Let's form a group, meet and chat, help each other on everything about HFT: (1) sharing educational resources (2) discussing backtest...
Hi all, I am interested in futures trading esp spreads trading. I can study myself the basics, but I would like to learn from the great...
Hi, Could you please take a look at the two systems for me? In fact, they are same system with different configurations and parameters......
Hi folks, Anybody please point me to some good software that can facilitate HFT backtest on tick data? If such software doesn't exist, I...
Anybody knows some good Matlab utilities for processing gigantic tick data set? I like the vectorized operations in Matlab and speed shouldn't...
Hi all, I am looking for paper-trading software that doesn't require extensive programming background. By "paper-trading", I mean virtual...
especially the double long double short ETNs? I want to trade a few of them, but not sure about their pitfalls or traps or catches... If...
I found lots of "spuriously" good results when backtesting high frequency strategies. Seems to me that a more realistic backtest method taking...
How good are the data quality of the intraday data at Bloomberg and Reuters? These are the only data sources I currently have... Would like...
Any one knows the real numbers? I would imagine the financial ETFs such as FAZ and FAS are hard to borrow and short... and same to many ETFs......
Or we have to construct/synthesize the data ourselves? (i.e. write our own "naive" VWAP algorithms, and of course accordingly, also write our own...
Hi all, Could you please point me to some good in-depth readings on the technical details about ETFs, esp. the financial etfs and commodity...
Want to see if there are good softwares on IPHone and Blackberry, other than Bloomberg. I have Bloomberg installed already......
Hi all, Could anybody point me to good training service for TradeStation EasyLanguage? Any TradeStation expert here that can give me some...
Hi all, Using GIP in Bloomberg, I was hoping to see any intra-day data in any given date in the past historically. But I was told GIP can...
Hi all, If my backtest is based on Settle price, how to hit the settle? Any smart way of doing that? Thanks a lot!
typically, what's a good Sortino ratio? Thanks a lot!
For example, if the long term (10year) Sharpe Ratio is 1.00, mid-term (1year) Sharpe Ratio is 2.50, short-term (60days) Sharpe Ratio is...
Hi all, Could you please help me understand the relation between risk models and trading strategies? Esp. I don't understand the following...
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