Signals

Once limit order books are built, every time they are updated due to new incoming market data information, we build signals using the new information.

Signals are called by various names—signals, indicators, predictors, calculators, features, alpha, and so onbut they all have roughly the same meaning.

A trading signal is a well-defined piece of intelligence that is derived from incoming market data information, limit order books or trade information that allows a trading strategy to get a statistical edge (advantage) vis-à-vis other market participants and, thus, increased profitability. This is one of the areas where a lot of trading teams focus much of their time and energy. The key is to build a lot of signals in order to have an edge over the competition as well as keep adapting existing signals and adding new signals to deal with changing market conditions and market participants. We will revisit this in one of the later chapters, as this will be a large focus of this book.

..................Content has been hidden....................

You can't read the all page of ebook, please click here login for view all page.
Reset
3.81.57.77