Questions tagged [algorithmic-trading]
Algorithmic trading has two meanings: - the process of taking in inputs such as market data, current news, and producing orders without human intervention. - the process of optimising the trading of a large order or the market making process.
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Can Auction Market Value (AMV) theory be effectively combined with real-time news sentiment and order flow analytics?
Body: I’m developing a systematic trading model that extends classical Auction Market Value (AMV) concepts by incorporating real-time news sentiment (via NLP) and limit order book (LOB) imbalance ...
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How can we determine the minimum viable holding period given granular data and transaction costs?
Given assumptions around transaction costs (e.g., slippage, fees), and potentially downsampled tick or bar data, how can we derive the minimum holding period required for a strategy to be viable — ...
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How to scrape information from a bulletin
We receive index bulletins from a trading desk with predictions regarding which stocks will be dropped/added to specific indices due to scheduled rebalancings or any other random event really. The ...
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Are stop losses irrational in algorithmic trading?
Lets say I have a trading system that trades a certain security. Assuming that I have no cost of entering and exiting a trade, the only thing the system should be concerned with is whether or not I ...
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In the context of HFT options trading and market making, what do the terms Offset and Retreats mean?
Talking to people that work at large options market makers, they frequently use terms like offsets and retreats when talking about option pricing. There also seems to be variations of them like: ...
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With pairs trading, is it ok to open a dollar neutral position instead of using the hedge ratio to calculate position size?
As per my understanding, in traditional pairs trading, you would say go long on asset A and go short on hedge_ratio * asset B. My question is, is it ok to just open a dollar neutral position, say if ...
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Predicting index inclusions/exclusions
So I'm currently trying to generate alpha by predicting index inclusions/exclusions before any official announcement is made. My idea is to do so algorithmically, where I build a model that tracks the ...
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Is it possible to quantify “additional” bid-ask spreads?
I use a very realistic and detailed backtest engine, which also simulates trading costs. For bid-ask spreads, historical quotes from a market data provider are used and for additional fees you can set ...
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How can I robustly detect dynamic support and resistance levels programmatically in Python?
I am working on a Python project to programmatically detect dynamic support and resistance levels in historical price data, particularly for forex instruments such as EUR/USD. My primary goal is to ...
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Difference between L2 and L3 market data
L2 market data is described as having access to the full orderbook (so all price levels and size). Yet this access is given as a snapshot? So every 1s for example? Or is it given every time there's an ...
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Tick size brokertec
Brokertec is going to open a new CLOB in Chicago for US treasuries with a smaller tick size. For example for 5Y the tick-value is going to be $100k \cdot \frac{1}{16 * 32} = 195.3125$$. This already ...
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Understanding Different Liquidity Provision Mechanisms Beyond CLOB
There are various ways to provide liquidity, with the most well-known being a Central Limit Order Book (CLOB), where market makers post bids and asks. However, there are also alternative mechanisms, ...
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Concurrent algo
I am wondering how it work in big firms like Citadel Securities in market-making and HFT teams. You have a lot of different pods, and the number of markets where you can operate is small. Hence ...
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Back testing & validating of Systematic Trading Strategies
The systematic trading industry has undergone major development over the past few years, with a lot of emphasis on machine learning and AI recently. What books would you still recommend as the gold ...
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PFOF how it works
I am wondering how PFOF (Payment For Order Flow) works and why people say that hedge funds make wider spread using PFOF. If a client sends an order A then the broker is going to redirect that order to ...
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