If you're making a market, as a lot of HFT is, you may be exempt.
Depends on the timeframe you're trading. And that depends on the cost of lower latency. And that determines whether it's worth capturing the...
I disagree. Back testing is absolutely necessary for debugging, & back testing can be useful when used correctly, for verifying stat arb...
No idea & no way of knowing. I don't think many brokers know how to measure their average new-ack time & even less would want to publish it....
+1 1 second for a year is available, but takes a while to download because they do throttle it, meaning you have to make multiple requests,...
swaps
* If you consider that the execution latency through interactive brokers is often > 500ms .. then you may have to ask yourself whether tick data...
Perhaps we are doing different things. If I see something that has more juice in the divergence, then usually it's not really something I'd expect...
I've modelled this, but that's as far as its gone. In reality, chasing price as it moves away is gonna make for expensive fills. I like the idea...
I agree with this on the convergence side. But disagree on the divergence side. If you play both, then liquidity issues could be sort of...
Something about correlation not being causation .. informational change .. distributions redistributing .. & cascading forced liquidation positive...
Ratio chart. Two legs. 1 min / point. Green bid / ask Red [net]. Presumes the b/a spread will be paid on the narrow side only. No...
Seriously, Excel & yahoo closing prices. That's a realistic starting place to build the quant framework. If it doesn't look like there's...
Excel + yahoo finance closing prices. If you get bored with that, then give up. Because .. there's a lot of actual work involved, as opposed...
Mostly with arithmetic. But I suppose intuitively, I could ask - When MR blows up, is it through a large number of small losses, or a small...
inherent negative skew .. in MR RV.
Did that diverge or converge?
offsetting verticals could be interesting from a limited risk perspective, no?
A taller screen is always an option :p
Ah -- meaning in the context of a TT screen, with the spread movement seen as component price ladder movements.
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