Out of curiosity, what exactly is your definition of high-frequency trading?
If you're not already familiar with linux based operating systems and/or can't think of a good reason to use one, not sure if it's a good idea....
TVIX = short-term vix futures index The short-term vix futures index is basically a 30 day constant maturity vix future. If you find out...
You can't properly multithread with R and also IIRC with IBrokers you can't subscribe to multiple symbols at once. The only instance where I...
If you're set on using quantpian (personally I don't find it up to par), you could consider using zipline (quantopian api) and pandas. You'll be...
Does anyone exactly what the issue here could be? I've checked the Yahoo data against my own broker data feeds along with CBOE and google, all of...
VXST futures = T+9 VIX futures = T+30 not the same thing.
Wait it sounds like you're using barred data? Are you barring this from raw tick data? Or do you have snapshot data? Re: Bid/Ask - Starting...
I think that's true and false, depending on who you ask. My overall approach to research is to do data exploration and simple backtests in either...
2013 wasn't a great environment for a lot of alpha strategies plain and simple, basically beta dominated everything. High correlation and the...
How exactly are you defining slippage here? Are you already using bid/ask data to handle transaction costs or are you just using last traded?...
This forum isn't the right one to be pushing kdb, I suspect if the OP knows what it is and could afford it - he wouldn't be asking basic questions...
Depends which venue, but could certainly be midpoint match orders going though.
Dude you're all over the place, one second you're talking about cash equities the next you're talking about options.
Quoting wide is basically the same thing as telling someone to go fuck off and even if those quotes do get traded, it's free money.
Being a proper MM and provider of liquidity has little difference, it's only one of obligation as you pointed out. The latter is basically a MM...
I'm sure there are a number of reasons why this could occur, but one of which comes to mind is the time honored tradition of momentum ignition and...
To the person that said MMs no longer exist, I disagree the guys on the floor have just been replaced by computers. So to answer OPs original...
Well they both could be right, except one may be reporting the closing auction price whereas the other is reporting the last tick. I know that...
We ran some numbers and from a business perspective it made more sense to build out our own system and have it colo'd in tribeca. Which currently...
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