Questions tagged [cryptocurrency]
The cryptocurrency tag has no usage guidance.
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where can i get all the depth levels of orderbook data for BTC?
Right now, I was able to get an orderbook snapshots data for BTCUSDT in Binance. The problem with this data is that each depth level of the orderbook increases every 5 cents or so. For total of 20 ...
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Do perpetual futures have initial and variation margins?
When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place?
I'll expand on my point:
Perpetual futures without leverage. For example, we want ...
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Can MACD with a broad range of parameter combinations beat Buy and Hold under the Efficient Market Hypothesis?
I conducted a study with Moving Average Convergence Divergence (MACD)s in the range of
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Boosting models for algo trading
I’m currently working on a xgboost model to predict the price change above or below a given percentage between a candle’s open price and the next candle’s close price. I use a wide range of features, ...
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Is it possible to exchange one stock for another without cash as an intermediary?
According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
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Where to get crypto data without survivorship-bias (delisted coins accounted for)? [duplicate]
What are folks using for their crypto data needs.
I am looking for a provider of Crypto data - free of survivorship bias and should at least have the top 20 coins historically.
As this research paper ...
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How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?
The title is similar to that of the question I was referred to here which has been answered by Lehalle himself!
I'm trying to implement the Gueant-Lehalle-Tapia model which is how I got to this answer ...
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Searching for minute binned OHLCV Cryptocurrency data from 5 January 2018 to 7 September 2018
As the title states, searching for OHLCV data (USD) from the dates listed for these coins:
[ADA, BCH, CVC, DASH, EOS, ETC, ETH, LTC, MANA, OMG, BCN, BTC, CND, DATA, ETP, GNT, NEO, NXT, QASH]
I'm a ...
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When you have negative weights in the context of portfolio construction, what is the correct way normalize them?
For context, I am building an eigenportfolio following the conventions of Avellaneda and Lee Statistical Arbitrage in the U.S. Equities Market (2008), and I get negative weights for eigenportfolios 2,...
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how does prediction markets automated market makers work with examples?
I am trying to replicate the prices in prediction markets
For example on below manifold calculates, how does new probability and payout estimate changes on manifold
or on Futuur example similarly, ...
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At what threshold on delta percentage should I hedge my option portfolio?
I am able to identify and build an option portfolio with long/short call/put options across different strikes and expiries such that the gamma is positive and cost is negative. Upon inception I hedge ...
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Binance crypto exchange inflow/outflow data, how to calculate from API data? [duplicate]
Does anybody know hot to calculate coin inflow/outflow volumes from Binance API?
Thank you!
P.S. is supply/demand figures something different?
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How does unwinding of long BTC futures positions prevent further downside risk/decrease in prices of BTC/Crypto?
This seemed like the most appropriate stack exchange for this question even though the question isn't strictly quantitative, but I hope it's ok.
I read an article(Article Below) and can't seem to ...
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Why do exchanges apply a fixed interest rate as part of the funding rate for perpetual futures?
Some exchanges, such as Binance, charge a fixed interest rate as part of the funding rate. Having longs pay shorts doesn't quite make sense to me because it causes spot to trade rich to perpetuals ...
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Any crypto exchanges with one-cancel-others order type?
I have an Interactive Broker account to trade regular stocks. They have a One Cancel Others order type that allows me to put both a stop loss (SL) and take profit (TP) order on a single position.
Is ...
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