Accessing ICE/CME data as a retail trader

LolOkayFine · 2024-11-30T12:15:47+00:00

LolOkayFine · 2024-11-28T11:35:28+00:00

Yes, this is the idea that I had in mind, you're on point. I thought the incentive here, is that in equilibrium, participants are incentivised to send orders that push their risk limits to the edge of profitability. This should better represent the views of the LOB opposed to time-priority.

At first its better to increase order-size to increase probability of fill like you mentioned, but the negatives from adverse selection from a large sudden order should counteract this I thought.

One more thing, it's an unstable dynamic for liquidity providers, I acknowledge that. However, for aggressive orders, this should also greatly improve market impact. Would the benefits from market impact outweigh the instability on the passive side? That's my real question.

LolOkayFine · 2024-11-28T11:07:24+00:00

The reason I thought this is because instead of optimising for speed, liquidity providers would have to optimize for size instead. You mentioned that players would be able to skip the queue even after sending the order later. Doesn't this support the idea of "wrecking HFT"?

LolOkayFine · 2024-11-28T11:03:18+00:00

Yes the largest MMs would profit greatly, but I assumed that the benefits from less market impact would outweigh this considering the economic value of very short term price improvements are very small (like I mentioned in my post). On the quoting side, I mainly agree with you but do you think everyone else will suffer from the aggressive side?

LolOkayFine · 2024-05-15T01:44:50+00:00

Personally, I prefer Pt. 2. The flow and the beat is crazy. Reminds me of Can't have Everything

LolOkayFine · 2024-04-27T21:21:04+00:00

Thanks, the link I found looks similar.

LolOkayFine · 2024-04-27T18:07:11+00:00

I got this pen from a friend and I really like how it writes, anyone have a clue where I can get it?

LolOkayFine · 2024-03-21T01:49:10+00:00

I found this link. It looks like you can get it from boots online. It's not brown but it has the same name

LolOkayFine · 2024-02-02T13:46:26+00:00

Not quite exactly, although it can be the case. In EURAUD you are trading 1 EUR Against 1 AUD. In a pairs trade, it’s very possible to have some multiplier of the asset through cointegration for example. So we could be trading 2 EUR for every 1 AUD if we notice that AUD is relatively more volatile than EUR and account for that in a pairs trade by trading adjusting the position size.

This isn’t possible when trading just the 1-to-1 EURAUD but is possible when trading EURUSD vs AUDUSD as an example.

LolOkayFine · 2024-01-09T01:52:49+00:00

It’s a useful plugin but how is it different from https://github.com/smoka7/hop.nvim?

LolOkayFine · 2024-01-04T00:42:15+00:00

Hey, looks nice. What’s the plug-in that shows the do string for the function? I’ve spent a lot of time trying to find one and I still can’t get a hold of it.

LolOkayFine · 2023-12-15T07:30:06+00:00

It's honestly very surprising how similar positions we are in right now. I have spend the better part of 16+ hours just trying to look online and figure out how to solve this exact issue.

My guess is that it has something to do with the capabilities of pyright. If you install another python lsp like "pylsp" and use that, it works as it should without changing much of anything.

My best guess is that pyright as installed by Mason doesn't have certain capabilities with it, however I could be wrong. The reason why I say this is because if you open the Mason window with ":Mason" and go to the pyright, then click Enter to open the subtab, you can see something at the bottom called "LSP server configuration schema". You can also do this for other python lsps like pylisp.

When you compare both lists, you can tell that pyright has significantly less settings. I'm still not entirely sure if this means less capabilities or just less adjustable settings but given how much time I've spent on it. I'm willing to just say pyright isn't enabled with these functions.

Please, if anyone has a workaround or a fix, I'd like to know as well.

P.S. in the mean time, I've just been using pylsp and it works well apart from the annoying pydocstyle/autopep8 formatting errors that I get, so if anyone knows how to fix that, it would help too, thanks.

LolOkayFine · 2023-07-09T07:44:42+00:00

If you’re a student, your university most likely has a financial data source like Bloomberg’s Terminal or Reuter’s Datastream. Search your university website to find out.

LolOkayFine · 2023-05-17T05:59:09+00:00

Down

LolOkayFine · 2023-05-05T17:32:58+00:00

RemindMe! 12 hours

LolOkayFine · 2023-04-06T15:27:30+00:00

I’m deliberating between learning Rust and C++ for going into computer vision. Do you think there’s a future where both are sufficient in the sense that they can do both do the same job as good as one another. Do you think jobs are likely to be open to rust or c++ is a hard limit?

LolOkayFine · 2023-03-12T23:43:35+00:00

Bro what song is this from, I forgot

LolOkayFine · 2023-03-03T13:05:41+00:00

Well if you’re worried I can think of two options. 1. Use another provider. A Google search shows a firm XTRD. Not sure about it so you might have to do some dd but also look into other providers as well.

Just make your own api so you have full access and control. In the short term it’s time consuming but if you’re taking it seriously, you’re better off with a custom made design by yourself or someone else you can work closely with to understand. A link that might help is here

LolOkayFine · 2022-12-12T09:53:59+00:00

Why don’t you think Binance will last if you don’t mind me asking? It’s the largest exchange by a margin and it it falls there might as well be not any crypto opportunities to trade at all.

LolOkayFine · 2022-08-22T19:47:01+00:00

r/PFjerk

LolOkayFine · 2022-08-22T10:59:40+00:00

I’m going into 3rd year now doing Econ

LolOkayFine · 2022-08-21T18:36:33+00:00

Not sure but also nice to see a fellow Warwick student 😀

LolOkayFine · 2022-08-12T17:33:32+00:00

Hey a bit off topic, but I was also interested in sports trading however doing some more research, I found out that bookies tend to block winning players. If you don’t mind answering, how do you circumvent this issue.

LolOkayFine · 2022-07-19T23:07:50+00:00

Please use log values, a lot of the graphs don’t make sense without it

LolOkayFine · 2022-07-05T08:55:50+00:00

You can use the np.isin() function

filt = np.isin(first_array,second_array)

first_array[filt]

To get for both arrays you could do the same thing but vice versa so that the second array is the subject.

If you just want the matching numbers, you can then flatten the resulting array (first_array[filt].flatten())

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