tag:blogger.com,1999:blog-35364652.post7929659524799719952..comments2024-03-15T10:28:18.248-04:00Comments on Quantitative Trading: Rent, don’t buy, data: our experience with QuantGo (Guest Post)Ernie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger104125tag:blogger.com,1999:blog-35364652.post-40614867236108204562018-09-28T05:55:22.574-04:002018-09-28T05:55:22.574-04:00Derek,
Yes, we are still subscribing to QuantGo. A...Derek,<br />Yes, we are still subscribing to QuantGo. As you said, there isn't anybody else selling book data at that price.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-34741770735444279612018-09-28T00:59:38.321-04:002018-09-28T00:59:38.321-04:00Ernie,
Are you still using QuantGo as your data p...Ernie,<br /><br />Are you still using QuantGo as your data provider? I'm trying to explore some semi HFT equities trading and notice they have full depth of book going back 10 years at millisecond precision. The price is very reasonable and just wondering if you found them still the best game in town for your research.<br /><br />Thanks,<br />DerekDerek Serranohttps://www.linkedin.com/in/dtd2003/noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-88389749779862812242016-02-11T01:22:05.964-05:002016-02-11T01:22:05.964-05:00Ernie,
This is the very first time I read about Q...Ernie,<br /><br />This is the very first time I read about QuantGo and that's very impressive!Frankhttp://incubasys.com.sg/noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-47650492452936755932015-03-25T03:22:34.354-04:002015-03-25T03:22:34.354-04:00Roger and Ernie:
Thanks for talking about QuantGo ...Roger and Ernie:<br />Thanks for talking about QuantGo in your post. Because of you, we checked it out ourselves and posted our own positive reviews at:<br />http://robusttechhouse.com/quantgo-review/Matt Robusthttp://robusttechhouse.com/noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-58995689109596310472015-02-09T14:56:05.009-05:002015-02-09T14:56:05.009-05:00There is no need to deploy the maximum leverage wi...There is no need to deploy the maximum leverage with 1 order, just like a mutual fund does not buy $100M MSFT shares with 1 MKT order.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-23848144255070673382015-02-09T14:19:19.572-05:002015-02-09T14:19:19.572-05:00Hi Erine
You said "IB does limit the size of...Hi Erine<br /><br />You said "IB does limit the size of an order to something like $5M.<br /><br />I don't think you should go beyond that anyway due to market impact."<br /><br /><br />Understanding that you managed FX fund has leverage at 10X Max. If your fund size is few millions for example, if you are using 10X leverage, you can easily have trade size more than 5MM mark, and I right? How you minimize the impact of the trade cost?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-71042938315206454142015-02-06T19:55:13.546-05:002015-02-06T19:55:13.546-05:00IB does limit the size of an order to something li...IB does limit the size of an order to something like $5M.<br /><br />I don't think you should go beyond that anyway due to market impact.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-70107960640642384122015-02-06T17:40:56.650-05:002015-02-06T17:40:56.650-05:00Hi Erine
You mean IB won't limit the trade si...Hi Erine<br /><br />You mean IB won't limit the trade size per order?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-21343562840591465542015-02-06T17:39:56.126-05:002015-02-06T17:39:56.126-05:00Hi Erine
You mean won't limit the trade size ...Hi Erine<br /><br />You mean won't limit the trade size per order?<br /><br />ThanksAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-13974861401126185142015-02-06T08:38:10.231-05:002015-02-06T08:38:10.231-05:00Hi Ron,
We never had such restrictions on IB, so I...Hi Ron,<br />We never had such restrictions on IB, so I don't know the correct answer for your broker. But my guess is that yes, you can do it.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-6254271984170734082015-02-06T08:22:49.615-05:002015-02-06T08:22:49.615-05:00Hi Erine
If a retail FX broker specific Max 50 lo...Hi Erine<br /><br />If a retail FX broker specific Max 50 lots per click, and now I want to send a pending order of 100 lots. Does it mean that I can split this 100 lots into 2 pending orders with 50 lots each with same pending price to get my 100 lots fill at the same price?<br /><br />Thanks<br /><br />RonAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-66665471512907789642015-01-06T08:50:06.005-05:002015-01-06T08:50:06.005-05:00Just because the market index drops doesn't me...Just because the market index drops doesn't mean stock pairs should be avoided. Sometimes this makes them more profitable due to the higher volatility, but other times less profitable due to the increased correlation ("tail dependence") as a result of the market crash.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-18190858057757146832015-01-06T03:06:48.946-05:002015-01-06T03:06:48.946-05:00Hi Ernie,
SPY dropped significantly yesterday.
D...Hi Ernie,<br /><br />SPY dropped significantly yesterday.<br /><br />Do we need to avoid trading stocks pairs on such day in US market?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-31080526262314535872015-01-05T14:37:07.820-05:002015-01-05T14:37:07.820-05:00I am of the opinion that there is no point in back...I am of the opinion that there is no point in backtesting high frequency strategies with data prior to 2007. The market structure was completely different then.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-62695574373402831882015-01-05T14:06:40.776-05:002015-01-05T14:06:40.776-05:00Hi Ernie,
I had a look at the available historica...Hi Ernie,<br /><br />I had a look at the available historical data periods for Quantgo and they don't seem to be superlong. For example, starts in 2007 at best for US equities and 2009 for US futures. Are you basing your backtests on these short periods?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-87113272935759022452015-01-04T13:25:37.371-05:002015-01-04T13:25:37.371-05:00Indeed, for intraday trading, you don't need t...Indeed, for intraday trading, you don't need to worry about their differential interest rates or settlement. Trading USDJPY will leave you with P&L in JPY, and it is a good practice to convert that to USD before the end of day so that your P&L matches your backtest exactly.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-1530062785161552862015-01-04T09:58:06.985-05:002015-01-04T09:58:06.985-05:00Hi Ernie,
Assume our base currency is US dollars....Hi Ernie,<br /><br />Assume our base currency is US dollars.<br /><br />If we do intraday trading in Japan stocks market first, and then intraday trading in US stocks market on the same day, in practice, do we need to do currency conversion every day?<br /><br />Since it is intraday trading (not holding position overnight), there is no physical settlement, right?<br /><br />Maybe we only have P&L left each day in local currency (Yen)?<br /><br />Do we need to pay any borrowing interest, but it is intraday?<br /><br />Thanks.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-25383210335111714432015-01-02T11:11:27.572-05:002015-01-02T11:11:27.572-05:00No, but you can look up IB's product list for ...No, but you can look up IB's product list for Japanese stock market.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-73692719210815296762015-01-02T11:03:06.830-05:002015-01-02T11:03:06.830-05:00Hi Ernie,
Do you know any Japanese stocks screene...Hi Ernie,<br /><br />Do you know any Japanese stocks screener?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-82160188686005163332015-01-01T21:24:09.864-05:002015-01-01T21:24:09.864-05:00We hedge at regular intervals, but such choices sh...We hedge at regular intervals, but such choices should always be backtested and optimized according to your specific strategy.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-70755178585712942852015-01-01T04:26:41.042-05:002015-01-01T04:26:41.042-05:00Hi Roger,
Thank you for help. The information is ...Hi Roger,<br /><br />Thank you for help. The information is very useful.<br /><br />Moreover, there are three hedging methods: Hedging at Regular Intervals,<br />Hedging to a Delta Band, Hedging Based on Underlying Price Changes.<br /><br />If "time to expiration" of your option is less than 2 months, which method will you use? Or you use other even more complicated hedging methods, such as UTILITY-BASED METHODS.<br /><br />Thanks.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-79402069782713547872014-12-31T14:30:44.102-05:002014-12-31T14:30:44.102-05:00One list of optionable stocks is at finviz.com/scr...One list of optionable stocks is at finviz.com/screener.ashx. One of the filter choices under Option/Short is Optionable. There is an export button at the bottom right, but this may no longer be free.<br /><br />Yahoo! has a list of most active options at finance.yahoo.com/options/lists.<br /><br />You can also use Yahoo! finance to check option volumes. Generally, smaller spreads indicate higher liquidity.Roger Hunternoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-68783553393082124752014-12-31T08:47:23.892-05:002014-12-31T08:47:23.892-05:00Hi Ernie,
Is there optionable stocks list?
What ...Hi Ernie,<br /><br />Is there optionable stocks list?<br /><br />What criteria do you use when judging the liquidity of a option?<br /><br /> Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-60157425329549348352014-12-31T07:57:50.055-05:002014-12-31T07:57:50.055-05:00The choice of the options expiration date is highl...The choice of the options expiration date is highly dependent on your specific strategy. But generally speaking, I would select one that has at least 1 month left.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-74213218488836447382014-12-30T17:22:01.598-05:002014-12-30T17:22:01.598-05:00Hi Ernie,
For volatility trading with delta hedgi...Hi Ernie,<br /><br />For volatility trading with delta hedging, usually what "time to expiry" options do you choose to trade? such as 1 month, 2 months, 3 months, etc..<br /><br />Thanks.Anonymousnoreply@blogger.com