Introduction In programmatic trading, it is often necessary to calculate averages and variances, such as calculating moving averages and volatility indicators. When we need high-frequency… ( Read More )
Construction and Application of Market Noise
Welcome all traders to my channel, I am a Quant Developer, specializing in full-stack development of CTA, HFT & Arbitrage trading strategies.Thanks to the FMZ… ( Read More )
PSY Factor Upgrade and Transformation
Welcome all traders to my channel, I am a Quant Developer, specializing in full-stack development of CTA, HFT & Arbitrage trading strategies.Thanks to the FMZ… ( Read More )
High-Frequency Trading Strategy Analysis - Penny Jump
High-frequency trading is a challenging and competitive field that relies on rapid trade execution and sensitive insights into the microstructure of the market. One notable… ( Read More )
Alternative Trading Ideas--K-line Area Trading Strategy
Looking at a not-so-reliable trading idea -- the K-line area trading strategy, in this article, we will explore the concept and try to implement the… ( Read More )
How to Measure Position Risk - An Introduction to the VaR Method
Controlling risk is a skill that every investor needs to learn. With the rapidly changing and evolving cryptocurrency market, algorithmic traders need to focus on… ( Read More )
Thoughts on High-Frequency Trading Strategies (5)
In the previous article, various methods for calculating mid-price were introduced, and a revised mid-price was proposed. In this article, we will delve deeper into… ( Read More )
Thoughts on High-Frequency Trading Strategies (4)
The previous article demonstrated the need for dynamically adjusting parameters and how to evaluate the quality of estimates by studying the order arrival intervals. This… ( Read More )
Thoughts on High-Frequency Trading Strategies (3)
In the previous article, I introduced how to model cumulative trading volume and analyzed the phenomenon of price impact. In this article, I will continue… ( Read More )
Thoughts on High-Frequency Trading Strategies (2)
Accumulated Trading Amount Modeling In the previous article, we derived an expression for the probability of a single trade amount being greater than a certain… ( Read More )