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The Quants Run Wall Street Now

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Re: The Quants Run Wall Street Now

#141

Post by SirLJ »

dsacco wrote: post #127
SirLJ wrote: post #104

Earlier quoted context omitted.

Thanks,but you don't have to prove anything to me... my trading account is my proof that I don't have to compete with the flash boys to make money, so I don't care about tick data...

Alright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of be…

Good morning dsacco, I really like your way of thinking based on the other comments you are posting, but I cannot understand why you are so against cheap or free (if we can find it) data? 20 years of OHLCV daily data containing all listed and delisted symbols is perfect for someone who is just starting testing trading ideas like trend following for example, but most importantly will encourage them to think about their money! Your alternative for people to pay $3000 or more will discourage all of them and will leave them to be victims of financial advisors, companies like fintech startups, internet gurus and buy and hold evangelists. This is why I’ll always promote the $100 eBay data until I find a cheaper or a free version, maybe you can help the community here?

Re: The Quants Run Wall Street Now

#142

Post by SirLJ »

Ntrails wrote: post #137
dsacco wrote: post #127

Earlier quoted context omitted.

Alright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of be…

You can come up with "long term" (hold times of weeks I guess) trading ideas with nothing more than close prices right? On the assumption that you only ever trade the auction you'd be getting a reasonable approximation of your actual experience. I mean, I'm not sure I accept the premise that there's enough information there to find significant alpha - but if you assume that he's using a different data source for that…

A+

Re: The Quants Run Wall Street Now

#143

Post by SirLJ »

infinite8s wrote: post #138
dsacco wrote: post #127

Earlier quoted context omitted.

Alright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of be…

Maybe he's the one selling the data.

No good deed goes unpunished here I guess :-(

Re: The Quants Run Wall Street Now

#144

Post by xapata »

nullnilvoid wrote: post #116
xapata wrote: post #110

Earlier quoted context omitted.

You're speaking of long term capital gains. Day trading results in short term gains which are taxed at regular income rates. Margin accounts are also generally foolish; a way to lose money. They are not usually at favorable rates.

The rate for margin is yearly 8% for my brokerage account. The NASDAQ has gone up 15% since Trump got elected. If you use it wisely, it is great leverage. The poor don't even get to use it. They are completely shut out of the opportunity.

How much leverage do you think a poor person should take for speculating in the stock market? 15% annual return on nothing is still nothing. For most poor, doubling salary would have dramatically more impact than doubling their savings account.

Re: The Quants Run Wall Street Now

#145

Post by kasey_junk »

SEJeff wrote: post #61
kasey_junk wrote: post #52

Earlier quoted context omitted.

> Virtu only lost money one day out of 1278 trading days Lost money trading . If they made $1 trading that counted though I assure you that day was a loser from a business perspective. I also have not lost money trading in 3 years, simply by not trading at all. It doesn't really detract from your broader point, which I don't have a strong opinion on but that stat is a pet peeve of mine as it's fairly meaningless.

This is massively incorrect. If Virtu only made $1 trading, they would still make massive amount of $$$ via exchange rebates, as they are a designated market maker. In fact, they aren't the only market maker that does this. A market maker guarantees they'll take trades on both sides of the book, so long as their strategies aren't grotesquely losing, they'll always come out ahead due to exchange rebates. http://www.in…

I actually think that exchange rebates reinforce my point. I've seen algos that would dump trading profit to get their trade levels into particular rebate levels for instance. Those algos would look bad under the metric of "never lost money trading" but look good under the metric of "holistic profitability".

I just am annoyed when people site the former when talking about Virtu, both using it pejoratively or in praise of the firm, because I don't think its a terribly useful thing to say. We can judge Virtu the same way we judge every other firm on the planet, by actual profits, there is no need to come up with a new metric for them.

Re: The Quants Run Wall Street Now

#146

Post by bmpafa »

epmaybe wrote: post #139
bmpafa wrote: post #123

Earlier quoted context omitted.

I think that, in terms of social value, the point of diminishing returns for market making and liquidity has long since passed, especially wrt social value for Avg. Joes & Janes. I def. don't hold Facebook etc in a much higher regard here, but if we're talking about brain drain from socially useful fields, I don't think anyone can credibly argue that finance (esp. HFT et al) provides any meaningful social value. In f…

Every time someone brings up social good, I keep wanting to know what that means. Can we have a truly objective definition of 'social good'? Or is it entirely dependent on the individual person's definition of what that means to them.

I agree that it's not a sufficiently precise term, but I think it's obtuse to suggest it's so ambiguous as to be deceptive or obstructive to discussion.

How's about: an act that is socially valuable has benefits, immediate or otherwise, realized by parties that aren't directly involved in the transaction.

Eg, a blackjack dealer's labor probably only matters to her players and her boss, but a cancer researcher impacts well beyond that. Both can be lucrative, but one is clearly more socially valuable.

Re: The Quants Run Wall Street Now

#147

Post by nradov »

bubblethink wrote: post #128
nradov wrote: post #117

Earlier quoted context omitted.

Some people also turn $20k into $300k by playing the lottery.

Well, crypto markets have much better odds than the lottery right now. Even without understanding the nitty gritties, if you just diversify in the top 10-20ish coins, and set sensible stop losses, you are in a very good position to come out ahead.

The Dutch tulip bulb market also had great odds in 1635. How did that work out? Stop loss orders are ineffective when markets lose liquidity and experience sharp price discontinuities.

Re: The Quants Run Wall Street Now

#149

Post by dsacco »

kasey_junk wrote: post #145
SEJeff wrote: post #61

Earlier quoted context omitted.

This is massively incorrect. If Virtu only made $1 trading, they would still make massive amount of $$$ via exchange rebates, as they are a designated market maker. In fact, they aren't the only market maker that does this. A market maker guarantees they'll take trades on both sides of the book, so long as their strategies aren't grotesquely losing, they'll always come out ahead due to exchange rebates. http://www.in…

I actually think that exchange rebates reinforce my point. I've seen algos that would dump trading profit to get their trade levels into particular rebate levels for instance. Those algos would look bad under the metric of "never lost money trading" but look good under the metric of "holistic profitability". I just am annoyed when people site the former when talking about Virtu, both using it pejoratively or in prais…

In fairness, while I agree with your second paragraph, Virtu's example is a very neat case study for the limited dialectic purpose of demonstrating trading consistency, not necessarily profits. I have found that using profits for this particular debate isn't convincing for others, even if it shows a fuller picture; the actual win rate for trades is a simple and quantifiable point to refute comparisons to e.g. coin flipping because it shows that they are capable of doing something over and over in a market that is claimed to be resistant to such a thing.

Re: The Quants Run Wall Street Now

#150

Post by tzs »

MR4D wrote: post #119
tzs wrote: post #66

Earlier quoted context omitted.

I have a hard time seeing how it could be copyrighted, at least if we are talking about comprehensive stock listings organized in the obvious way (e.g., a table of prices organized by date, where the stocks included are chosen by some straightforward criteria). In the United States I'd expect this to be covered by Feist Publications, Inc., v. Rural Telephone Service Co., 499 U.S. 340 (1991). [1] https://en.wikipedia.…

It's considered a "compilation". Feist addresses this in the links you supplied. However, if you're not used to reading law, this might help explain it in normal English. (Court documents are most definitely not normal English!) https://www.unc.edu/courses/2006spring/law/357c/001/projects...

That was why I threw in the mentions of comprehensiveness, obvious organization, and obvious selection. Feist requires at least a minimum degree of creativity in the organization and selection for a compilation to be copyrightable.

A compilation whose selection criteria is, for example, "everything traded on NASDAQ" and whose organization is "order by date" seems unlikely to me to have sufficient creativity to qualify.

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