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I'm just trying to find a way to calculate the sd, mean etc. of SPY between t0 and t1 where it need to be varying from 5m, 1hr, or 10 days. As t1 is defined as "now". I want to use these kind of indicators (t0-t1) to predict price change at next time interval ( say t2) based on simple linear...

Or to be more specific, I want to set up a experiment to test that the alpha is there but just cannot be captured in time, I assume this can be proven even with delayed data.

Thanks a lot, I understand the opportunity there is pretty small, but more for my own learning purpose. Maybe its not bad idea to go throught what has been done by people 20 years ago to undetstand more.

sorry, I'm using python + sqlite, will adjust my question

for example, I want the average price change or standard deviation in the past 5 minutes ? and updated based on the real time ticker feeds? what would be the way to design the data pipeline (not sure if this is even the right term)

I'm trying to develop an automated trading app in Python, and trying to find some examples how it usually designed and how the code look like. Anyone can recommend some? Thanks, Ming

Supply Chain Finance has been there for many years as far as I know in the banking industry... not sure why Greensill's model is ultra-lucrative than any other banks, sounds quite fishy to me.

I’m trying to place a limited price order, and eventually trying to do it using the IB API to do so. But not sure what’s the right way.

Can anyone share some experience how to place an bracket order in IB for credit spread. The interface doesn't seems very intuitive two me.

Price will go down in mid/later 2021, where we see the limit that this recovery, which is not really bring us back to before pandemic. The unemployment rate are going to hovering around 5%, and house price will dip a bit more.

Is there way to tell which underlying/option is overly traded by Institutions or Retail traders from the open interest or trade volume

Capital is concentrated in blue chips large tech. This is a sign of risk

I want to understand how effective by selling deep OTM Cash Covered Put or Covered Call for good stockes. and whether it is a good strategy if I’m only looking for 10% return annually.

Just for entertainment purpose, this is my today's forecast. It shows maybe I can short some put spread for GLD/TLT for a month or two to gain some profit. Maybe be there are some better way to have ~10% return with low risk, but I'm not sure.

That's what I do for now. I do price the option spread based on BS model with those input, but I'm just taking a 50 IV as a assumption without forecasting it.

Okay, my forecast are in days/weeks, and I don't have a good framework how to trade it actively through out the day yet.

Interesting for your second comment. Can you explain why I need project ATM Volatility? My thought is I will just trade and wait for expiration.

Thanks for the notes! And the that's very encouraging. And hope you can provide more challenge and question. My basic thoughts is I want to separate the price forecast and the strategy construction and optimize both of them separately assuming either one of them might not be accurate/ or wrong...

Let me through a concrete example first: Below is a price forecast from my simulation model which shows possible trajectories. I think the mean price(green line) is basically not very useful, but the individual forecast might be helpful to understand the possibility of future movement. What's...

I’m developing my trading system on weekend and want to test it on realtime data, I’m wondering if anything there can be traded during that time so I can use.