Let's you are short and the price series is trending down, except a few upgoing spikes. If the spike is sufficiently large, your trailing stop...
Lets say you are exploring some algo trading strategies, and lets take VWAP for the time-being. To put VWAP into test in real trading...
Is there a way to capture the market impact and do backtest realistically?
Hi all, I am looking for historical OHLC data for futures spreads that are actually traded on exchange. Surprisingly Bloomberg only stores...
Hi all, I am looking for historical OHLC data for spreads that are actually traded on exchange. Surprisingly Bloomberg only stores 2yrs of...
Lets take Crude Oil WTI futures as an example: on Bloomberg I see: Contract Size: 1,000 U.S. Barrels Value of 1.0 pt: $ 1,000 Tick Size:...
I heard lots of people lost money these past a few months, lots of systems that previously worked broke down these days... What do you think?...
I couldn't find those spreads that are actually traded on CME as a single product? I have spent some time browsing and searching CME website,...
if I have the value date of 1WEEK forward of EURUSD, and have the value date of 1WEEK forward of CADUSD I want to form a cross EURCAD what's...
Hi all, I know how to calculate the EMA: EMA_t = a*EMA_{t-1} + (1-a)*P_t but how to calculate the EMVol (exponential moving volatility or...
Hi all, I keep getting confused. There are two ways I can trade, one is spot and the other is forwards. Trading spots and holding positions...
say 3 month and 6 month forwards...? on G10 and EM currencies...?
Anybody please point me to the details of VWAP. I know the general idea. but how do you really work VWAP operationally, with market order or...
how do you construct a carry-adjusted time series for backtest FX? Suppose you want to have the flexibility of not only doing tick data...
If you trade spots and hold for some time (say mid-term to long term), how does your bank roll your position internally? If you trade forwards...
Hi all, Could anybody point me to some readings on Market Making? Thanks a lot!
Hi all, Could anybody give me some pointers to readings on market making and electronic market marking? Hopefully I could find in-depth...
http://www.programtrading.com/welcome.htm
Anybody could point me to some readings about how those index market-maker work? Thanks a lot!
There is a relation between Aug. copper and Sept copper, based on carry charges, storage costs, etc. how do I figure out that formula? Thanks a...
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