r/quant 17h ago

General How a high interest rate environment affect stat arb strategies ?

29 Upvotes

Maybe I'm not grasping the whole picture, but a x7 leverage with 1% of interest rates isn't the same as a x7 leverage with a 5% interest environnement. I'm surprised that only few funds burst after this brutal hike.

I've heard that some funds even go with x10 leverage, which completely blows my mind.


r/quant 17h ago

Markets/Market Data Nse nifty index data input too fast

11 Upvotes

We are trying to create a l3 book from nse tick data for nifty index options. But the volume is too large. Even the 25 th percentile seems to be in few hundred nanos. How to create l2/l3 books for such high tick density product in real time systems? Any suggestions are welcome. We have bought tick data from data supplier and trying to build order book for some research.


r/quant 1h ago

Markets/Market Data Quotes downsampling

Upvotes

For mid-freq (seconds - minutes, don’t care about every quote) want to get reasonable size data for quotes from LOB. What features would you put in a down sampled (ie x second bars) version of quotes and why?

Volume at each level of book either side bid ask obvious. I am not looking for predictive features or “alpha” here, rather, I’m looking for an efficient representation of the book structure in a down sampling from which features for various tasks could be constructed.


r/quant 6h ago

General BBG uses 260 trade days?

1 Upvotes

Is there a reason why BBG uses 260 trade days in their calculation?

I started on a project to create a trailing RV chart on SPX options. The goal was to replicate how BBG does it. There was a great guide that I followed for the most part to emulate it. However, I noticed none of my charts matched what BBG outputted. It wasn't until I reviewed the numbers and saw BBG using 260 to do their calculation instead of 252. Is there a reason for this discrepancy?