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The car analogy sucks. Stop using it. The point is if you view price declines solely as a sign that your hypothesis got more profitable (and you should be averaging down) rather than a sign that maybe your hypothesis is wrong, you're in for some bad times.

Yikes. It's the stop loss that tells you you may have a blindfold on in the first place, and you should pull over and take it off first before you get back on the road.

No. It reflects what the "average" SOFR rate (via the compounding formula) will be from mid-December to mid-March. Meaning the December & January Fed meetings have more impact on it than anything that happens in mid-March.

It's not a unique feature, it's interesting terminology. The "September" 3-month future SR3 U23 is actually a future with a "Reference Quarter" from September to December. It's just like any "averaging" future (e.g., Fed Funds Futures) in that the price (including final settlement) is some...

That makes no sense. Barchart is either butchering their contract specs or we're not interpreting them properly. Chapter 460 Three-Month SOFR Futures 46002. TRADING SPECIFICATIONS 46002.G. Termination of Trading Trading in an expiring contract shall terminate at the close of trading on the...

Some general guidance, since you've given us almost nothing to go on. General trading data rule: Almost any meaningful statistic (e.g, mean, variance, covariance, principle components, etc.) can be cast as an "on-line" calculation. This means with very few exceptions, you probably don't need to...

The challenge isn't just to make EUV once, it's the following: - have a machine supply chain that enables production at industrial scale (vs. a single customer) ... this is what ASML does so well; and - have the proprietary knowledge to operate the EUV machines effectively ... this is what TSMC...

Is there a data feed that consolidates US equity corporate actions (dividends, splits, etc.), similar to the way the Securities Information Processors (SIPs ... CTA/UTP) consolidate and distribute trades and top-of-book quotes? Or would one have to go to each exchange (NYSE, Nasdaq, CBOE, etc.)...

Hi all, I'm using ETFs to implement Gary Antonacci's "Dual Momentum", which relies upon a signal comparing US equities (SPY, etc.) to "Bonds". He mentions the Barclays US Aggregate Index (in my view, most similar to AGG) but uses BIL in a chart showing performance. If I'm not mistaken, BIL is...

Got it, thank you.

Because I'm not trying to build a bicycle, I'm trying to understand how margin works in the context of long/short portfolios (e.g., of the kind that test excess returns on any number of stock market anomalies). Whatever indicators generated a 3-month relative signal of 10 stocks vs. SPY is...

I'd like to implement a long-short momentum strategy (~3 month hold period) and am not sure how much cash I need to do so. If I have $10k cash in my account now and want to go long a basket of 10 stocks and short an equivalent amount of SPY, how big can each side of the long/short be given my...

And, to close the explanation on why you may see quotes that don't change: Note that quotes that are equal to the BBO still generate ticks, meaning, for example, that a bank may requote the same spread (at same volumes), still be the BBO, and that will produce a tick.

Closing this out: per Dukascopy support ... So what we're seeing is the BBO, sampled every time a new quote arrives from dealer banks. On that basis, I think it's the case that each tick generally improves the BBO, but not necessarily (e.g. if a quote is somewhere deeper).

Agree fully with the views of both books. The Art of Currency Trading is fantastic.

Interesting. Thanks for the perspective. I will, as others have cautioned as well, take Dukascopy with a grain of salt.

Re: #1 & #2 ... there are instances in other forums of people aggregating the tick data into bars and summing up the bid/ask size as a "volume" size. As you said, it makes no sense, and I wanted to confirm that. Re: #3 ... Below are the first ticks from 2019 for EURUSD. A few notes: 1)...

Own them. Per this thread here (https://quant.stackexchange.com/questions/7802/how-is-historical-data-for-forex-collected-or-computed), I'm right about #1 and #2 but need to know #3. Just looking for confirmation here.

I've been downloading historical forex ticks from Dukascopy for backtesting (via https://datafeed.dukascopy.com/datafeed/{PAIR}/{YEAR}/{MONTH}/{DAY}/{HOUR}h_ticks.bi5) and want to make sure I'm interpreting the data properly. Each record comes as follows...

Thank you. So it's possible my math is off. If the Reg T 50% is also a gross exposure number, then using your math but my examples would say that I can have $2k long and $2k short = $4k gross exposure ($2k initial cash @ 2:1 leverage).