January 3rd, 2025 - We outline a simple strategy to make crossing decisions based on the dynamics of the bid-ask spread, comparing its current value to forecast future values.
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December 17th, 2024 - We analyze trends in volumes over the late December period covering Christmas and the New Year. Typically, market volumes drop sharply during this period and so it is important to be aware of this when planning trades. This note is intended as a guide for such planning with the expectation that the same volume patterns will occur this year.
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November 8th, 2024 - We implement a new logic for the On-The-Run Treasuries Smart Order Router (SOR) for aggressive crosses, which allocates quantities across venues based on a ranking algorithm that uses the venues’ market impact and fill ratio.
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November 5th, 2024 - In the spring of 2024, QB began a project to improve algorithm behavior, especially for small-tick assets: those with bid-ask spread larger than the minimum price increment, and with thin order books having small size and few orders.
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July 17th, 2024 - We recently improved our algo performance in rolls by fine-tuning our aggressive cross signal and improving our accuracy in tracking our queue position. Read more.
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July 17th, 2024 - QB’s algos combine market state identification in real-time with fill probability for dynamic limit order placement and other hyperparameters for order placement.
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February 25th, 2024 - The net asset manager’s (AM) position of the U.S. 10-year futures from the Commitment of Traders (COT) report is at a 3-year high. The Figures show credibility to our roll forecasts model.
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January 25th, 2024 - In this article, we will mainly look at month-end intra-minute volume profiles of Cash Treasury around the benchmark timing of 4:00 p.m. Eastern Time. Additionally, we also analyze the price profiles around the benchmark timing.
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November 20th, 2023 - Our recent research examines how block trades impact futures markets and interest rate product calendar spreads.
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September 15th, 2023 - This paper provides comprehensive details of robust regression, which was referenced in our previous paper, "Robust Cost Modeling."
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September 15th, 2023 - The purpose of this note is to contrast the usual ordinary least squares regression (OLS), which uses a normal error model, against a robust model that uses a log-cosh error model as described in the paper.
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June 26, 2023 - In this paper, we use the concept of cross-correlation to assess the pairwise cross-impact between futures and different cash Treasury venues.
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Mar 31, 2023 - We provide proof of concept solutions to solve trade execution problems using deep reinforcement learning (RL) and classical methods.
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Mar 9, 2023 - ASX 3-Year futures (YT) tick size was increased in October 2022. This paper aims to analyze the impact of the tick size increment on the microstructure changes.
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Jan 3, 2023 - In this paper, we analyze the cash Treasury volume profiles to improve our volume modeling according to the recent changes in the market structure.
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Dec 14, 2022 - We cluster instruments by microstructure variables using Variation Autoencoder for aggregation and accommodate for limited order level data.
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Jul 1, 2022 - Acting on aggressive-aggressive opportunities for basis trading requires care, and here we give an example of the type of analysis we are using to improve our basis execution.
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May 3, 2022 - QB’s volume forecast model accommodates month-end seasonality in CME futures, which improves model performance across the entire QB Algo Suite.
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April 26, 2022 - This article uses QB production orders data to analyze QB’s arrival-price slippage performance during previous roll periods for CGB outrights and calendar spreads.
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March 31, 2022 - The average production slippages of CLOSER algo improved in most commodity futures compared to the original algorithm.
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