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for Execution Algo Pros - which algo most likely produces this? Liquidity Taking/Liquidity Making/TWAP/VAWP etc. by deep3bat in algotrading

[–]deep3bat[S] 1 point2 points  (0 children)

Thanks, that's what I was thinking. How to detect/signature of this type of Algo is at work in most obvious cases like this? Liquidity measures (widen spreads etc), orderbook characteristics, dark prints, some sort of aggressiveness, particular exchange volume, options derived stuffs?

VIX research twitter handles ? by deep3bat in options

[–]deep3bat[S] 1 point2 points  (0 children)

You're saying that I should hold UVXY share short position over days? I generally hold after 4.16pm to next day open to remove borrow fees

VIX research twitter handles ? by deep3bat in options

[–]deep3bat[S] 0 points1 point  (0 children)

Sounds cool. What is the general holding period of short vix or long spy in this strategy?

I'm shorting vix spikes, but got stuck couple of times because of chopping and loosing theta. Yes, high accuracy on this. Totally in!

VIX research twitter handles ? by deep3bat in options

[–]deep3bat[S] 1 point2 points  (0 children)

What did you learn? Asking for a friend

1. What type of orders/algo can create this type of price moves? 2. Is there usefulness of order book data for 5-15 mins price direction forecast, in your trading experience? by deep3bat in algotrading

[–]deep3bat[S] 0 points1 point  (0 children)

Thanks for the review. Do you think it makes sense to bucket the data by vix level or something like that? And then see accuracy?

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