Tag Archives: stock exchanges

How about expanding quant analytic HFT algorithmic trading to non-US stock exchanges? Do-able? How?

How about expanding quant analytic HFT algorithmic trading to non-US stock exchanges? Do-able? How?

How difficult is it to go from trading only the US stock market to TMX (Canada) and London Exchanges too? Does anyone know a list of the ECNs with fee schedules and proprietary trading

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I asked a question similar to yours few months ago, I think the German market was suggested, but I didn’t have the time to investigate.

 

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how is that easier than say the toronto exchange?

 

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I think it was mentioned as the one with the most volume behind the US. My first guess would have been London otherwise.

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Know any prop shops that let you trade either of those?

We’ve run a few articles on algo trading outside of US markets and there seems to be some good running room in Canada and in Frankfurt. The thing to be careful about is investing a lot of time and resources into preparing a model for an EU market when the Germans are complaining about ‘stupid’ algos. Here’s an article we ran from a Canadian hedge fund (http://fixglobal.com/content/canadian-alternatives-buy-side-case-study)and two more on Algo trading in Russia (http://fixglobal.com/content/russia-heats, http://fixglobal.com/content/your-russian-visa-dma-russia), which by the way, should get better once the two exchanges complete their merger.

 

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Thanks for the posts! I mean.. the US has been complaining about algo trading since its inception. Algo trading is here to stay. Just need to find a reputable.. specific firm to trade the foreign exchanges.

 

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In terms of a specific firm, just make sure whomever you choose has reliable pipes in-country and can assist you with the settlement/post-trade side as well.

 

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I’m not even to the ‘weeding out the bad ones’ point. I’ve found ONE that does Toronto exchange… nobody for London etc.

 

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Open an account with Interactive Brokers, and your are ON.

 

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I’ve thought about that, I want to rebate trade which means I need commission rates of around $1 or less, IB is retail, not gonna work.

 

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your question is a bit confusing, expanding algorithmic trading to other exchanges – I suppose your developed algos run on something by now, and is connected to some broker right now ? For the record, IB is both retail and institutional, there are not many prime and low cost brokers letting you in, supporting both an API, more than 90 markets, and historical data – first thing to do, is to make your desk research.

 

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In theory, any exchange that permits electronic trading is a candidate for algorithmic trading. In fact, a few weeks one of the majoor trading houses (Goldman Sachs I believe) started to look in that direction by modifying models to adjust for the comparatively lower frequencies (compared to ultra high frequency or low latency) in “foreign” exchanges.

 

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If you run your system from a single back-end program and have a broker that has an api and can trade multiple markets (such as IB or Sigma X) then you can perform this operation. One common strategy is to arbitrage the same security that has different price points on different markets. You can also build a model and arbitrage the whole markets based on economic data etc.

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all you need to do is ask your broker. There are several that have international connectivity. I know a few that would be happy to talk to you about it

 

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Thanks for the comments! I noticed on the IB site they had a list for proprietary groups contacting IB, so maybe they could recommend one that’s linked to them and get’s a decent rate. I’ve heard a lot of different arb strategies w/ foreign markets, I’ll check them out, but I’m sure the pairs stuff has probably been exploited pretty aggressively already.

I’m sure there are a lot of possibilities w/ different markets (Provided someone is ok w/ getting up at 3am or something to trade them.) The group I’m trading with now is quite sure they won’t have foreign markets enabled anytime soon (due to the extra paperwork and laws/compliance hassles.)

I’m pretty sure a good place is out there, just need to keep calling different places.

 

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Best stock picks for Nov 3, 2011 with loads of global stock exchanges

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Added France’s Euronext stock exchanges for scans to see hottest stocks in quant and trading reports

Added France’s Euronext stock exchanges for scans to see hottest stocks in quant and trading reports
Register here to see what they look like

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Added Singapore’s SGX stock exchanges for scans to see hottest stocks in quant and trading reports

Added Singapore’s SGX stock exchanges for scans to see hottest stocks in quant and trading reports Register here to see what they look like

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

My review of global stock exchanges that meet my standards of technical analysis indicators

My review of global stock exchanges that meet my standards of technical analysis indicators

These were done today to see which global stock exchanges the QuantLabs.net Premium Membership services should focus on:

Priority exchanges:

USA

This one is easy but not many alerts are sent out by my technical indicator which tells me there might not be as much volatility. Also, some major stocks were also identified as well which will be good.

Canada

This was not too bad with the exceptional of masses amount of penny stock mining exploration companies which could clutter up the reporting of the membership area. There may be some gems in there.

UK

This is not too bad but reports a very small amount of large British based companies. It did report back some large Russian gas and natural based companies. Lots of unknown Middle East and Asian companies were identified as well. The London Stock Exchange (LSE) could be a very interesting exchange to report on.

Germany:

Who knew there were so many tiny exchanges for literally every major city in Germany? As a result, this reported the largest amount of stock symbols based on that. There were tonnes of small unknown Asian especially from countries like Korea and China.

Secondary

Australia and France were not as many as the priority. Switzerland had very few stocks matching the indicators. Singapore was surprisingly better but I am unsure which listed company is Singapore based versus something like China.

No reporting on:

Brazil, India, Korea, and Hong Kong came up literally empty. China reported everything in non English characters so I cannot use them.

As for the rest of which countries, the others are too small to focus on. Once we can improve our hardware and infrastructure, I hope to be able to add some of these countries in the future. Maybe by then, their exchanges will have more companies listed that will match our indicators.

Lastly, you are probably asking about Japan. Sorry, our software cannot work with Japan for some unknown reason but that is no major biggie as there are lots of exchanges listed above I can report on.

If you also want to know the indicators or software that is usee, nya nya I won’t tell you. The software is proprietary so I will not disclose that info unless you are someone from Goldman Sachs or Morgan Stanley who will flash me a few million dollars. Of course I can talk then. So there.

 

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Making Java changes with Eclipse to create awesome indicators and alerts from all MAJOR stock exchanges. Full automation here I come!!

Making Java changes with Eclipse to create awesome indicators and alerts from all MAJOR stock exchanges. Full automation here I come!!

I need to hack Java using Eclipse. After using Visual Studio 2010 for a while, I wonder if Eclipse is as robust as Visual Studio. It is. Java is decent. But now I got to go through a huge amount of Java source code to make some hacks on custom indicators from global stock exchanges. This thing will blow your mind as many alerts will be coming into our new Member ship services. This thing is going to smoke!

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Use of C++ float/double in financial applications such as that in stock exchanges and/or brokerage houses

Use of C++ float/double in financial applications such as that in stock exchanges and/or brokerage houses.

Is the rounding gap resulting from using float in C++ considered immaterial/acceptable? Is it a normal practice? What about using a customized fixed-point class to do such math? What are your opinions? Thanks a lot in advance.

Be aware that the single / double issue is not from C++ but the machine architecture itself, you usually get exactly the same results from Excel VBA which in most other things has a very different view of the world.

A lot depends upon what you’re doing with it, errors accumulate, so you have to be careful when doing things where the i+1th result depends upon the i’th

 

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C++ float/double in financial applications such as that in stock exchanges and/or brokerage house

Use of C++ float/double in financial applications such as that in stock exchanges and/or brokerage houses.

Is the rounding gap resulting from using float in C++ considered immaterial/acceptable? Is it a normal practice? What about using a customized fixed-point class to do such math? What are your opinions? Thanks a lot in advance

Yes the rounding gap using float can and will have a impact, and for any financial application I would personally suggest NOT using float/double for money storage/calculations. You will regret it in the end.

Depending on the number of decimal points you wish to use, would depend on your solution.
Lets say you are only interested in 2 decimal points, in this case a long (or int) would work.
ie the number $100.10 would be stored as 10010.
Giving a:
Int range: -21,474,836.48 to 21,474,836.47
Long range: –92,233,720,368,547,758.08 to 92,233,720,368,547,758.07

If you want more than 2 decimal points then make sure you use atleast long.
If the number of decimal points would not leave enough for your upper limit, then separate the whole and decimal into 2 int (or long).

Note:
No matter which of the above I use, I always design 1 Money class that handles all the maths, string to display etc. This allows much easier to change the structure if you find you choose incorrectly at the beginning

It depends on what type of finance you are doing. But be ready to familiarize yourself with terms like tick size, tick value, tick size denominator and various numerators.

E.g.

http://www.nyxdata.com/nysedata/default.aspx?tabid=993&id=739
http://www.nyxdata.com/nysedata/default.aspx?tabid=993&id=29

In addition, there are techniques like http://en.wikipedia.org/wiki/Guard_digit

 

 

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