Formula δ1

QR, HFT

[Formula δ1 @FormulaDeltaOne]

AMA - Shill me your HFT/algo strategy idea and I’ll tell you why it won’t work.

[Formula δ1 @FormulaDeltaOne]

@bennpeifert @AgustinLebron3 Benn, have you tried coding with Copilot or anything similar recently?

[Formula δ1 @FormulaDeltaOne]

@0xLoris Haha, fair point. I’ve been so busy lately!

[Formula δ1 @FormulaDeltaOne]

A lot of people suddenly followed me today. At first I didn’t know why, because I wasn’t tagged in anything etc. Then I stumbled upon this post/list. TY for the reminder, I should post some actionable edges again. 🤣

If I get over 10k, I might do some 🧵s again.

[cephalopodshop @macrocephalopod]

I also have a list of people who are genuinely worth following who sometimes reveal actionable edges, obviously it’s a lot shorter https://t.co/f1mf4b3GkT

[Formula δ1 @FormulaDeltaOne]

@notgodcomplex96 @macrocephalopod @therobotjames @nunchi @karpathy Uh oh, AI agents found market making 😳

[Formula δ1 @FormulaDeltaOne]

What’s the AI version of putting laser eyes on your profile pic?

[Formula δ1 @FormulaDeltaOne]

@quantymacro @GryptoGoon

[Formula δ1 @FormulaDeltaOne]

RIP Voidmage Prodigy

[Formula δ1 @FormulaDeltaOne]

@macrocephalopod @DeepDishEnjoyer @laserboat999

[Formula δ1 @FormulaDeltaOne]

@EvgenyGaevoy @macrocephalopod Emdash strikes again.

[Formula δ1 @FormulaDeltaOne]

@macrocephalopod You have “bet with a friend”, right? 😉

[Formula δ1 @FormulaDeltaOne]

@elletwocache @systematicls Gotta make it at least 10 000…

[Formula δ1 @FormulaDeltaOne]

@ViewsOfPiyush @ltrd_ If it were bigger, it would be too much.

[Formula δ1 @FormulaDeltaOne]

@ViewsOfPiyush @ltrd_ Well actually it’s not micro, it’s just the right size.

[Formula δ1 @FormulaDeltaOne]

@macrocephalopod The trouble with responses like these is they just give more exposure/reach to the slop.

[Formula δ1 @FormulaDeltaOne]

@macrocephalopod Delta-1 engines as well 🥵

[Formula δ1 @FormulaDeltaOne]

@macrocephalopod @systematicls @systematicls is AB testing rage bait intensity

[Formula δ1 @FormulaDeltaOne]

@TheSpeculator0 But that would have awoken the Ents and they would have marched towards Isengard.

[Formula δ1 @FormulaDeltaOne]

@o_wutang Of all the things that didn’t happen, this didn’t happen the most.

[Formula δ1 @FormulaDeltaOne]

@6_Figure_Invest Ok, we have distinct terminology. If your statement boils down to “never send market orders without pre-specified price” than it is trivially correct (for any market, not specifically options) and I would subscribe to it. 🤝

[Formula δ1 @FormulaDeltaOne]

I don’t understand the “you’re not guranteed to get the b/a you see” point. Obviously if you send pure market orders with no price specified than you can probably buy for infinity and sell for zero, but who does that? I meant that you send an IOC with a specified price.

[Vance Harwood @6_Figure_Invest]

Market orders trade price certainty for execution certainty, and limit orders do the reverse.

Three reasons to not use market orders for options, and two reasons where market orders make sense:
1. With a market order you are not guaranteed to get the bid/ask you see, it can change at any point, and if it does your fill won't match what you expected.
2. Unless the bid/ask spread is very tight you can often do better than the listed spread by putting in a limit order inside the spread. I usually start a the mid-price point between the bid/ask. This works particularly well with combination orders like spreads/butterflies where you are trading multiple options with multiple strikes/expirations/direction (buy or sell). Mid-price fills are common.
3. If you are trading in size, multiple contracts, then you will likely get fills at different prices, always worse than the quoted bid/ask with a market order.

When to use market orders?
1. For very liquid securities that have options with very tight spreads. The bid/ask prices are fluid and there is very low risk that your will get a bad fill
2. In fast markets where you want/need the trade to fill immediately. Chasing a market that is moving away from you with limit orders is a bad idea, the risk is much higher than the potential gain.

Limit orders for light traded ETF are often a good practice also.
https://t.co/5dVcaTEQ5C

[Formula δ1 @FormulaDeltaOne]

Also, if you “trade in size”, your limit orders are gonna stick out from the order books, so you are guaranteed some slippage.

[Formula δ1 @FormulaDeltaOne]

In that case the only thing that can happen is that someone hits/lifts/cancels the level before (in which case the price is already running away from you, but no “bad” fill) or someone tightens in the opposite direction (in which case you get a better price than your IOC price).