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Ask HN: Anyone making money through algorithmic trading?

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Re: Ask HN: Anyone making money through algorithmic trading?

#211

Post by windowshopping »

e12e wrote: post #170
philipodonnell wrote: post #166

Earlier quoted context omitted.

"Volatility" in the term "Volatility Trading" does not mean the stock's movements, it is a way of measuring the excess value in an option beyond what the parameters of the option would imply. That excess value is usually referred to as the market's assumption about the future volatility of the stock, but really its just an error term influenced by market participants based on supply and demand. Low volatility means "…

So it's "buy low, sell high" - but for options, not stocks? [ed: that's to say, you need a way to get more/accurate pricing information than reflected in the market - but for options, not assets]

Yes, this is how the guy I was referring to explained it to me~ he created a pricing model to predict errors/inaccuracies in the market's model, and was thus able to know when an option was likely to move towards a different price to correct itself.

Re: Ask HN: Anyone making money through algorithmic trading?

#212

Post by hliyan »

jameskegel wrote: post #30
hliyan wrote: post #16

Earlier quoted context omitted.

Concur. You won't be able to beat players whose HFT systems are colocated in the same datacenters as the exchange. And you will not be able to beat those systems built using lower level languages like C++ or, worse yet, dedicated hardware. Source: 5+ years in HFT development

I’d be interested in picking up what you are putting down. Do you have a blog or other content channel?

Unfortunately I got tired of that world around 2013 and moved to the food services industry. I usually write here: https://medium.com/@hnlean but it has little to do with HFT anymore...

Edit: actually, see my response to the neighboring comment too.

Re: Ask HN: Anyone making money through algorithmic trading?

#213

Post by hliyan »

InterestBazinga wrote: post #65
hliyan wrote: post #16

Earlier quoted context omitted.

Concur. You won't be able to beat players whose HFT systems are colocated in the same datacenters as the exchange. And you will not be able to beat those systems built using lower level languages like C++ or, worse yet, dedicated hardware. Source: 5+ years in HFT development

Why does a programming language matter in terms of algorithms? Can you elaborate on that?

Every microsecond counts. We've done some pretty crazy sounding things to get the last bit of juice out of the system:

1. Write a converter to convert a proprietary interpreted business rule language to C++

2. Make all messages fit the maximum ethernet frame size to avoid fragmentation overhead

3. Make the transported message format the same as the memory object format to avoid the packing/unpacking overhead

4. Predict and pre-allocate object pools in heap memory to avoid heap lock overhead

5. Statically link all libraries

6. Optimize key functions at assembly level

7. Turn all record ID's into zero based indexes and covert most lists and maps into arrays for rapid lookup

8. No indexes or foreign constraints in the rapid-write areas of DB

9. Hand rolled on-disk cache file formats that only operate in append mode to prevent seek overhead

10. And finally (this was after my time) trying to implement the TCP stack in FPGA

Re: Ask HN: Anyone making money through algorithmic trading?

#214

Post by dssilver66 »

jason_slack wrote: post #155

I am in this boat right now. I have been writing my own tools, refining my algos and getting ready to try my ideas. If anyone wants to talk about it, I am hap to share what I am working on to help others.

Hey Jason, I too have written my own tools and am hap to share. How do people get in touch directly on this site?

Re: Ask HN: Anyone making money through algorithmic trading?

#215

Post by anonu »

I doubt there are systematic strategies you would run from home on a high frequency scale.

There are plenty of longer time horizon non systematic strategies that the big firms probably do not care so much about where you can make some money, mostly in special sits.

I've run also run a medium term systematic options premium harvesting strategy in my PA... It was profitable. But I ran out of discretionary ammo.

Re: Ask HN: Anyone making money through algorithmic trading?

#216

Post by harry8 »

carbocation wrote: post #90
dalacv wrote: post #82

Earlier quoted context omitted.

did u just admit to insider trading?

That is absolutely not within the definition of insider trading.

No it isn't.

A single piece of non-public information that would move the market. Trading on that information is insider trading. Think "we have undisclosed losses equal to 5 times annual earnings" that your brother told you at a bbq. That is insider trading.

Inferring the existence of some information based on many other pieces of information isn't just legal, it is encouraged. "These guys must have some big undisclosed losses, remember how Mary used to talk about engineering projects and how she talks at BBQs now? Bob was saying his HR dept. is insanely busy. Ahmed resigned and took a job that looks like a step down for him. Ok I'm a sell on this." That is equity research and to be encouraged.

Re: Ask HN: Anyone making money through algorithmic trading?

#217

Post by harry8 »

the_cat_kittles wrote: post #21

wouldnt you rather do something to earn money?

Tightening the spread reduces everyone's transaction costs. Successful algo trading takes money away from existing market making traders and splits that money with those who need to trade for reasons of capital allocation, financing and hedging. It's straight up price comeptitive under cutting in the most darwinian way possible. Less money sticks to the financial system, more money in the hands of business to expand and build stuff. More money in your retirement savings.

I think that's doing something.

Re: Ask HN: Anyone making money through algorithmic trading?

#218

Post by evbots »

headmelted wrote: post #98

I hacked together my own scripted system that would arbitrage cryptocurrency across exchanges. It worked (for the most part), but it's been abandoned now. The best way I can think of to describe why is to say that while the low hanging fruit exists, there's far too little juice in it for it to be worth the squeeze. Others have explained that the problem they've encountered is counter-party risk in that some exchanges…

Yeah, I tried doing this as well. But you're right, the spread on the arbitrage pretty much vanishes as soon as you try to do any kind of significant volume. I suspect my trading pair was "too" liquid. This could possibly be a viable option for coins that don't see a lot of volume. Or, maybe for a short period after a new coin is added to an exchange and there's a period of high volatility.

Re: Ask HN: Anyone making money through algorithmic trading?

#219

Post by QuackingJimbo »

arisAlexis wrote: post #198
clevernapkins wrote: post #171

I have an equities strategy that I run on IB. I think it is possible to generate alpha with a small account if you do it right e.g. don't compete with big funds in HFT. There's a cool article about this by Robert Carver who used to be a portfolio manager at one of the top quant funds. https://qoppac.blogspot.co.uk/2015/11/david-versus-goliath.h...

do you think IB would close an account for algo trading? I have bad experience with sportsbooks

IB and sportsbooks are completely different

IB charges you a fee and then matches your trade with someone else. After this trade happens, IB no longer carries any risk

Sportsbooks charge you a fee and then take the other side of your bet themselves

Re: Ask HN: Anyone making money through algorithmic trading?

#220

Post by jason_slack »

dssilver66 wrote: post #214
jason_slack wrote: post #155

I am in this boat right now. I have been writing my own tools, refining my algos and getting ready to try my ideas. If anyone wants to talk about it, I am hap to share what I am working on to help others.

Hey Jason, I too have written my own tools and am hap to share. How do people get in touch directly on this site?

My email is in my profile.
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