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Python For Finance: Algorithmic Trading

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Re: Python For Finance: Algorithmic Trading

#21

Post by ice109 »

TACIXAT wrote: post #19

I went to the Quantopian conference for their basic training on algorithmic trading. This blog post was pretty much what they covered, intro to pandas and a simple strategy. There is a lot of educational material on their site too (which is what you ended up getting in the paid training). My biggest thing with the Python for Finance books - I know Python, I want to learn finance. All these books are the inverse of th…

those are indeed good lectures but they are not math for finance per se - more like dynamic programming for econ/finance. my impression is that finance as such is a hodge-podge of econ/accounting/business.

Re: Python For Finance: Algorithmic Trading

#22

Post by Maven911 »

TACIXAT wrote: post #19

I went to the Quantopian conference for their basic training on algorithmic trading. This blog post was pretty much what they covered, intro to pandas and a simple strategy. There is a lot of educational material on their site too (which is what you ended up getting in the paid training). My biggest thing with the Python for Finance books - I know Python, I want to learn finance. All these books are the inverse of th…

Did you find the conference worth it ? I was thinking of going to it as well or even going to the online version since it's a lot cheaper but ended up not taking part.

Re: Python For Finance: Algorithmic Trading

#23

Post by Veratyr »

NicoJuicy wrote: post #17

I have a simple manual algorithm that took me from 650€ to 1450€ now (as test) in 2 months. Does someone here have experience with algo trading in c#?

I won't say I have "experience" but quantconnect.com is as good a platform as I've found for C#. Their engine is open source so you don't have to rely on them either, though you'll need to provide your own data if you run it yourself.

Re: Python For Finance: Algorithmic Trading

#24

Post by pmart123 »

TACIXAT wrote: post #14
pmart123 wrote: post #13

Personally, I struggle to see the competitive advantage Quantopian brings. They use retail brokerage platforms to facilitate trading, which rules out anything close to HFT. Then, they are tied to any financial data vendor (Morningstar in this case) to not offer too much visibility on the underlying data. As others have mentioned, this makes it tough to validate aspects like adjusted vs. as reported earnings, how deli…

My understanding is that Quantopian has no interest in being a platform for HFT. It's there to democratize trading strategies and test them in a sound way. They do a lot to have a good backtesting platform and clean the data that is available in the platform. If I wanted to automate a strategy, I'd have to figure out the Robinhood API and basically recreate what they have. Instead, I can use their platform, their bac…

I understand they don't, but the execution options could matter. Retail brokerage platforms don't actually send your orders to the exchange: http://www.schwab.com/public/schwab/nn/legal_compliance/impo.... If your turnover is very low, and your trade size is small, this shouldn't make an impact in liquid products, but only having market and limit orders can be very limiting. Granted, IB is probably the best retail platform, but it's not perfect. Even a smart beta strategy would likely have 4X turnover to an index. I do hope they succeed, and perhaps they begin offering a more open, premium offering to compete with Capital IQ, etc. I just have a hard time seeing how operating as a fund-of-funds essentially is a good business model considering the CAPEX they have to build the software. I could see it as a way to build, test, and then offer a premium back-testing platform or portfolio analysis/attribution tool once they've ironed out the bugs. There's a lot more money in that business than in fund-of-funds.

Re: Python For Finance: Algorithmic Trading

#26

Post by vxxzy »

pmart123 wrote: post #13

Personally, I struggle to see the competitive advantage Quantopian brings. They use retail brokerage platforms to facilitate trading, which rules out anything close to HFT. Then, they are tied to any financial data vendor (Morningstar in this case) to not offer too much visibility on the underlying data. As others have mentioned, this makes it tough to validate aspects like adjusted vs. as reported earnings, how deli…

They're searching for "alpha" strategies. Then they buy/share profit with the creator... I have a hunch that they are feeding these good strategies to some type of ML in order to become more efficient and profitable.

Re: Python For Finance: Algorithmic Trading

#27

Post by tejaswiy »

On a side note, the market continues to do well and I've been noticing this trend of active-trading, real-estate investing gurus crawl out of the wood work selling services.

Please do not try to trade actively unless that's your full-time job. Passive investing using index funds is definitely not sexy, but it gets the job done.

Re: Python For Finance: Algorithmic Trading

#28

Post by rl3 »

Veratyr wrote: post #23
NicoJuicy wrote: post #17

I have a simple manual algorithm that took me from 650€ to 1450€ now (as test) in 2 months. Does someone here have experience with algo trading in c#?

I won't say I have "experience" but quantconnect.com is as good a platform as I've found for C#. Their engine is open source so you don't have to rely on them either, though you'll need to provide your own data if you run it yourself.

QuantConnect also offers tick-level data, though not full resolution if memory serves. Still way ahead of Quantopian in any case.

Re: Python For Finance: Algorithmic Trading

#29

Post by fenwick67 »

nickthemagicman wrote: post #25

How is algorithmic trading not equivalent to astrology? Nothing can be predicted because there's way too many confounding factors.

The net gain in stock trading is usually positive in the long run, even if you just buy and sell randomly. Just look at the DJIA.

Re: Python For Finance: Algorithmic Trading

#30

Post by jaredbroad »

rl3 wrote: post #28
Veratyr wrote: post #23

Earlier quoted context omitted.

I won't say I have "experience" but quantconnect.com is as good a platform as I've found for C#. Their engine is open source so you don't have to rely on them either, though you'll need to provide your own data if you run it yourself.

QuantConnect also offers tick-level data, though not full resolution if memory serves. Still way ahead of Quantopian in any case.

Futures have millisecond timestamps (trades/quotes), equity trade ticks are rounded to the nearest second, cfd/forex are millisecond quote bars. For options we have minute resolution data =)
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