Posts With Tag: Hft

Options allow us to make a bet on something without having to own it. But what are we actually buying? Let’s define calls, puts, strikes, and expiries, and see how they lead us to volatility and the Greeks.

Approximate option prices using the second-order Delta-Gamma Taylor expansion, with an interactive mental math trainer.

In an high-frequency trading environment, we need to have a trading system which provides interfaces for receiving data and interacting with the market for our trading models (the mathematical or algorithmic logic that analyses data and decides how to trade). One really important thing to first consider in our trading system is to separate it from our trading models. If our trading system is coupled with our trading models, it can become a nightmare situation to modify model behaviour or to add new, fundamentally different models as the time it will take to implement them will be too much.