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I got your point. But simulating my own orders is not important at this point (let alone estimate their impact). From a practical point of view maybe it's useless too, although I'm not a trader. I have a database with all the market activity for a single instrument, including the brokers id...

Thanks! As I'm not an expert programmer, I'd like to save some time starting with an engine (just an efficient order matching algorithm). There're a lot of them on github and the idea is simple. I just want to get the best I can for free. So, no trading strategies involved. With respect to the...

My initial concern is with exploratory data analysis and simple simulations. In this way, the impact would be zero at first. Later on I would adopt a zero-intelligence model. Just an example: after the aggressive order (of small size), the book could be randomly recompleted following some...

Hello, I'm studying HFT strategies, market makers algorithms and trading algorithms for specific goals (like minimization of overall transaction costs). So I'm creating a database of Level II quotes (initially from a single instrument) and need a way to run simulations of the order book, send...

I'll elaborate on that as soon as I finish reading a couple of papers: I'll give you an example of FX Futures contracts that "drive" (in a very specific manner) spot prices. Unfortunately every paper I know about this stuff is in Portuguese. I'm aware of "tape reading" trading strategies that...

Maybe I chose poorly my words. I really don't know how common is that: financial instruments whose spot prices are determined by its derivatives ("the tail wags the dog"), for historical reasons.

Thank you! The microstructure I'm really interested is a very unique one (not covered in any book I know). But I need the general concepts in order to write a meaningful paper.

Those takeaways were insightful. But the "anyone can become an expert in quant finance" motto have always amused me.

Thank you very much for sharing this! I'll certainly take a look.

My idea is to start from the order book and find a niche between HFT/market makers and lower frequency strategies. The order book in Brazil is "open" and "centralized" (not blind and fragmented like in the US), so you have another dimension to take into account. For instance, you can choose to...

I'm new here, so I'm not able to make any fair comparison. I just thought that It'd be nice to write more freely in one place, and then summarize the ideas/results in another. Both forums are great.

I've initiated a thread like this one on futures.io. I intend to update my progress here less frequently, but more concisely. I do want to count on the valuable ideas of colleagues on this forum.

Starting from the beginning

Today I started to negotiate with a vendor the acquisition of market data. I'll have to start my own database, as there's no historical data available. "Almost nobody ask for this", they said. It feels like I'm buying rubbish. The book is noisy and probably useless 99% of the time. At first...

My goal is to elaborate a paper and put it in arXiv.org (and to submit it as my course completion work in Stats too). About order book modeling: the approaches, what have been suggested and tested. Of course not everything. Maybe not economic/game-theoretic stuff, or econophysics, for instance...

Thanks! I didn't know that. I do need historical data and a way to run custom simulations. Just that. I've used Metatrader/MQL5 and some custom dll to analyze, test and paper trade. And run ML strategies with Ninjatrader/C#. I used RStudio/R to run simulations on tick data (and plot nice charts...

That was supposed to be a joke, as implied by the Talking seriously now part. I know my writing skills suck, but feedbacks like yours are more than welcome. I've just asked the admin to move this thread back to "Journals", because there's no trading system here (of any kind). The real deal...

When I was young enough to think I knew it all, I was sure that risk was like a dial button I have to adjust to optimize my results (in life). Dr. Markovitz idea (mean-variance analysis) was even simpler, so imagined I deserved a Nobel too :D. This Nobel here was swing trading stocks while the...

Sorry if I didn't make myself clear enough before. My country is more than 20 years behind. This means I have some time ahead:). The HFT "fee policy" (from the unique exchange we have) started in 2017. Of course trading is hard everywhere - that's why I like it, but I have an advantage: I don't...

Thank you! I'll certainly do that. Although I don't intend to model any strategic play by the agents (zero-intelligence), it's important to know where to focus. Anyway, I'll have check old stuff too, like the impact of order size and other (likely) dead ends.