The problem with spoofing/layering is that the market participant is attempting to maximize their market impact with the initial set of orders and...
CME does have iceberg orders including on NQ and for quite a while now. If you set MaxShow (tag 210) then you have an iceberg order...
good luck with the new firm! yeah 500 M due to all the costs especially data, not only do I consume all the order books/sip/colocated/aws, also...
I run a quant fund that is a registered investment advisor with the SEC. Compliance with a third party costs $35k per year, did get audited by the...
HFT infrastructure has become affordable relative to the past, definitely not the numbers being quoted here. For example if you want microwave...
Yeah, effectively. So the expected return from say the imbalance coming out to the close price conditional on the imbalance as a function of...
The times have changed now, that doc is fairly old now. Nasdaq is 15:55, for nyse the imbalance is first published at 15:50 which only includes...
The ABEV imbalance you're seeing is at 15:50 which includes only the MOC/LOC interest. At 15:55 the imbalance begins to also include d-quotes and...
https://docplayer.net/418102-Trading-around-the-close.html here is a doc about it that I have replicated. The last trade price is the wrong...
For refinitiv might be looking at ~100k per year for daily pricing/corp actions. But my pricing is part of a larger package so might be rather...
Paying $40k and a top line expense. Consume quite a few different different data feeds/colocated/cloud compute/etc so yeah just a drop in the bucket
Yeah totally, I use my own risk model for calculating residuals for forecasts and optimization. Only use barra for tracking factor exposures since...
QA Direct through Refinitiv might be a good option. Used it 10 years ago and they did have corporate action adjusted total returns. It came in the...
I run a quant book for a multi-manager hedge fund and own the IP. The fund in no way shape or form has any access to the source or knows what I'm...
they did shut down due to the SEC, can see all the details in the link below but what really stuck out to me was they lied to institutional...
What company is providing real-time short interest forecasts? I currently get a daily drop from...
they do run a large equities book https://whalewisdom.com/filer/renaissance-technologies-llc and that's just US, 130 B total aum including...
Non-displayed liquidity may receive a rebate but not necessarily. It depends on the tier your broker is realizing. Here is the fee schedule:...
That's a closing cross trade that occurred due to the nasdaq close auction. Cross trades and non-display executions that occur on nasdaq are...
It's strictly for my use, would need a distributor license from the exchanges to distribute it. I run a hft to mid frequency quant fund so pretty...
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