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lol - you'd never get a working strategy if you wait for 18k trades. There are standard ways of looking at statistical significance and they are mostly applicable to systematic trading. Obviously, there are issues to be mindful of, such as curve fits, family-wise errors etc, but that covers any...

Yes, they literally bet the farm on a single print. YOLO in it's finest.

Thank you. I actually looked up the IEX docs a second ago, so when you said "guaranteed" you actually meant "sort-of guaranteed" :) The way I read it (and it's not the clearest doc), the resting orders at the new level will have higher priority than the pegged orders that were moved to the new...

Ronin blew up on the expiration trade, which is not really a short vol trade per se.

Huh, what? Let's say you have a pegged NBBO bid in the market. If the touch moves towards your peg, you got filled so there is nothing to discuss. However, if the touch moves away, that means that somebody has taken out a full level (or more) on the other side. At the very least, orders that...

get laid learn about market microstructure read about macro factors like central banks get laid

@maxinger thinks that anyone who does not do intraday trend trading is not doing it right, so obviously Simons would be an amateur in his book

No, the CDO trade that everyone knows about. The official narrative only focuses on the main tranche of the trade, but there were couple other smaller positions in the same book so the total loss was just over $10bn. The fact that Hubler was actually paid upon his exit was a f*cking joke, too...

You know, the great hedge trade by the firm that starts with M :) I was sitting right next to the guys

I have been meaning to start a thread "The Anatomy of the Great Trading Fuckups" :D PS. I have seen people drop a yard (or 10, for that matter) and it's always entertaining in hindsight

Oh, I guess I missed most of the story, sorry about that :) I read your message as "everything is out there in public domain, its not worth doing original research and there is no such thing as secret alpha". Mea culpa. My personal approach is that backtesting is one of many ways to glimpse...

I guess I am an idiot then, as I have something that my competitors do not have and it actually generates alpha in real life. Same goes for PDT, the ETL team, RenTech and many other successful funds or PMs. There are infinite dimensions to alpha generation and ability to come up with new...

This is one of the few places in finance where looking at the actual data should come before reading academic literature. The basic concept of the LOB is very simple, what's complex is the actual ecosystem and (because players are very secretive) you are not going to find any truly useful books...

SPAN is for futures/futures options only. You can, however, reproduce the great success of OptionSellers.com or of LMW (I am trying to recall the exact ticker).

You could have stopped there for a better result :)

From that perspective (though I don't engage there): SPAN > PM > Reg T

I have never been a true retail trader, but I had a stretch of downtime (was in a hospital for 6 months and had to deal with boredom) when I traded for myself. In my opinion, there are a lot of considerations that come into play. (a) As a fund PM it's much easier to get paid a lot of money...

I don't think that's how it went, though I am not a great student. IIRC, The Gold Reserve act authorized the President to set the price of the gold by proclamation (imagine that!) and FDR immediately hiked it from $20 to like $35. Most people who where forced to accept paper money for their gold...

I have seen this before. If he did the analysis correctly (my prior is that he did not, just based on how liberally he uses the word "correlation" - cue Inigo Montoya here), his primary claim (lack of entropy among the "U" voters) is probably due to some sort of dataset specific artifact. For...

If I were you, I'd first spend a bit of time understanding the dynamics of the order book from a purely empirical point of view. Look at what happens when the market moves - who cancels, who stays, how the orders get resubmitted etc. Try to figure out heuristics to distinguish HFT orders from...