tag:blogger.com,1999:blog-35364652.post6471196189794970005..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: A workshop, a webinar, and a questionErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger46125tag:blogger.com,1999:blog-35364652.post-29315071738856279832013-04-16T17:33:20.090-04:002013-04-16T17:33:20.090-04:00Curtis,
I agree that many HFT strategies are like ...Curtis,<br />I agree that many HFT strategies are like that. Others are bluffs and counter-bluffs.<br /><br />Perhaps strategies in the >10ms range have more "decency" to them.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-6098968967201758022013-04-16T16:04:41.786-04:002013-04-16T16:04:41.786-04:00Worth nothing, one former equities HFT trader, who...Worth nothing, one former equities HFT trader, who's name I can't find off the bad, revealed (to the public) that all the HFT trading in equities is based on cheats.<br /><br />According to this insider, equities HFT strategies strongly rely on market locking events in order to implement an order type that can jump the queue position. These are called hide and slide, if I recall.<br /><br />According to this insider, they were only able to be profitable when using these order types that allow them to game the order book during specific market locking conditions.<br /><br />I imagine that the HFT strategies in equities differs quite a bit then those being used in futures market.<br />Curtishttp://orderflowdashpro.comnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-90972956211090129342013-03-14T05:02:16.984-04:002013-03-14T05:02:16.984-04:00Hi Anon,
csidata.com provides historical data in t...Hi Anon,<br />csidata.com provides historical data in text or Excel formats, so there won't be any need for manual downloads.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-33172631019756724302013-03-13T22:55:05.419-04:002013-03-13T22:55:05.419-04:00Hi Ernie,
For the longest time I have been doing ...Hi Ernie,<br /><br />For the longest time I have been doing all of my backtesting manually and it has become pretty annoying going to yahoo finance and manually pulling sets and sets of data. I am looking to make some data bases where I can further conduct analysis on this data; however, I don't know what to go with... I know you are a big fan of Matlab but i'm not sure if matlabs the best thing for this tool (or maybe it is, i'd love your input) but I was thinking either excel/vba, python or mysql. I'm not a programmer by training so I really want to keep this simple. Any advice you could provide on this is extremely appreciated!<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-7661863344699274072013-03-13T19:33:07.057-04:002013-03-13T19:33:07.057-04:00Hi Anon,
I have not used any of the IB special ord...Hi Anon,<br />I have not used any of the IB special orders.<br />However, in my experience, sending MKT orders just a few seconds before close usually will not result in slippage of more than one cent for SP500 stocks, unless your order size is much bigger than the typical closing volume.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-70551046917023969702013-03-13T16:28:51.235-04:002013-03-13T16:28:51.235-04:00Hi Ernie,
Assuming you want to target the closing...Hi Ernie,<br /><br />Assuming you want to target the closing price, what execution strategy do you follow besides simply submitting MOC orders which must be sent in 15min before the close. <br /><br />Sometimes you need price information between 345 and 400 which means MOC is not possible.<br /><br />Have you used any of IB's algos for minimizing price impact etc during the last minutes of trading for example?<br /><br />CheersAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-74348907107156371442013-03-08T09:57:14.605-05:002013-03-08T09:57:14.605-05:00Anon,
1 day is not necessarily short enough.
I di...Anon,<br />1 day is not necessarily short enough.<br /><br />I did write such a webcrawler, but it is available only as part of the package of my yet-to-be-published book, or to participants of my workshops.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-37194717114362072212013-03-08T09:13:45.644-05:002013-03-08T09:13:45.644-05:00Ernie,
Yes, I have shorten it all the way down to...Ernie,<br /><br />Yes, I have shorten it all the way down to one day but results post tcosts are not encouraging. <br /><br />Another question: Do you know where to find a good web crawler written in Matlab? A script that I can build on.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-51309608878123651092013-03-08T06:26:39.375-05:002013-03-08T06:26:39.375-05:00Hi Anon,
I haven't traded it in the last 3 yea...Hi Anon,<br />I haven't traded it in the last 3 years. Have you tried shorting the holding period for the trade?<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-80486386894296333272013-03-08T05:14:00.606-05:002013-03-08T05:14:00.606-05:00Hi Ernie,
What are your thoughts on post-earnings...Hi Ernie,<br /><br />What are your thoughts on post-earnings announcement drift these days?<br /><br />My experience is that a lot of the effect has gone away in recent years.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-68685305584619779352013-03-06T15:37:35.769-05:002013-03-06T15:37:35.769-05:00Hi Anon,
The major part of transaction cost is not...Hi Anon,<br />The major part of transaction cost is not commissions, but slippage. It depends on whether you are using limit or market orders. The former will incur opportunity cost (can be huge due to HFT), the latter bid-ask spread, and can also be large if top-of-book liquidity is low (again due to HFT).<br /><br />Using Lime may allow you to reduce latency. But it typically requires a $500K-$1M account, and a monthly colo cost of $2K.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78663614812482677692013-03-06T14:21:25.163-05:002013-03-06T14:21:25.163-05:00Hi Ernie,
I typically assume a 10bps roundtrip co...Hi Ernie,<br /><br />I typically assume a 10bps roundtrip cost when trading Russell 1000 stocks via IB.<br /><br />How can I reduce my costs? You mentioned Lime trading before. What is your realised tcosts using them?<br /><br />ThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-54331228552240470872013-02-28T19:12:42.039-05:002013-02-28T19:12:42.039-05:00Hi Anon,
Sure, as you may see from the examples I ...Hi Anon,<br />Sure, as you may see from the examples I gave in my book, I often use Bollinger bands. I have also tried some of the simpler indicators you mentioned, and they occasionally work.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-68647443577860050162013-02-28T15:17:17.635-05:002013-02-28T15:17:17.635-05:00Hi Ernie,
I understand that this a site dedicated...Hi Ernie,<br /><br />I understand that this a site dedicated to quant trading which utilizes mathematical tools; however, I was wondering if you ever use technical analysis indicators (such as RSI,MACD, Moving Averages) in your backtests or systems for signals? <br /><br />I appreciate any input on this!<br /> Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-10790420029655522642013-02-25T15:51:36.908-05:002013-02-25T15:51:36.908-05:00Hi Anon,
Just because one program is connecting to...Hi Anon,<br />Just because one program is connecting to the API doesn't mean that other systems cannot connect to the TWS concurrently, so it is quite possible that other programs are sending trades to TWS. <br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-47654092041981540412013-02-25T15:46:19.939-05:002013-02-25T15:46:19.939-05:00Hi Ernie,
I use IB as broker.
Recently I test st...Hi Ernie,<br /><br />I use IB as broker.<br /><br />Recently I test strategy in my paper account.<br /><br />It happens rarely, but it seems TWS could send a lot orders itself not via my API. <br /><br />Do you meet this problem in paper or real account?<br /><br />All the best<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-27299221207356827912013-02-25T05:24:39.415-05:002013-02-25T05:24:39.415-05:00Hi Ernie,
Thanks for putting up this blog. Wish...Hi Ernie,<br /><br />Thanks for putting up this blog. Wish i had started reading it years ago when I traded my strategies free of restrictions. Your book and blog are fun read, cant wait for the new book.<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-90997354896686711082013-02-24T17:42:27.648-05:002013-02-24T17:42:27.648-05:00Even if your strategy has a net exposure, the leve...Even if your strategy has a net exposure, the leverage will increase both the strategy returns and the financing cost by the same multiples, so the excess returns will also be multiplied by the same number. Again, Sharpe ratio won't be affected by leverage.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-11833030117098384882013-02-24T16:27:53.603-05:002013-02-24T16:27:53.603-05:00Thanks. Do you know if the leverage-invariant prop...Thanks. Do you know if the leverage-invariant property of Sharpe ratios only hold for zero-investment strategies?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-26429198736739946982013-02-24T15:06:36.411-05:002013-02-24T15:06:36.411-05:00Hi Anon,
Sharpe ratio is unaffected by leverage be...Hi Anon,<br />Sharpe ratio is unaffected by leverage because both the numerator (average excess returns) and denominator (stddev of excess returns) will be proportional to the same leverage multiplier.<br /><br />Ernie<br />Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-5805884638771313912013-02-24T12:56:39.679-05:002013-02-24T12:56:39.679-05:00Hi Ernie,
I have a question about the Sharpe rati...Hi Ernie,<br /><br />I have a question about the Sharpe ratio.<br /><br />It is always true that the Sharpe ratio is unaffected by leverage?<br /><br />Is it ok to use the Sharpe ratio for a non-zero investment strategy (still long-short)?<br /><br />I have a non-zero investment strategy and when I increase the leverage, the Sharpe ratio increases. I am bit puzzled about this as I thought the Sharpe ratio should be unaffected by leverage (for example in the form of simply doubling the portfolio weights).<br /><br />Thanks!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-17006398107616814912013-02-22T21:09:16.577-05:002013-02-22T21:09:16.577-05:00In terms of historical market data for fx, here is...In terms of historical market data for fx, here is something to keep in mind. Currenex does not sell historical market data. Hotspot does, and Hotspot data is available via Morningstar, DTN Nxcore, and IQfeed among other data vendors. <br /><br />Hotspot historical data includes trade volume. Bloomberg, Reuters and Interactive Data(esignal) do not publish volume data. What they have is 'contributor volume', which is different from actual market volume. However, if you have an account with ebs or 'reuters trading for fx' (different from the eikon service) you can get real volume data, but again unless you have been cleared through all available counterparties you may not be able to trade that volume.<br /><br />An interesting fact about Dukascopy. Deltix offers execution to Dukascopy through their trading platform. I don't think that they can be called a bucket-shop.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83765725881062769002013-02-22T16:34:09.547-05:002013-02-22T16:34:09.547-05:00Hi Anon,
It seems to me cmegroup.com has that info...Hi Anon,<br />It seems to me cmegroup.com has that information.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-9341325396038360822013-02-22T16:28:48.276-05:002013-02-22T16:28:48.276-05:00Hi Ernie
Off the topic here,
Do you know where I c...Hi Ernie<br />Off the topic here,<br />Do you know where I can get an updated future pos for different currency pair (eg, daily updated report), the CFTC COT report is always a week late<br /><br />ThxAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-12590421492914730052013-02-21T12:06:08.265-05:002013-02-21T12:06:08.265-05:00
last look = stealing
where the heck is the regul...<br />last look = stealing<br /><br />where the heck is the regulators; why they dont take these Madoffs to jail<br />Alphahttps://www.blogger.com/profile/11487103564597525710noreply@blogger.com