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- Method for an additive decomposition of hypothetical P&L by risk factor
- How do you implement effective market data quality controls in a risk management environment?
- Has anyone actually built a robust sub-1h trading model?
- Why is Europe still using EURIBOR?
- Backtesting with L3 data in very low-liquidity market
- Does the regulatory feedback loop between PD and Asset Correlation under CRR imply a unique fixed-point MoC?
- Derivative of the Basel Risk-Weight Function with Respect to MoC C
- CDS vs Corps recovery rates
- Market making in prediction markets (Kalshi/Polymarket): what changes in the CLOB stochastic control problem?
- INR OIS CURVE for valuation
- Why couldn’t outside investors arbitrage away the Treasury mispricings during the LTCM crisis?
- Can a bot wallets behavior analysis be done to reverse engineer their strategy on meme coin markets?
- Does an infinite asset universe imply a vanishing equity risk premium even without invoking risk aversion?
- Standardizing non-standard cyclical data (e.g., Luni-Solar / Panchang metrics) as features in execution & signal pipelines
- Treasury futures Net Basis / Implied Repo Rate
- Vega P&L Attribution
- Does FICC pay the seller out of its own pocket before it gets paid by the buyer?
- Mathematical derivation of FRTB SA framework for market risk capital requirements
- Mid price vs micro price for IV calculation
- Pricing curve for corporate bonds from EU, US, and GB?
- Is the older London Call (privilege), different from European Call?
- Fedwire Security Service - where securities are stored?
- Factors use during Portfolio Construction
- How is anything bespoke priced and traded?
- Adjust a quality measure (Sortino Ratio) to account for Autocorrelation in Trade Returns
- Bitcoin Pi Cycle - top and bottom indicator - precise definition
- APIs to get first notice date for relevant commodities / futures?
- Should I re‑run prediction monthly or use single snapshot at MOB3 to avoid customer group movement in N2B banking model?
- How should correlated, regime-dependent return-path forecasts be combined into a trading consensus?
- Sports Betting Q
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- Converting time bars to tick bars or volume bars in python
External answer — Quantitative Finance Stack Exchange Author: chrisaycock Original post: https://quant.stackexchange.com/a/54495 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed.…
- Would you say this is a trade off between frequentist and Bayesian stats?
External answer — Cross Validated Stack Exchange Author: Christoph Hanck Original post: https://stats.stackexchange.com/a/468853 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed.…
- round lots in algorithmic trading
External answer — Quantitative Finance Stack Exchange Author: mark leeds Original post: https://quant.stackexchange.com/a/54320 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Sharpe ratio with CVaR for denominator and different investor utility functions
External answer — Quantitative Finance Stack Exchange Author: user24980 Original post: https://quant.stackexchange.com/a/54182 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Hidden Markov Model: Forward Algorithm implementation in Python
External answer — Data Science Stack Exchange Author: Davide s Original post: https://datascience.stackexchange.com/a/74128 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. May…
- Real-time tick data source
External answer — Quantitative Finance Stack Exchange Author: babelproofreader Original post: https://quant.stackexchange.com/a/53932 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses rem…
- MSE Bias Variance tradeoff in estimating the variance of noise for MLE linear regression
External answer — Cross Validated Stack Exchange Author: mlofton Original post: https://stats.stackexchange.com/a/463788 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Hi: In…
- realized/unrealized PnL with multiplier
External answer — Quantitative Finance Stack Exchange Author: nimo23 Original post: https://quant.stackexchange.com/a/53519 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The…
- How to hedge PLN account on Interactive Brokers
External answer — Quantitative Finance Stack Exchange Author: ThatDataGuy Original post: https://quant.stackexchange.com/a/53487 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed.…
- How exactly money moves from one forex to another so prices are the same across exchanges?
External answer — Quantitative Finance Stack Exchange Author: Bob Jansen Original post: https://quant.stackexchange.com/a/53479 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- When pricing interest rate swaps at inception, should the fixed rate or floating rate be priced first?
External answer — Quantitative Finance Stack Exchange Author: siou0107 Original post: https://quant.stackexchange.com/a/53376 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. B…
- Alternative strategies for hedging customer FX positions in spot market
External answer — Quantitative Finance Stack Exchange Author: Lliane Original post: https://quant.stackexchange.com/a/51605 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Yes…
- Understanding Forex HFT Arbitrage with different counter parties/ Brokers/ ECN
External answer — Quantitative Finance Stack Exchange Author: Ariel Silahian Original post: https://quant.stackexchange.com/a/51094 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- Why are some currency pairs more volatile than others?
External answer — Quantitative Finance Stack Exchange Author: gregV Original post: https://quant.stackexchange.com/a/50909 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. This…
- What should I do with the NaN values on this stock quote data?
External answer — Data Science Stack Exchange Author: Lucas Morin Original post: https://datascience.stackexchange.com/a/65905 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Sharpe Ratio Formula
External answer — Quantitative Finance Stack Exchange Author: Mild_Thornberry Original post: https://quant.stackexchange.com/a/50531 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remo…
- Sending market order via FIX using R
External answer — Quantitative Finance Stack Exchange Author: zer0hedge Original post: https://quant.stackexchange.com/a/50491 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Automatic data summarization with text
External answer — Data Science Stack Exchange Author: Noah Weber Original post: https://datascience.stackexchange.com/a/65374 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. T…
- SARIMAX: transforming the exogenous variables
External answer — Cross Validated Stack Exchange Author: MasterPuri Original post: https://stats.stackexchange.com/a/441831 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. You…
- How to do time series regression without scikit and numpy in Python?
External answer — Data Science Stack Exchange Author: Peter Original post: https://datascience.stackexchange.com/a/63852 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. In cas…
- theta for SPX options vs. E-mini future options
External answer — Quantitative Finance Stack Exchange Author: dm63 Original post: https://quant.stackexchange.com/a/49553 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The t…
- Are there Python algorithmic trading libraries supporting forex?
External answer — Quantitative Finance Stack Exchange Author: Jamie Original post: https://quant.stackexchange.com/a/49390 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Zipl…
- $R^2$ and adjusted $R^2$ in presence of overlapping observations
External answer — Cross Validated Stack Exchange Author: crux26 Original post: https://stats.stackexchange.com/a/432197 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I will …
- Delta one trading: dependence on repo rate?
External answer — Quantitative Finance Stack Exchange Author: dm63 Original post: https://quant.stackexchange.com/a/49017 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. For a…
- Problem in calculating a simple VaR
External answer — Quantitative Finance Stack Exchange Author: Enrico Schumann Original post: https://quant.stackexchange.com/a/47500 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remo…
- In FX trading, is the risk for long positions higher than for short positions, or vice versa?
External answer — Quantitative Finance Stack Exchange Author: Animesh Saxena Original post: https://quant.stackexchange.com/a/47443 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remov…
- Parameters used by brokers when executing large institutional orders?
External answer — Quantitative Finance Stack Exchange Author: Atul Agarawal Original post: https://quant.stackexchange.com/a/47402 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- Where to get MSCI World Index constituents (+ weights)
External answer — Quantitative Finance Stack Exchange Author: Chris Original post: https://quant.stackexchange.com/a/47152 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. As y…
- What is a good reason to accumulate a stock that is going to be delisted?
External answer — Quantitative Finance Stack Exchange Author: amdopt Original post: https://quant.stackexchange.com/a/47108 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Thi…
- How to understand interest rate bid/ask and apply client mark-up in Tom/Next Rollover Swap Point Calculation
External answer — Quantitative Finance Stack Exchange Author: Magic is in the chain Original post: https://quant.stackexchange.com/a/47000 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresse…