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Ask HN: Any high frequency trading hackers

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Re: Ask HN: Any high frequency trading hackers

#31

Post by a904guy »

i2pi wrote: post #27
a904guy wrote: post #22

Earlier quoted context omitted.

You can also download daily tick data from Yahoo Finance for free, They offer bid/ask, volume, and adjusted closes.

"Tick data" refers to trade by trade execution data. Daily data is end of day summary data. If you are doing HFT, you need tick data and the market depth. Huge volumes of data compared to daily close data.

Aye, Tick data is needed for HFT, no doubt there. I was actually talking towards this thread which mentioned that they should try algorithmic trading first. Which you can build a successful system around daily closes, as long as you plan to hold your equity for over a 24hr period.

Re: Ask HN: Any high frequency trading hackers

#32

Post by a904guy »

astroguy wrote: post #23
a904guy wrote: post #16

I've been working on an algorithmic trading system using machine learning, it is not HFT currently. It is currently daily (24h+ held equities), the intra-day side (~5-60 minute held equities) will come very quick after I feel comfortable with the machine learning side of things. The source of data will change, and a few tweaks to the actual trading system and it will be running intra-day. The HFT will only come aroun…

Awesome! I am more than interested to step into. Could you please shoot me an email to aliengeek4u at gmail dot com

I will shoot you an email in the morning.

Re: Ask HN: Any high frequency trading hackers

#34

Post by Dn_Ab »

astroguy wrote: post #28
Vivtek wrote: post #2

Light speed seems to be a pretty important problem - the added benefit being if you crack that nut, further employment will be unnecessary.

Ah, quantum teleportation is the promising one to overcome current propagation delay.

what do you mean? transmission of actual information from quantum entanglement based results are still bounded by classical channels.

Re: Ask HN: Any high frequency trading hackers

#35

Post by logicwins »

a904guy wrote: post #29
Dn_Ab wrote: post #24

Earlier quoted context omitted.

can you go more into the machine learning parts? i love such uses of ML, so futuristic.. im guessing you use either some kind of genetic algorithm or neural networks as is most common? or something else entirely?

Absolutely So the system is built around the ~50 different indicators and oscillators that I've found the formulas for generating. These "methods" are variable driven, meaning each method could have 1 to 4 variables ranging between 0.0001 to 260. The current testing platform that it self manages has the end goal to find the highest gain after commissions using a combination of any of these methods for opens and close…

Also interested. I have wanted to try GAs with this same general approach for awhile but I have a trading background not a coding one. logicwins atthe gmail dot com.

Re: Ask HN: Any high frequency trading hackers

#36

Post by Dn_Ab »

a904guy wrote: post #29
Dn_Ab wrote: post #24

Earlier quoted context omitted.

can you go more into the machine learning parts? i love such uses of ML, so futuristic.. im guessing you use either some kind of genetic algorithm or neural networks as is most common? or something else entirely?

Absolutely So the system is built around the ~50 different indicators and oscillators that I've found the formulas for generating. These "methods" are variable driven, meaning each method could have 1 to 4 variables ranging between 0.0001 to 260. The current testing platform that it self manages has the end goal to find the highest gain after commissions using a combination of any of these methods for opens and close…

Awesome. It sounds like you are running some kind of stochastic optimization algorithm on the data points and also doing so across a cluster! Are you eventually gonna leverage GPUs on the machines as well? Also, do you have a blog or something?

>I tried to keep it very basic explanation, there is a lot of other things that go on, to make this all work flawlessly.

nope, was more than enough. Don't want you to give away your secret sauce :D. Is the system in production yet?

Re: Ask HN: Any high frequency trading hackers

#37

Post by ricosroughnecks »

a904guy wrote: post #32
astroguy wrote: post #23

Earlier quoted context omitted.

Awesome! I am more than interested to step into. Could you please shoot me an email to aliengeek4u at gmail dot com

I will shoot you an email in the morning.

I used to trade Forex (had a small startup). I'm looking to get back into the game. Currently working on a few algorithms that I'd like to test out, soon. I'd love to bounce some ideas around with you. Email is in my profile!

Re: Ask HN: Any high frequency trading hackers

#38

Post by mdolon »

a904guy wrote: post #16

I've been working on an algorithmic trading system using machine learning, it is not HFT currently. It is currently daily (24h+ held equities), the intra-day side (~5-60 minute held equities) will come very quick after I feel comfortable with the machine learning side of things. The source of data will change, and a few tweaks to the actual trading system and it will be running intra-day. The HFT will only come aroun…

It looks very interesting! If you need/want help with interface design and front-end of the application, shoot me an e-mail (my username at gmail).

Re: Ask HN: Any high frequency trading hackers

#39

Post by ajays »

a904guy wrote: post #16

I've been working on an algorithmic trading system using machine learning, it is not HFT currently. It is currently daily (24h+ held equities), the intra-day side (~5-60 minute held equities) will come very quick after I feel comfortable with the machine learning side of things. The source of data will change, and a few tweaks to the actual trading system and it will be running intra-day. The HFT will only come aroun…

Where do you get the data? I've found that access to (inexpensive) sources of data to be a problem. For backtesting, I'd love to get historical data; even a sample would do. A long time ago, Island used to make their data available. Then they were bought out by NASDAQ, and no more data :-(

Re: Ask HN: Any high frequency trading hackers

#40

Post by arram »

jeffmiller wrote: post #15
SandB0x wrote: post #3

You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1

There is a fledgling Hacker-News-for-quants at http://quant.ly . The site is still building critical mass, but most of the current users are experienced quants & HF traders. (Disclaimer: I launched the site)

I nearly launched quantly.com a year ago. Almost bought the .ly but held off on it. Surprising to see someone using the domain here.
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