<t>Hi Folks,While building a successful mean reverting strategy, one always runs the risk on not completing the order if the prices do not revert back to their historical mean.A scenario would be when the prices keep moving upwards and a mean reverting strategy will almost not buy anything. How does...

Hi WellBe,I do not remember the exact source but I think I read some where that around 10% of US Equity trade volume is in dark pools daily.

Thanks for the pointers. Will check them out. Any books that you can recommend will be a good helping hand. I read a few chapters from Trading & Exchanges By Larry Harris but does not seem to be answering my questions.Thanks Again,Dece

Sorry, if this question is too lame .. but how can one figure out where price discovery is happening?

<t>Hi Folks,I have a couple of questions related to dark pools.1) Practically speaking, do the trades in dark pool impact displayed/open markets?2) Alternatively, do the prices in the open displayed market affect trading in the dark pools? At a very basic level, the dark pool orders are completely h...

Excuse me if this question is too basic but what is the concept of getting ahead of the queue?If someone gets ahead of the queue with a better price then why not. What is so wrong about it?

Hi All,Why are there special rules for odd lot orders? What makes them so special from an algo trading perspective?Gracias,Dece

<t>Hello All,In calculating latency between order submissions, a simplistic way would be to delay for a random time period before re-submitting an order.A better approach could be to do something like calculate some sort of market impact (MI) based on an order before re-submitting. If MI is low, one...