Recent content by stanage

Interesting link. That guy is saying the opposite of me - human orders have less alpha and algorithms should seek them out and take the opposite side of the trade. He also suggests using the timestamp to differentiate between human orders and machines. I assumed that machines don't have any...

What reason? Do human submitted orders contain more alpha? Why are they useful?

An idea that came to me today... Orders in the book are either placed by humans or machines. 1) Is it the case that the majority of machine placed orders are cancelled before being executed whilst the majority of human placed orders rest in the market until they are filled? 2) Can you assume...

Like I said, you have to wade through a lot of garbage on this site...

Excellent thread - many thanks. You have to wade through a lot of garbage on this site to pick out the gems, but's worth it :) Is it true that exchanges keep a unique serial number for each customer (for compliance reasons) and that hft's have access to these numbers (so that, for example...

Delivery Value Equivalent, apparently

In the context of grains basis, does anyone know what DVE stands for?

Interesting chart Bone. Heating oil increases in value over winter, but I guess the spread doesn't behave like that every winter. It pays to watch these spreads so that you're ready when something unusual happens. Any thoughts as to why the spread acted like that? Corn / ethanol?

The candles are the Gasoil / Brent crack (in the ratio of 4:3) and the blue line is UK Natural Gas

Thanks - good info but these brokers tend to require large account sizes. I was looking for a broker with a 10k minimum account size.

Does anyone know of a broker that provides electronic access to both the Minneapolis and Kansas City wheat contracts

I guess that fact that you have posted some examples of historic implied spreads answers my question :p