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QT elongation causes V-tach in 1:10 patients and V-fib in about 1:500 patients (other EP problems like APCs are also possible) if I remember correctly (I did cardio EP research rotation way back when I was doing my PhD). Pretty sure there are preexisting conditions that make it more likely and...

Good question. In both cases you will have to create a model that will get over the execution threshold, obviously, and thus have to apply transaction costs to the backtest. If you are backtesting it at mid as I am suggesting, you will know your strategy risk parameters as well as trade value...

As per usual both sides are full of shit and have polarized a complex argument. HCQ is a known drug to treat autoimmune disorders and that's why it was highlighted as a potential cure to COVID-19. However, politics or not, the side effects are very real too and were known before corona came...

I would say exactly the opposite, unless you are dealing with very short holding times or doing any sort of market making. Avoid using bid/ask spread, order simulation or simulating fills directly in the backtest process and simulate everything at mid, while maintaining good alpha/trade and...

You and I both know that this is just CBOEs attempt to recycle in the US some of the effort they've put into implementing periodic auctions on CBOE Europe exchanges. It's obvious why this is happening in Europe, as MIFID-II has mandated periodic auctions as a way of force-migrating everyone to...

Hmm. You can set hard stops on per-asset basis which will impact both expected return (and Sharpe, probably) as well as produce a lot of transaction costs. Alternatively, you can clip the z-score at something reasonable (if you are using proportional position sizing) and have relatively...

For most part, yes, you'd use full order book (at least a few levels away from the touch) to figure out order book pressures, overhangs etc. It's HFTs bread and butter. LL = low latency. Some trade/book pressure strategies would only use top of the book, especially for situations where you are...

Payment For Order Flow a.k.a. HRHMM (How Robin Hood Makes Money)

Negatively selected - i.e. you getting a desired outcome but the longer-term result will be "statistically bad". Let me offer you an analogy. Imagine that you go to a club and a girl starts hitting on you. It's unusual, but you think of yourself as a proper stud and take in stride. You buy her...

You understand wrong. Buying order flow is primarily about getting priority access to uninformed players, or in poker terms, these guys are paying to play at the children's table. The idea is as follows - you get an order routed to you and you have a right but not an obligation to fill it. If...

At my shop, we have developed and use both a separate C++ engine for backtesting high frequency strategies (though it's a bit of a tricky game and is a "glimpse" at best) and a separate python backtest engine for lower turnover strategies. Sadly I can't share or contribute, but I can give my...

Oh, so it's "temporary" and that makes it OK? Have you ever been temporarily detained, especially in a 3rd world country? How about spent a couple months in these conditions? What's up with the moral equivalence again? The US is full of horrible injustices and breaches of due process and...

Well, in the US most people born in the inner city happen to be black or hispanic, while most people born with a silver spoon happen to be white. That naturally colors the whole argument, pardon my pun and makes it a racial issue. Nothing in life is guaranteed, it's all a matter of probab...

You are where you are and it really proves my point. With all that hard work and sacrifice (very commendable) you still barely have enough to get over the PDT hurdle and nowhere enough to trade for a living. For comparison, my first-year bonus when I started trading was more than that, even...

Sure let's frame it propertly. What exact numbers are you looking for? FWIW, incidence of family violence, single parenthood, incarceration levels all strongly correlate with median income and median income in black households is roughly 70% higher than in white ones...

There is a clear racist undertone to these discussions, it’s not only about socioeconomic background. For a second, let’s imagine a situation where inequality did not have a racial aspect to it. Imagine that we had a single-race society yet social/economic inequality was as high as it is today...

So are you suggesting that prosecution of Uigurs is fully fabricated by the Western media? You are giving us a typical moral equivalency argument. Yes, the US is frequently acting as a belligerent empire and no, not everything is ok in the US when it comes to race etc. Those things (both...

It's not very relevant to the topic, but the answer is "unclear", as far as I remember. On one hand, as soon as Nazis started killing the Jews in the Soviet Union in the summer of 1941 there was plenty of information filtering to the allied forces. It was primarily stuff like German police...

The US followed this logic to the letter when they allowed various other genocides take place (Holocaust, Bengal Famine etc). Maybe for once it's worth doing something, especially since it's not only moral, but is also aligned with the new foreign policy.

That actually is a smart approach - moving matching engines with all of the colocated infrastructure is gonna be nearly impossible and people would just have to eat the tax. It's gonna create some bizarre routing incentives too :|