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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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- Changing timezones with historic forex data (Interactive Brokers API IBPy)
External answer — Quantitative Finance Stack Exchange Author: David Toth Original post: https://quant.stackexchange.com/a/43071 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Difference-in-differences using two time series
External answer — Cross Validated Stack Exchange Author: RegressForward Original post: https://stats.stackexchange.com/a/381300 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- R: backtesting with path dependencies
External answer — Quantitative Finance Stack Exchange Author: Enrico Schumann Original post: https://quant.stackexchange.com/a/42843 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remo…
- Modern market conventions for interpreting interest rate swaptions quotations in a negative interest rate environment
External answer — Quantitative Finance Stack Exchange Author: Kiann Original post: https://quant.stackexchange.com/a/42692 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 as…
- Hedge ratio with non-whole betas
External answer — Quantitative Finance Stack Exchange Author: Bob Jansen Original post: https://quant.stackexchange.com/a/42436 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Tradeoffs of robust mean measures (trimmed, Huber, cosh, etc)
External answer — Cross Validated Stack Exchange Author: BruceET Original post: https://stats.stackexchange.com/a/373089 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Here i…
- Delta hedging frequency for plain vanilla European options under trading costs
External answer — Quantitative Finance Stack Exchange Author: Ezy Original post: https://quant.stackexchange.com/a/42211 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. At the…
- Calculating excess returns
External answer — Quantitative Finance Stack Exchange Author: Alex C Original post: https://quant.stackexchange.com/a/42087 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…
- Source for real-time tick data (stock price, etc.) updated every second?
External answer — Quantitative Finance Stack Exchange Author: Quinton Pike Original post: https://quant.stackexchange.com/a/41737 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed…
- Why can't an options writer volunteer for assignment on exercise
External answer — Quantitative Finance Stack Exchange Author: Attack68 Original post: https://quant.stackexchange.com/a/41659 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. U…
- Can we trade option spreads with more than 4 option legs?
External answer — Quantitative Finance Stack Exchange Author: cpatr922 Original post: https://quant.stackexchange.com/a/41409 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Feature selection for time series prediction
External answer — Data Science Stack Exchange Author: Ryan Ghorbandoost Original post: https://datascience.stackexchange.com/a/36832 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses remo…
- Choosing the Correct Periods for Yang-Zhang Volatility
External answer — Quantitative Finance Stack Exchange Author: Alex C Original post: https://quant.stackexchange.com/a/40964 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Let…
- Create One's Own Daily OHLC data
External answer — Quantitative Finance Stack Exchange Author: Scott Skiles Original post: https://quant.stackexchange.com/a/40642 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed…
- Papers and books related to "Forex" market microstructure
External answer — Quantitative Finance Stack Exchange Author: zer0hedge Original post: https://quant.stackexchange.com/a/40557 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- Comparing account equity vs maintenance margin on large number of positions
External answer — Quantitative Finance Stack Exchange Author: Attack68 Original post: https://quant.stackexchange.com/a/40199 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…
- Known Forex Market Trends
External answer — Quantitative Finance Stack Exchange Author: phdstudent Original post: https://quant.stackexchange.com/a/40187 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. …
- PCA for stand alone equity VaR
External answer — Quantitative Finance Stack Exchange Author: XYQ Original post: https://quant.stackexchange.com/a/39793 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. PCA it…
- How to handle even and odd convolutional filter sizes and images
External answer — Cross Validated Stack Exchange Author: Joseph Santarcangelo Original post: https://stats.stackexchange.com/a/345393 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses rem…
- Asset class dynamics differences
External answer — Quantitative Finance Stack Exchange Author: vonjd Original post: https://quant.stackexchange.com/a/39427 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The …
- Does all (or any) exchange eats the positive difference between a buy order and a ask order?
External answer — Quantitative Finance Stack Exchange Author: Serg Original post: https://quant.stackexchange.com/a/38472 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Bob p…
- 3rd party API like IBPy for Interactive Brokers python API?
External answer — Quantitative Finance Stack Exchange Author: Brian from QuantRocket Original post: https://quant.stackexchange.com/a/38392 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email address…
- Determine the carry of a treasury bond futures contract?
External answer — Quantitative Finance Stack Exchange Author: Helin Original post: https://quant.stackexchange.com/a/38144 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Bas…
- Why are options contracts traded speculatively when investors could just trade the underlying asset?
External answer — Quantitative Finance Stack Exchange Author: David Addison Original post: https://quant.stackexchange.com/a/37946 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses remove…
- How does short selling affect the leverage of a portfolio?
External answer — Quantitative Finance Stack Exchange Author: AlRacoon Original post: https://quant.stackexchange.com/a/37828 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. O…
- given a timstamp, tell if Forex NY/Tokyo/London active
External answer — Quantitative Finance Stack Exchange Author: babelproofreader Original post: https://quant.stackexchange.com/a/37723 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses rem…
- Interactive Brokers: Automating collection of client account position without TWS/IB Gateway
External answer — Quantitative Finance Stack Exchange Author: Enrico Schumann Original post: https://quant.stackexchange.com/a/37677 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses remo…
- How to calculate Chande Momentum Oscillator for FX
External answer — Quantitative Finance Stack Exchange Author: rupweb Original post: https://quant.stackexchange.com/a/37656 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The…
- Does it make sense to refer to a forex pair as a 'financial asset'
External answer — Quantitative Finance Stack Exchange Author: Yannis Original post: https://quant.stackexchange.com/a/37624 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. A c…
- Should I use interpolation, mean substitution or ignore missing values in a time series?
External answer — Cross Validated Stack Exchange Author: IrishStat Original post: https://stats.stackexchange.com/a/320314 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I do…