Search results

Lime brokerage

There's a ton of research on this subject... a Google search for 'market impact optimal estimation' returns over 1 million results. Most papers are interesting (e.g., limit prices are actually governed by power law distribution), but the applications are mostly irrelevant/inaccessible to...

that is really a function of the number of shares you are buying/selling and the current sentiment of the stock. You need to analyze market depth to calculate the actual spread, weigh the opportunity cost, and possibly, chop the order into smaller blocks and submit as new shares flow into the...

Isn't that the problem? If IQFeed isn't synced with IB, that's a new source of slippage.

Ever hear of dividends, covered calls, calendar calls, etc??

What if an ECN fails or has latency, or you lose internet connectivity, or your feed has bad or missing ticks, or you get a partial fill and can't cancel the remainder, or your real portfolio goes out of sync with the model... A good metaphor is PayPal, which lost over $100 million to fraud as...

annual volatility is usually converted to the time period you're interested in. e.g., 10 day volatility (std dev) But I'm interested in hearing SLE's answer as well...

The Pro version lets you manually specify volatilities for each strike and expiration.

I bought the demo and was surprised at how crappy the valuation models are. At that cost, you should be able to overlay the results from models with stochastic volatility and price jumps, that calibrate to the market.

a lot of brokers have FIX connectivity, such as Lime Brokerage, but is there really any advantage over an API? I'm not so sure... If speed is the concern (and money is no object), you would bypass the broker entirely and write directly to the exchange. Obviously that's far out of reach to...

I don't understand what you're trading. Options in liquid products are priced extremely fairly. Every participant is forced to take a directional view on the underlying, realized, or implied volatility. The main advantage for the MM is their access to order flow.

If you already make good decisions based off EMAs or SMAs, a Gaussian filter will only improve your accuracy. All of the aforementioned MAs are low-pass filters. The only difference is the effectiveness at keeping low frequencies intact.

A while ago, Dr. Koch from the WL board analyzed several filters to determine lag and the 1st derivative of price change. SMA, WMA, and EMA performed the worst. (Not surprisingly 99% of packaged trading systems are based on these) Butterworth filter having 3 poles demonstrated the...

From the linked site in your post: "It is based on analysis of pure price rather than information distorted by technical indicators." So what's the difference? The objective probability is still 50/50. If anything, it's a complete misuse of neural networks. Think about this for a...

Maybe I'm exaggerating... Flash has improved considerably since its early days of simple interactive web interfaces. Actionscript is OO-capable and Flash Media Server is pretty secure. I guess if the end-user is running a fast CPU with lots of memory, the difference is marginal. But I still...

If it's Adobe Flash you're referring to... I can't think of any less optimal environment for real-time visualization. Flash/Ajax/buzzword of the moment will never replace the JVM in that regard.

Interesting that you mention Numenta. I just finished reading Jeff Hawkin's book "On Intelligence" which explains his theory of intelligence and the principles behind Hierarchical Temporal Memory (aka HTM, Numenta's technology). He eschews the term "artifical intelligence" given AI's failure...

I haven't read up on the pink sheets in a while... but I think a current Form 211 is all a company needs to remain quoted there. i.e., the stock is listed indefinitely until MMs stop quoting it

There has really been an explosion of ATSs of late, and I think the reason is new best execution policies and demand for lower trading and implementation costs. Most of it is focused around large block orders, dark pools and institutional liquidity, etc. I don't know how profitable they all...

April fools... But it was funny to read HoundDog's usual vitriolic hyperbole.