
Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
If I have multiple markets (let's say 5, but the solution should be generic) trading the same stock/commodity/whatever, and the markets differ in both variable fees (which are in % of the trade order) ...
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3answers
286 views
Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
Allow me to explain.
You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
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1answer
399 views
Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
The question is NOT about real trading, but about simplified mathematical models for trading.
One of the main problems in trading is that asset prices are not correctly described by the some random ...
5
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3answers
735 views
Papers about risk managment in algorithmic trading systems?
I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems.
I have done research about this topic and found some ...
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3answers
1k views
How to distinguish between different types of algorithmic trading
Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
5
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2answers
300 views
Recover full tick data from missing tick data
Due to some economics/regime problem, I can only have access to non full-tick data from an exchange.
To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
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1answer
413 views
Target daily ROI for a market-making algorithm
I'm designing a market-making algorithm, I was wondering what a decent ROI / day would be to aim for in such a system?
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2answers
563 views
Calculating true value of a stock given the order-book and recent trades
I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
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2answers
1k views
What kind of return can an average algorithmic trading firm achieve today?
What kind of rate of return can an average, equities-focused algorithmic trading firm expect to achieve today?
I come from a background of control and optimization, working in the industry in China, ...
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1answer
279 views
Does Ito/Malliavin calculus have any applications helpful for direction based trading?
I'm an aspiring computer scientist who want to move into algorithmic trading at some point.
At the moment I'm mostly focusing on courses in machine learning/data analysis etc. but I've noticed that ...
4
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1answer
258 views
What is a good source to learn the different nuances of electronic orders and their nature?
Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...
