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More from Marshall of Goldman Sachs: How to Make Sense of the Stock Market in the Age of Algorithmic Trading By Steven M. Sears Barron's Updated April 25, 2019 11:34 a.m. ET

My impression from watching low-volume CEFs trade is that this rarely happen. If the market is 14.45-14.49 and I bid 14.47, the 14.49 offer remains.

Suppose I must buy 1000 shares of an illiquid closed-end fund, BlackRock MuniYield New Jersey (MYJ), by the close. The current market at around 2pm is 14.45 x 1000 14.49 x 1400 I can place a limit order for 1000 shares at any price, but if I don't get filled by 3:45pm I will submit a market...

Are there people who have been hired because someone thought highly of their journal on Elite Trader? Maybe I'll start a VIX futures journal -- I have researched VIX futures a lot.

I see the first four listed at https://www.interactivebrokers.com/en/index.php?f=2222&exch=globex&showcategories=FUTGRP .

If you want to earn higher rates in foreign currencies, you can go long the related currency futures, whose prices account for interest rate differentials. It's not an arbitrage, since if spot currency rates fall, the futures will fall along with them.

The R-SIG-Finance email list has a thread "Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)" where the following sources are discussed: Yahoo Finance https://finance.yahoo.com/ https://eodhistoricaldata.com/ Tiingo...

I would like to be able to go long or short single stock futures on ETFs for long-term (say 1 month) holding periods. Do SSFs actually trade? I never see them mentioned in financial media or traders' forums.

The strategies are not that different. Selling S&P 500 put options and selling VIX futures should be profitable in the long run, if you size your positions so that you are not forced to cover at the worst moment, such as Feb 5 2018. Both strategies have positive S&P 500 betas and negative...

Storing time series data by Saeed Amen Cuemacro February 2, 2019 Subjects: Data, General, Python ... When it comes to analysing financial markets, the ingredients are key, essentially the data. However, with data, comes the need to storage. We need to have a good “fridge” to use our burger...

"Buying Calls in a Bull Market is profitable!" The last bar shown in the graph is for 2019, so the previous four are for 2018. The average of the 2018 bars is positive, even though the stock market fell in 2018. So yes, the strategy of buying calls before earnings has positive beta, but it may...

From the Wall Street Journal Daily Shot of Feb 8, 2019. Does anyone employ this strategy of systematically buying call options before earnings releases? Are there really lots of stock options traders who don't know when earnings come out and therefore underprice options ahead of earnings? I...

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Please excuse me for being blunt, but most retail traders have negative edge once commissions and spreads are included. It does not appear that you have a positive edge. What do you think your edge is or could be? In the absence of an edge you should stop trading and pursue a normal career...

I'd like to see futures on credit, for example on the indices underlying LQD or HYG.

Daily open-high-low-close data is free, plentiful, and fast to test. But if your signal is generated using the closing price, how should you test it, without using intraday data? I'm not sure, but here are some thoughts. (1) If your system is anti-trend, such as buy at the close when it is...

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You can start by looking at an index, but then you must test on something tradeable, such as SPY or S&P futures.

Thanks. So a big customer sell could drive an ETF price below INAV. That causes an Authorized Participant, perhaps the one that bought the ETF shares from the customer, to redeem the shares.

I am trying to understand what causes ETF inflows and outflows. Is the following thinking correct? If an investor wants to exit a big ETF position, he can sell the shares on an exchange or redeem his ETF shares. Suppose the ETF trades at $10. If the intraday NAV is $10.10 he will redeem his ETF...