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The problem with spoofing/layering is that the market participant is attempting to maximize their market impact with the initial set of orders and their following activity is conditional on that information. All other participants are attempting to minimize their market impact at pretty much all...

CME does have iceberg orders including on NQ and for quite a while now. If you set MaxShow (tag 210) then you have an iceberg order https://www.cmegroup.com/confluence/display/EPICSANDBOX/New+Order a decent white paper on hidden liquidity on CME...

good luck with the new firm! yeah 500 M due to all the costs especially data, not only do I consume all the order books/sip/colocated/aws, also get news sentiment/ibes/options data/etc.. 50k here and 100k there starts to add up.. but at least that's all top line.. and then employee pay comes...

I run a quant fund that is a registered investment advisor with the SEC. Compliance with a third party costs $35k per year, did get audited by the SEC one year and that cost an additional 25k, costs ~20k for lawyers to set up the company. Are you quoting AUM or capital expenditure? If AUM then I...

HFT infrastructure has become affordable relative to the past, definitely not the numbers being quoted here. For example if you want microwave market data at all 3 US equity datacenters all you have to do is pay up to nasdaq, no need to build out your own infrastructure anymore. Nearly every...

Yeah, effectively. So the expected return from say the imbalance coming out to the close price conditional on the imbalance as a function of volume. There often are other variables like volatility to improve the model but by far for the close the most important one is simply the imbalance...

The times have changed now, that doc is fairly old now. Nasdaq is 15:55, for nyse the imbalance is first published at 15:50 which only includes MOC/LOC (and why the ABEV imbalance didn't immediately have a large impact), at 15:55 it also includes dquotes (of note dquotes could have very well...

The ABEV imbalance you're seeing is at 15:50 which includes only the MOC/LOC interest. At 15:55 the imbalance begins to also include d-quotes and at that time the ABEV imbalance is a buy imbalance of only 278731. Nyse imbalances are harder to model since the imbalance isn't firm. For example...

https://docplayer.net/418102-Trading-around-the-close.html here is a doc about it that I have replicated. The last trade price is the wrong benchmark to measure the market impact from. The market impact of MOC orders occurs when the imbalance message is released. For nasdaq that occurs at...

For refinitiv might be looking at ~100k per year for daily pricing/corp actions. But my pricing is part of a larger package so might be rather different for you. I subscribe to direct feeds from the exchanges which gets pretty expensive and have been doing that for over a decade so can't speak...

Paying $40k and a top line expense. Consume quite a few different different data feeds/colocated/cloud compute/etc so yeah just a drop in the bucket

Yeah totally, I use my own risk model for calculating residuals for forecasts and optimization. Only use barra for tracking factor exposures since our investor also uses it for tracking our risk. I find it to be fairly cheap but I guess that's just relative to other expenses and pnl.

QA Direct through Refinitiv might be a good option. Used it 10 years ago and they did have corporate action adjusted total returns. It came in the form of a sql database which I didn't like. Pricing likely has changed since then but we were paying much more than 20k/year. Currently I use...

I run a quant book for a multi-manager hedge fund and own the IP. The fund in no way shape or form has any access to the source or knows what I'm doing under the hood. They manage risk at a high level and allocate funds to us and that's about it. I use some of their infrastructure but for the...

they did shut down due to the SEC, can see all the details in the link below but what really stuck out to me was they lied to institutional clients about there not being any HFT flow when in fact there clearly was https://www.sec.gov/litigation/admin/2018/33-10545.pdf

What company is providing real-time short interest forecasts? I currently get a daily drop from https://ihsmarkit.com/products/securities-finance.html So yeah I've found value in T-1 short interest data and so definitely would with real time data but not aware of anyone providing it

they do run a large equities book https://whalewisdom.com/filer/renaissance-technologies-llc and that's just US, 130 B total aum including non-medallion funds

Non-displayed liquidity may receive a rebate but not necessarily. It depends on the tier your broker is realizing. Here is the fee schedule: http://nasdaqtrader.com/Trader.aspx?id=PriceListTrading2 The low tier for non-displayed liquidity would not receive a rebate and if they do get a rebate...

That's a closing cross trade that occurred due to the nasdaq close auction. Cross trades and non-display executions that occur on nasdaq are printed to the tape, attributed to nasdaq, and included in the total volume. I think you're thinking of internalized/dark pool executions and those are...

It's strictly for my use, would need a distributor license from the exchanges to distribute it. I run a hft to mid frequency quant fund so pretty much necessary to have the data unfortunately.. soooo expensive