I'm interested in getting started with Algo Trading, but I'm not really sure where to dig in. I have a BA in economics and finance and did a capstone in pricing derivatives. Any good recommendations on how to get started? Any good MOOCS or books?
Ask HN: How do I get started with Algo trading?
1–10 of 18 posts
Re: Ask HN: How do I get started with Algo trading?
#2https://www.quantopian.com/ has a great community, lots of examples & tuts available, and you can look at everyone else's algos. It's free, there's free backtesting, etc. They're a "crowdsourced hedge fund" using Python and the zipline library.
Re: Ask HN: How do I get started with Algo trading?
#3One of the best resources I've seen is Mike Halls-Moore's QuantStart: https://www.quantstart.com/articles
Re: Ask HN: How do I get started with Algo trading?
#4If you're in the NYC or bay area, there are a few quant groups on meetup.com that have regular events. Might be a good place to drop in.
Re: Ask HN: How do I get started with Algo trading?
#5If you're considering algo trading as a career then be sure to talk to a lot of people doing it. I spent several years trying to break in to the industry at a few prop firms with only middling success. Here are my observations:
1. The vast majority of firms only hire people with CS or math degrees from top 10 schools, with an MS being the minimum. There are few exceptions.
2. Nobody is making as much money as they used to.
3. Depending on what firm you end up at you will probably spend a lot less time building cool strategies and a lot more time trying to shave off a few microseconds here and there.
4. Be prepared for a pretty rough work environment. Swearing, violent outbursts, people being secretive and not sharing ideas.
5. If you're lucky, management will be STEM people. If you're not, they will be former floor traders who have managed to stay alive this long.
Re: Ask HN: How do I get started with Algo trading?
#6I would start by getting industry experience and understanding how some of these trading firms are businesses, not speculative machines. From that understanding, you should be able to have a better idea of where algos might provide some sustainable value.
Source: I was offered a spot at CTC, wound up at a large bank. Maybe the better wording would be, "truly understand market making and market mechanics, and where improvements there could be valuable, and then see if algos could solve that problem." Algos have solved lots of problems but when you have a hammer everything looks like a nail. Technology was the limiting factor in markets for awhile, and right now the technology isn't the bottleneck, it's the politics and the people - see Bitcoin. But before you go full Marc Andressen, remember that finance is fundamentally about using the massive trust and resource allocation system within the human society, and so to think every valuable problem in the space can be solved by an algo may be dated thinking.
Re: Ask HN: How do I get started with Algo trading?
#7If you're considering algo trading as a career then be sure to talk to a lot of people doing it. I spent several years trying to break in to the industry at a few prop firms with only middling success. Here are my observations: 1. The vast majority of firms only hire people with CS or math degrees from top 10 schools, with an MS being the minimum. There are few exceptions. 2. Nobody is making as much money as they us…
I'm like you trying to break into prop trading (Ms applied mathematics) would you think it is still possible to 'make a career' in this kind of stuff? Or would you advise getting a PhD first? How was your experience at the prop firms?
Re: Ask HN: How do I get started with Algo trading?
#8Surely you'll find interesting Stockfighter [1], a trading game developed by three members of this community; Erin Ptacek (elptacek), Thomas Ptacek (tptacek) and Patrick McKenzie (patio11).
Re: Ask HN: How do I get started with Algo trading?
#9If you're considering algo trading as a career then be sure to talk to a lot of people doing it. I spent several years trying to break in to the industry at a few prop firms with only middling success. Here are my observations: 1. The vast majority of firms only hire people with CS or math degrees from top 10 schools, with an MS being the minimum. There are few exceptions. 2. Nobody is making as much money as they us…
I'm like you trying to break into prop trading (Ms applied mathematics) would you think it is still possible to 'make a career' in this kind of stuff? Or would you advise getting a PhD first? How was your experience at the prop firms?
I gave up ~3 years ago. I had to choose between aggressively pursuing low-paying trading jobs or being pursued for high-paying tech jobs. The decision was pretty easy for my family and me. As we'd say in the industry, I went were the edge was. I'd recommend doing the same -- the security, stress level, work/life balance, work environment, and transferability of skills is much better in tech than trading.
Put concisely: if you can't handle seeing a smaller paycheck next month because a guy on your team pressed the wrong button and lost $50k in 10 seconds then trading is not for you.
If you want to get in I would recommend as much math and programming as possible. A PhD probably isn't necessary, an MS from a top school will do. You'd better be prepared to do programming, math, AND arithmetic in interviews, though. I once had a options trading interview that included ten "please multiply 148 by 72 in your head, we'll wait" questions.
Re: Ask HN: How do I get started with Algo trading?
#10Earlier quoted context omitted.
I'm like you trying to break into prop trading (Ms applied mathematics) would you think it is still possible to 'make a career' in this kind of stuff? Or would you advise getting a PhD first? How was your experience at the prop firms?
I gave up ~3 years ago. I had to choose between aggressively pursuing low-paying trading jobs or being pursued for high-paying tech jobs. The decision was pretty easy for my family and me. As we'd say in the industry, I went were the edge was. I'd recommend doing the same -- the security, stress level, work/life balance, work environment, and transferability of skills is much better in tech than trading. Put concisel…
> I'd recommend doing the same...
Sadly this advice only applies to USA... E.g. UK has such an over-abundance of IT workforce that tech salaries are significantly below US despite comparable cost of living.