I got your point. But simulating my own orders is not important at this point (let alone estimate their impact). From a practical point of view...
Thanks! As I'm not an expert programmer, I'd like to save some time starting with an engine (just an efficient order matching algorithm). There're...
My initial concern is with exploratory data analysis and simple simulations. In this way, the impact would be zero at first. Later on I would...
Hello, I'm studying HFT strategies, market makers algorithms and trading algorithms for specific goals (like minimization of overall transaction...
I'll elaborate on that as soon as I finish reading a couple of papers: I'll give you an example of FX Futures contracts that "drive" (in a very...
Maybe I chose poorly my words. I really don't know how common is that: financial instruments whose spot prices are determined by its derivatives...
Thank you! The microstructure I'm really interested is a very unique one (not covered in any book I know). But I need the general concepts in...
Those takeaways were insightful. But the "anyone can become an expert in quant finance" motto have always amused me.
Thank you very much for sharing this! I'll certainly take a look.
My idea is to start from the order book and find a niche between HFT/market makers and lower frequency strategies. The order book in Brazil is...
I'm new here, so I'm not able to make any fair comparison. I just thought that It'd be nice to write more freely in one place, and then summarize...
I've initiated a thread like this one on futures.io. I intend to update my progress here less frequently, but more concisely. I do want to count...
Starting from the beginning [IMG]
Today I started to negotiate with a vendor the acquisition of market data. I'll have to start my own database, as there's no historical data...
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