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 21, 2022 - Volume and volatility forecasts form the core of any execution algorithm, specifically those following a VWAP strategy, such as QB’s STROBE and CLOSER algos. QB’s volume modeling is sophisticated in several ways as it adapts to regimes and seasonality such as roll-periods and month-ends. This article analyzes the volume profiles of ES futures, but the pattern is consistent across several futures.
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Feb 24, 2022 - Given the profound changes in microstructure variables and the rise of algorithmic trading over the years, we study changes in the trade size clustering across active contracts (ES and ZN) using ten years of data.
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Feb 16, 2022 - As we embark upon the rates futures roll-period, we analyze the mid-month changes in the microstructure variables of the rates futures and compare the same against the previous roll periods.
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Feb 3, 2022 - Our findings include the recent month’s averages of rates and equity index futures and their deviations from December 2021 and the previous 3-years.
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