This is a summary of links featured on Quantocracy on Monday, 10/19/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Did the CME Data change impact your strategies? [System Trader Success]Effective September 21, 2015 the CME changed the closing time for futures that closed at 5:15 PM ET from 5:15 to 5:00 PM. The CME did this because the volume from 5:00 PM to 5:15 PM just wasnt that significant. My initial thought was no big deal, my strategies hardly ever traded during that time anyhow. Turns out, I was wrong. It could be a HUGE deal, depending on your strategies.
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Changing Notions of Risk Management in Automated Trading [Quant Insti]Algorithmic trading risks can be categorized into the following: Access Consistency Quality Algorithm Technology Scalability There are 2 places where Risk Management is handled Within the application We need to ensure that wrong parameters are not set by the trader. It should not allow a trader to set grossly incorrect values nor any fat-finger errors. Before generating an order in the