Recent content by mizhael

if I have the value date of 1WEEK forward of EURUSD, and have the value date of 1WEEK forward of CADUSD I want to form a cross EURCAD what's the value date of that 1WEEK forward on EURCAD? the biggest of the two value dates I have on hand?

Hi all, I keep getting confused. There are two ways I can trade, one is spot and the other is forwards. Trading spots and holding positions for more than a few days necessitate the need for adjusting for the carry effect. Trading forwards at a flexible time horizon necessitate the need for...

Anybody please point me to the details of VWAP. I know the general idea. but how do you really work VWAP operationally, with market order or limit order? Any pointers to indepth reading would be greatly appreciated! Thank you!

how do you construct a carry-adjusted time series for backtest FX? Suppose you want to have the flexibility of not only doing tick data intraday, but also the position will be last for a few days or even a few months so you need to adjust the data for carry effects. How to do that? The goal is...

If you trade spots and hold for some time (say mid-term to long term), how does your bank roll your position internally? If you trade forwards and hold for mid-term to long term, how does your bank roll your position internally? I heard you would almost prefer to trade forwards instead of...

Okay, thanks for your reply. Here is the message I want to convey: This is probably not a pure social group (yeah, it's a good idea to hang out with fellow traders for drinks, but that's probably another thread). This is more of a "study-group" type - a group of highly motivated people who want...

Let's form a group, meet and chat, help each other on everything about HFT: (1) sharing educational resources (2) discussing backtest challenges and solutions in HFT (3) discussing order execution and fighting latency, etc.

Thanks yet a few questions: 1. When you do day-counts, do you take holidays and/or weekends into account? 2. You have the following 3 data points: the settle date for spot, the settle date for SN, the settle date for 1W forward, you can use any two data points to do the linear interpolation...

How, exactly, in detailed steps?

Okay, it was originally a 7-day forward, traded/incepted on 5/10/2010. What's the value of this contract end-of-day yesterday (5/13/2010)? What's the value of this contract right now today (5/14/2010)? What we do have are the data as follows: 1. Spot, Spot-Next, 1-w Forward on 5/10/2010...

I just don't know how to do it correctly...

For example, for a FX forward 1-week for EURUSD, you entered that position on May 10, 2010, what's the value of that position on May 11, 2010, and ... and then today? I am trying to use Bloomberg Spot, Spot Next and 1-Week forward data points to interpolate and get the value of 6-day...

Any way of evaluating the significance of the the merger of their brokeage units?

Quants can go to stat-arb, or high frequency shops. The stat-arb guys research on finance literature and design trading strategies, which can be fun too. The high frequency guys are essentially market-making, using speed as an advantage. And they can make consistent and stable return even in bad...

yep, that's what I've been doing... but still, i need opinions