Industry Fears Proposal in Congress Would Destroy High-Frequency Trading and Liquidity By James Ramage February 25, 2009 Call your...
Anyone have experience with this? Good, bad, indifferent?
Without giving away specifics, do you forecast price changes, price direction, horizons, etc? I used to think this was impractical but I've...
Chaos in the markets, how strange have you found it to be? [img] [img]
Anyone here have experience with nasdaq's TotalView? I've been using it for a few months now and it seems to always have far more liquidity than...
General question for intraday automated traders.. no manual intervention except in extreme cases. In your opinion, Is 1% a day return on...
This applies generally to all intraday automated strategies without going into specifics. Do start trading immediately after market open or do...
Variance Ratio: A measure of the randomness of a return series. Variance ratio is computed by dividing the variance of returns estimated from...
So I have an automated strategy, and a defined half-life that tells me when I should stop entering new orders and begin winding down trades. I...
I was just thinking about this, and thought I'd throw it out. Sub-penny pricing has been eliminated for all stocks >$1, but is still allowed...
I'll make the general observation that making a robust quote filter is a pain in the ass. I've read all the Olsen paprs on filtering high...
I noticed an interesting thing when studying ARCA book depth for IWM offers. I plotted the best price vs. the marginal price paid by consuming...
Just got this msg from my broker. The BRUT3 session will be down for the rest of the day. The other 11 BRUT sessions are operating...
So I'm analyzing data.. on one of my days it appears my ARCA feed has a stuck quote for AAPL because the best price never changes after about 8:45...
I receive full book depth for both TotalView and BRUT. I was under the impression that TotalView included BRUT already as part of it, but...
When dealing with irregularly spaced quote data there are often ghost quotes.. people are fishing for hidden orders and they last less than a few...
Anyone know much about this yet? I have access to it thru my broker and was wondering if it is worth using. Goldman Sachs Jolts Algo Trading...
Anyone know anything about this yet? Just noticed EDGX was very actively quoting QQQQ so I looked them up. Link The website is sparse on...
Anyone using any form of stochastic volatility? Seems much more more flexible that ARCH, etc but much harder to estimate parameters.
The Buttonwood column: volatility on the rise
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