Algorithmic Trading: A Practitioner’s Guide
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Algorithmic Trading: A Practitioner’s Guide
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Re: Algorithmic Trading: A Practitioner’s Guide
#2The best book that I've read on order execution was "Algorithmic Trading and DMA". [0]
The book is kind of old now, but it was written by Barry Johnson, who worked at Morgan Stanley on their algo trading team.
The book is kind of dry, but very thorough and clear on its concepts. It reads more like a university text book than anything else. It just goes through concepts one by one, chapter by chapter.
[0]: https://www.amazon.co.uk/Algorithmic-Trading-DMA-introductio...
Re: Algorithmic Trading: A Practitioner’s Guide
#3How would I implement algorithmic trading at home? And would this be a viable idea if I knew what I was doing? Has anyone done this successfully?
Re: Algorithmic Trading: A Practitioner’s Guide
#4A colleague here tried to break into the trading world as an adult. He had a reference to be a member with a small cozy firm where his accounts could be held. He got "direct market access" (?) with a trading terminal that he said was good quality. Yet when I watched him work for several weeks each day, he was locked out of a SELL order more than once.. it didn't go through in any reasonable amount of time and he ended up losing some client's money and that was sort of the end. I don't know enough to know what happened, but it seemed like he was just pushed aside somehow, despite the cautious and reputable (?) parts he used. SF in the oughts iir
Re: Algorithmic Trading: A Practitioner’s Guide
#5How would I implement algorithmic trading at home? And would this be a viable idea if I knew what I was doing? Has anyone done this successfully?
There are platforms like alpaca.markets that deal with all the infra-aspects and allow you to concentrate on the algorithm part.
Re: Algorithmic Trading: A Practitioner’s Guide
#6How would I implement algorithmic trading at home? And would this be a viable idea if I knew what I was doing? Has anyone done this successfully?
see also https://openbb.co/
as for has anyone, well, there's the infamous wallstbets on reddit but also the less infamous /r/algotrading where you may have better luck with the question
Re: Algorithmic Trading: A Practitioner’s Guide
#7How would I implement algorithmic trading at home? And would this be a viable idea if I knew what I was doing? Has anyone done this successfully?
I'd like to know how an individual can do this, 1) And avoid some code bug causing them to lose all their money, and 2) Not get lose all their money to some company's API fees...
Re: Algorithmic Trading: A Practitioner’s Guide
#8I always wonder if this space hasn’t been entirely cornered by HFTs. Isn’t it futile as an individual?
Re: Algorithmic Trading: A Practitioner’s Guide
#9I always wonder if this space hasn’t been entirely cornered by HFTs. Isn’t it futile as an individual?
HFT exploits very short lived movements. If you had some algorithm to predict long-term trends, then you could beat HFT without relying on low latency.
Re: Algorithmic Trading: A Practitioner’s Guide
#10My favorite bit is when you connect it to core war. I was just thinking about core war in context of my PL class today. Core war renaissance!