But this is what quants do. You're confusing me Proprietary indicators written 10 years ago, but which lost their edge are still better than proprietary indicators written 40 years ago which lost their edge. At least for seeing the way they ...

The Birth of a Quant Trader

No need to apologize, we were just having a friendly spar, right I remembered some posts with some reference books for algorithmic trading for Pipalicious: url url url You can also look at his blog-roll, maybe you find something that suits ...

The Birth of a Quant Trader

More spinning. I will let our watchers judge what your initial opinion about the paper was. I can program my own stuff, thank you: image image Don't forget to notice that I used candles here, after I said quants don't use them. image image I ...

The Birth of a Quant Trader

Just as expected, you re-framed again. You are the nimble humble person still learning, me the evil attacker not giving back. Of course you will not stand by your previous affirmation that the paper is laughing material, now that you learned who ...

The Birth of a Quant Trader

Please, don't let us be duped. After 20+ years in this business you obviously are not here on this forum wasting your time trying to learn something. You are here to educate others. So let us know the dangers in that paper oh master of knowledge. ...

The Birth of a Quant Trader

Of course you are laughing at stuff you don't understand. Do you know who is one of the authors of this paper? Richard Olsen, creator of OANDA, one of the biggest automated market makers in the world. Do you know that he, and three others co-authors ...

The Birth of a Quant Trader

Quants don't typically use "retail indicators". Here's how a "quant strength" indicator looks like. They take a standard EMA and convert it to something which they say works much better: image image image image image url To quote the ...

The Birth of a Quant Trader

I have only listed a basic statistic that could be computed. Of course that is not enough.

Order Flow - Achieving the mindset

One of the problems of this thread is that there is a lot of talk, but very little information. I don't believe that the "option barrier" talk from IFR (or any other source) is useful. But a lot of you do. Still, nobody seems to actually verify if ...

Order Flow - Achieving the mindset

How long do you believe the path to be? I say that it will take you at least 2 years of 8 hour/day to get the basic programming/quant knowledge required to be able to implement a minimal system. But you'll need a lot more to be able to be ...

The Birth of a Quant Trader

I was meaning that they trade short term - almost all orders are under 4 hours, and most of them under 10 minutes. Sorry to bring some bad news to you, but for HFT you need at least a million dollars to spend on programmers, infrastructure and ...

Order Flow - Achieving the mindset

The world has changed a bit. They are derived on some dealing platforms, but on most ECN's they are truly traded. I mean, what's the difference between derived/traded when someone sells G/J big on an ECN, and the dealing banks adjust both G/U and ...

Order Flow - Achieving the mindset

Algo trading is not only quant. HFT is especially about order-flow - algos seeking and front-running order-flow. I know a few basic HFT trading strategies, and it's all about watching the L2 book, getting out when flow comes in, getting in again ...

Order Flow - Achieving the mindset

A lot of discussion here. Time for something more concrete - actual order flow trading and front-running: url

Order Flow - Achieving the mindset

Of course you can use options for directional speculation. But most of the options sellers are forced to delta hedge the options using the underlier, thus they engage in volatility arbitrage even if they would prefer not to. Anyway, this is a little ...

Order Flow - Achieving the mindset

What I said are option basics. No secret there As always, the secret is in being one step ahead of the market. I'm not a great teacher, so I searched for some explanations of what I said. Here is what I found. You can probably find better ones in ...

Order Flow - Achieving the mindset

Guys, vanilla options (either european or american style) are strictly pricing in the future expected VOLATILTY, not PRICE. Read that again. For a vanilla option it doesn't matter what price the underlier will have in the future, only how volatile ...

Order Flow - Achieving the mindset

I think you are confusing them having limit orders in the book on both side with them having positions both ways. In one instrument you can have a single position at any given time - the net position of the previous orders, even if you both sold and ...

Order Flow - Achieving the mindset

You are talking here about stupid retail "hedging". Big banks have people which are smart enough to understand that this is a fools game. But netting is quite difficult to do in practice, since you can have multiple desks/systems putting on ...

Order Flow - Achieving the mindset

About Tokyo, London and NY flows: url image

Order Flow - Achieving the mindset