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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Event protocol؟

Definition 18.3 Market Making and High-Frequency Trading · الفصل 18 — News and Event Trading

An event protocol is a market maker’s written schedule for a known event: when to cancel or widen quotes before it, which inputs must be updated before quoting resumes, when and how wide to re-enter, and which limits apply until normal quoting resumes.

Spread less mark-outs earned by quoting from the re-entry time until two minutes after a release, in tick-lots, when post-release flow starts at twenty-one times normal and decays over thirty seconds and its mark-out starts at three ticks and decays over five; dashed, a market maker that never pulled its quotes, after its loss in the race. Data: hf_news.reentry_curve.
Figure 18.1. Spread less mark-outs earned by quoting from the re-entry time until two minutes after a release, in tick-lots, when post-release flow starts at twenty-one times normal and decays over thirty seconds and its mark-out starts at three ticks and decays over five; dashed, a market maker that never pulled its quotes, after its loss in the race. Data: hf_news.reentry_curve.
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