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Quantitative Finance

Questions tagged [high-frequency]

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For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

303 questions
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1 vote
0 answers
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I'm working with Kraken historical ETH-USD trade data from 2017 onward, which includes: Timestamp (Datetime) Trade ID Trade price Trade volume Taker side (buy/sell) Order type (market or marketable ...
QMath's user avatar
  • 291
0 votes
1 answer
220 views

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 — ...
QMath's user avatar
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93 views

We are given historical trade data from a cryptocurrency exchange — in our case, Kraken — which, for each trade, includes the following information: Time of trade Trade Price Trade ID (Integers that ...
QMath's user avatar
  • 291
1 vote
0 answers
99 views

I am trying to implement a modified version of AS Market making model with infinite horizon. Using the following equation to solve for $h(n)$: $$h(q) = -\phi (q - q^*)^2 + C_1 e^{\kappa_p (\text{...
Shubham Singh's user avatar
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4 votes
1 answer
137 views

I'm trying to understand what the term "Buckshot of IOCs" in the context of trading found at the bottom of the following comment on the quant subedit means: https://old.reddit.com/r/quant/...
Gelly Ristor's user avatar
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2 votes
0 answers
64 views

I'm fresh in quantitative research and currently doing some basic works as an intern. If I'm given the snapshot data which contains 5 levels of bid/ask price/volume as well as the traded volume and ...
KATO_Pluto's user avatar
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0 votes
0 answers
146 views

Is there a reliable implementation in python of the BNS jump test available? Barndorff-Nielsen & Shephard (2006) "Econometrics of Testing for Jumps in Financial Economics Using Bipower ...
user3188040's user avatar
  • 101
2 votes
2 answers
743 views

Do market makers often act as market-takers (cross the spread/market orders) in other markets or correlated assets while hedging?
arkmate's user avatar
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1 vote
0 answers
192 views

Background: I am implementing an algorithmic market-making strategy based on the Avellaneda-Stoikov model, specifically tailored for perpetual futures, and I have some questions regarding the model ...
Andre Korol's user avatar
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2 votes
1 answer
424 views

I am building a market making bot, using Stoikov's model to find optimal bid and ask prices. However, I'm confused to as what my order sizing should be. For now, I used this calculation: ...
hermy's user avatar
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0 votes
0 answers
151 views

Question: Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series I’m working with a model of buy and sell order flows that are described as ...
Quant master's user avatar
  • 11
0 votes
1 answer
91 views

As my title says, is there any data provider for Forex market that provides open,close,high and low of the last closed candle data.Most of the time I need 15Min candle data. I tested twelvedata and ...
Biruk Damte's user avatar
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0 votes
1 answer
315 views

I am trying to get some insights on this specific sort of problem from experienced people, as I do not have much experience in this field. I have a family of features that for simplicity I will just ...
user127776's user avatar
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2 votes
1 answer
566 views

There are a lot of posts on different ways to implement limit order books, though I never see any discussion on tracking a specific orders queue position efficiently. If I want to ask questions like: ...
Craig's user avatar
  • 331
0 votes
2 answers
833 views

I was wondering if there are any industry methods for detecting short term rapid price movements with L1 tick data for equities. Ideally should be robust/general enough to work for a wide range of ...
des224's user avatar
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