Comments for Tr8dr

Comment on Bitcoin: Needs Cross-Exchange “Prime Brokerage” by tr8dr

tr8dr — Fri, 14 Jul 2017 12:17:22 +0000

I think the problem still exists. There may be some startups / solutions in stealth mode attempting to address this problem.

Comment on Bitcoin: Needs Cross-Exchange “Prime Brokerage” by hunterhorsley

hunterhorsley — Fri, 14 Jul 2017 01:06:05 +0000

Have any solutions to this emerged since 2015?

Comment on Pricing & Regime (part 1) by Javicka (@javicka)

Javicka (@javicka) — Mon, 01 May 2017 20:24:25 +0000

Years ago I used maybe a bit interesting way to calculate mean price. I was estimating 1D Ornstein-Uhlenbeck process parameters on the mid-price. I found estimated OU mean to be more adaptable to changing volatility compared to moving averages. Interestingly, estimated mean-reversion rate parameter tended to drop below zero on short windows I used, which served as a good momentum indicator.

Comment on Detecting Price Direction in Order Flow by Javicka (@javicka)

Javicka (@javicka) — Thu, 06 Apr 2017 07:47:58 +0000

In reply to tr8dr.

thanks for the comment. I’ve been able to figure out a decent directional strategy by weighting different LOB indicators. will be usable for MM style strategy too, I think. I also learned the value of queue position, have little idea how to work with this so far. Most of the information online seems to be garbage.
I can understand the security concerns when it comes to bitcoin, even Coinbase who looked good to me had an ugly hack last year. I did some hard work on the engine that I wrote from scratch, but one only needs to write this once I guess.

Comment on Detecting Price Direction in Order Flow by tr8dr

tr8dr — Tue, 04 Apr 2017 22:07:21 +0000

In reply to Javicka (@javicka).

Thanks, I have been doing proprietary work that I can’t write about for a while. From my experience there is short-term predictability in order book movements, more suitable to HFT and market making. I have backed away from trading bitcoin due to security concerns, however found that the bitcoin book data is quite rich. A problem for bitcoin is that some exchanges don’t readily provide the book data unless you have a special arrangement with them. Also hard to keep up with the pace of change and the relatively large # of exchanges out there.

Comment on Detecting Price Direction in Order Flow by Javicka (@javicka)

Javicka (@javicka) — Tue, 04 Apr 2017 22:01:57 +0000

played with the idea a while ago on Coinbase data, I couldn’t extract a signal myself.
http://prnt.sc/esii5z
amazing blog btw, hope it takes off again

Comment on Minimum Covariance Determinant by Taking Out the Outliers - Rayner Gobran LLC

Taking Out the Outliers - Rayner Gobran LLC — Wed, 04 Jan 2017 19:21:46 +0000

[…] post was inspired by a posting on the Tr8dr Blog. The original source paper in which the details of the algorithm are specified is “A Fast […]

Comment on Switch Hitting by yáng (@QinYangGL)

yáng (@QinYangGL) — Thu, 04 Aug 2016 20:56:31 +0000

I do think Visual Studio is the beset IDE around though. Especially now that we have the Community version of VS2015.

Comment on About by tr8dr

tr8dr — Sun, 17 Jul 2016 09:42:09 +0000

In reply to yáng (@QinYangGL).

Thank you – I’ve not been active with this for a while, but may start again …

Comment on About by yáng (@QinYangGL)

yáng (@QinYangGL) — Sat, 16 Jul 2016 23:58:22 +0000

This is by far the most informative and detailed blog I have ever read so far! Thank you so much and hope you can keep it going. Have a nice day!