Lead-lag / latency real time monitoring

[nikol]

@doomanx



Lead value (tau) enters into risk estimation, hence, yes, it has an impact on market order submission policy and impacts limit order price. In a sense tau may change such that my signal is lagging prices. In this case I have to be aware and switch quoting machine from the signal into 'actual market'.



Thank you for directions, I m looking into it (Spectral clustering is a thing).

[mrdivorce]

I was also looking into this a while back, it didn't go anywhere on account of other things but I remember stumbling across https://github.com/philipperemy/lead-lag. I've not actually looked at it so no idea if it's suitable for purpose but who knows, maybe it'll help