Comments for Hack the market http://www.puppetmastertrading.com/blog Algorithmic trading experiences Sun, 05 Jul 2009 06:10:09 +0000 http://wordpress.org/?v=2.6.3 Comment on doubling down with levered ETFs by tito http://www.puppetmastertrading.com/blog/2009/04/22/doubling-down-with-levered-etfs/#comment-4211 tito Sat, 04 Jul 2009 11:14:26 +0000 http://www.puppetmastertrading.com/blog/?p=455#comment-4211 Certainly it's moribund, but perhaps not dead yet... Certainly it’s moribund, but perhaps not dead yet…

]]> Comment on doubling down with levered ETFs by Craig http://www.puppetmastertrading.com/blog/2009/04/22/doubling-down-with-levered-etfs/#comment-4197 Craig Fri, 03 Jul 2009 19:28:50 +0000 http://www.puppetmastertrading.com/blog/?p=455#comment-4197 Is this blog dead now? Is this blog dead now?

]]> Comment on execution quality at the open & close by tito http://www.puppetmastertrading.com/blog/2008/08/01/execution-quality-at-the-open-close/#comment-3170 tito Tue, 26 May 2009 12:54:29 +0000 http://www.puppetmastertrading.com/blog-test/?p=77#comment-3170 Would you share some details on those feeds as others may find it useful? Sorry, I don't know of papers that specifically address market impact on the open or close. Would you share some details on those feeds as others may find it useful?

Sorry, I don’t know of papers that specifically address market impact on the open or close.

]]> Comment on execution quality at the open & close by Eric D http://www.puppetmastertrading.com/blog/2008/08/01/execution-quality-at-the-open-close/#comment-3165 Eric D Tue, 26 May 2009 10:22:09 +0000 http://www.puppetmastertrading.com/blog-test/?p=77#comment-3165 Tito - Thanks for the response. I found several data feeds that do what I need. I have some Matlab code written to evaluate the order execution on MOC orders as well as some Opening Gap entries. I think the bigger challenge for me will be to evaluate how to handle MOO & MOC entries in many instruments. Specifically, I would like to be able to say 'my desired order size will move the market up to reduce my potential profit by x.x%, therefore I should reduce my share size and increase the number of instruments I am trading'. Have you found any academic or other papers that go into this concept at all? I haven't found too much so far in my search. Regards, Eric Tito - Thanks for the response. I found several data feeds that do what I need.

I have some Matlab code written to evaluate the order execution on MOC orders as well as some Opening Gap entries. I think the bigger challenge for me will be to evaluate how to handle MOO & MOC entries in many instruments. Specifically, I would like to be able to say ‘my desired order size will move the market up to reduce my potential profit by x.x%, therefore I should reduce my share size and increase the number of instruments I am trading’. Have you found any academic or other papers that go into this concept at all? I haven’t found too much so far in my search.

Regards,
Eric

]]> Comment on execution quality at the open & close by tito http://www.puppetmastertrading.com/blog/2008/08/01/execution-quality-at-the-open-close/#comment-3136 tito Mon, 25 May 2009 14:02:40 +0000 http://www.puppetmastertrading.com/blog-test/?p=77#comment-3136 Hi Eric, Sorry for the delay in responding... I only just noticed these comments. I'm not aware of any "retail level" feeds that provide this level of detail, but I'd expect they exist. The NYSE's TAQ data certainly can be combed to glean this data though the cost is ~$1K/month and the real cost is hidden in managing the mass of data. I'd expect that any feed that accurately provides the executing exchange should be adequate as the correct MOO price can be determined where the trade is the first of the day on the "listing" exchange and the MOC price can be similarly determined by finding the last trade of the day from the listing exchange. Yahoo's data is accurate for the MOC but not the MOO as they seem to be interpreting the first price of the day as the first price after 9:30am on any exchange. I believe this explains the discrepancy I'd detailed in this post. Figuring out, for any given feed, if you're getting the right MOO & MOC prices is easy enough as you just need to trade on the open and close and compare the prices you got to the prices your feed provides. As for market impact, we never trade more than an analysis of recent MOO/MOC volumes suggests we can reasonably get away with... Best, Hi Eric,

Sorry for the delay in responding… I only just noticed these comments. I’m not aware of any “retail level” feeds that provide this level of detail, but I’d expect they exist. The NYSE’s TAQ data certainly can be combed to glean this data though the cost is ~$1K/month and the real cost is hidden in managing the mass of data.

I’d expect that any feed that accurately provides the executing exchange should be adequate as the correct MOO price can be determined where the trade is the first of the day on the “listing” exchange and the MOC price can be similarly determined by finding the last trade of the day from the listing exchange. Yahoo’s data is accurate for the MOC but not the MOO as they seem to be interpreting the first price of the day as the first price after 9:30am on any exchange.

I believe this explains the discrepancy I’d detailed in this post.

Figuring out, for any given feed, if you’re getting the right MOO & MOC prices is easy enough as you just need to trade on the open and close and compare the prices you got to the prices your feed provides.

As for market impact, we never trade more than an analysis of recent MOO/MOC volumes suggests we can reasonably get away with…

Best,

]]> Comment on execution quality at the open & close by Eric D http://www.puppetmastertrading.com/blog/2008/08/01/execution-quality-at-the-open-close/#comment-1402 Eric D Fri, 03 Apr 2009 17:37:19 +0000 http://www.puppetmastertrading.com/blog-test/?p=77#comment-1402 Have you found any more information on this? I am still working on this strategy & am wondering how accurate the data published in retail level data feeds is. I have investigated the concept a bit and found that the feeds are said to be inaccurate as they generally use the first trade as the open price instead of the primary market opening cross. Do you know of any retail level data feeds that provide the primary exchange's opening price? Regards, Eric Have you found any more information on this? I am still working on this strategy & am wondering how accurate the data published in retail level data feeds is. I have investigated the concept a bit and found that the feeds are said to be inaccurate as they generally use the first trade as the open price instead of the primary market opening cross.

Do you know of any retail level data feeds that provide the primary exchange’s opening price?

Regards,
Eric

]]> Comment on Terms by Bojesomo-Muili http://www.puppetmastertrading.com/blog/terms/#comment-1336 Bojesomo-Muili Wed, 01 Apr 2009 09:26:07 +0000 http://www.puppetmastertrading.com/blog-test/?page_id=21#comment-1336 I love this image and will like to have it downloaded on my laptop. I love this image and will like to have it downloaded on my laptop.

]]> Comment on and this little piggy hollowed out our nation… by Hack the market » an inconvenient question http://www.puppetmastertrading.com/blog/2009/01/08/and-this-little-piggy-hollowed-out-our-nation/#comment-1087 Hack the market » an inconvenient question Sat, 21 Mar 2009 00:26:18 +0000 http://www.puppetmastertrading.com/blog/?p=318#comment-1087 [...] I’m generally in agreement with Michael Lewis and the many others who’ve observed that the magnitude of the AIG bonuses (~$170M) in these times is farcical at least and more likely even a pretty transparent case of manufactured misdirection.  Heck, Hank Paulson (boy, he sure dropped off the planet in a hurry!) could fill the gap with the proceeds from his own personal tax scam. [...] [...] I’m generally in agreement with Michael Lewis and the many others who’ve observed that the magnitude of the AIG bonuses (~$170M) in these times is farcical at least and more likely even a pretty transparent case of manufactured misdirection.  Heck, Hank Paulson (boy, he sure dropped off the planet in a hurry!) could fill the gap with the proceeds from his own personal tax scam. [...]

]]> Comment on Fool’s gold by Hack the market » pimp that strat http://www.puppetmastertrading.com/blog/2007/09/26/fools-gold/#comment-1053 Hack the market » pimp that strat Wed, 18 Mar 2009 14:29:10 +0000 http://www.puppetmastertrading.com/blog-test/?p=19#comment-1053 [...] consequence of the foundational problem of back-testing about which I first started posting on this blog.  For any given period of time (that has already elapsed!), it’s not difficult to generate a [...] [...] consequence of the foundational problem of back-testing about which I first started posting on this blog.  For any given period of time (that has already elapsed!), it’s not difficult to generate a [...]

]]> Comment on unsung virtues of a dynamic hedge by Hack the market » goldman hacks http://www.puppetmastertrading.com/blog/2008/06/04/unsung-virtues-of-a-dynamic-hedge/#comment-986 Hack the market » goldman hacks Thu, 12 Mar 2009 18:46:19 +0000 http://www.puppetmastertrading.com/blog-test/?p=63#comment-986 [...] first post on the topic, “unsung virtues of a dynamic hedge” published June 4th of last year, was pretty coy and didn’t mention the source of alpha itself [...] [...] first post on the topic, “unsung virtues of a dynamic hedge” published June 4th of last year, was pretty coy and didn’t mention the source of alpha itself [...]

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