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Algorithmic Trading: A Practitioner’s Guide

henrikwarne.com

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Re: Algorithmic Trading: A Practitioner’s Guide

#21

Post by c54 »

TacticalCoder wrote: post #20

> There is also a special order type called post-only. It is designed to only supply liquidity, never take liquidity. If the market moves between the decision to send out an order, and the order reaching the exchange, the order will not cross. Instead, it will be hidden, or cancelled. This makes it easier for algorithm designers to get the behavior they intend (that is, resting orders will not accidentally be convert…

You might have multiple strategies in the same symbol, one intended to send out post-only orders and one intended to send out crossing orders. Niche functionality like this can help achieve that separation of concerns.

Crossing orders are considered liquidity taking rather than providing since they're interacting with another market maker's resting (providing) orders.

Re: Algorithmic Trading: A Practitioner’s Guide

#22

Post by robswc »

ari_giblets wrote: post #7
kilgnad wrote: post #3

How 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...

> And avoid some code bug causing them to lose all their money

Well, everything has a non 0 chance but you can code certain conditions that have to be met before an order goes through.

IMO, you would have to have significant capital to even end up in a situation where a bug causes lots of loss.

Here is an example of something you might be thinking of.

https://www.henricodolfing.com/2019/06/project-failure-case-...

> Not get lose all their money to some company's API fees

It's not too bad these days. A lot of brokers offer "zero-fees" which really just means you only have to pay the SEC ones which aren't too bad.

Re: Algorithmic Trading: A Practitioner’s Guide

#23

Post by TacticalCoder »

c54 wrote: post #21
TacticalCoder wrote: post #20

> There is also a special order type called post-only. It is designed to only supply liquidity, never take liquidity. If the market moves between the decision to send out an order, and the order reaching the exchange, the order will not cross. Instead, it will be hidden, or cancelled. This makes it easier for algorithm designers to get the behavior they intend (that is, resting orders will not accidentally be convert…

You might have multiple strategies in the same symbol, one intended to send out post-only orders and one intended to send out crossing orders. Niche functionality like this can help achieve that separation of concerns. Crossing orders are considered liquidity taking rather than providing since they're interacting with another market maker's resting (providing) orders.

> Crossing orders are considered liquidity taking rather than providing since they're interacting with another market maker's resting (providing) orders.

Ah that's interesting!

Re: Algorithmic Trading: A Practitioner’s Guide

#24

Post by paulpauper »

Trading seems dauting, especially when your competition are HFTs and huge firms, but there are even very simple patterns that can be profitable, that does not require any advanced coding, APIs, huge troves of data, quant formulas, etc.

Once such simple method, which still works, is to short BTC and go long QQQ/SPY during market hours if there is relative weakness of BTC before the market open, whilst going long QQQ/SPY. Both legs are exited at the market close.

This has been very profitable. Even the most advanced firms are bound to miss easy strategies. Pattern recognition, intuition are more valuable when to comes to trading than having more data or better tools.

Re: Algorithmic Trading: A Practitioner’s Guide

#25

Post by hnthrowaway0315 »

codeisawesome wrote: post #8

I always wonder if this space hasn’t been entirely cornered by HFTs. Isn’t it futile as an individual?

Back in the day I was day trading a stock at a gig that provides high speed internet and professional trading software. Many of us did have medium to long term profitability, so I guess it's the same for algo trading.

Re: Algorithmic Trading: A Practitioner’s Guide

#27

Post by siftrics »

TacticalCoder wrote: post #20

> There is also a special order type called post-only. It is designed to only supply liquidity, never take liquidity. If the market moves between the decision to send out an order, and the order reaching the exchange, the order will not cross. Instead, it will be hidden, or cancelled. This makes it easier for algorithm designers to get the behavior they intend (that is, resting orders will not accidentally be convert…

> I'd argue that an order that'd immediately be filled does provide liquidity to the market overall.

No, it takes liquidity, by definition.

Re: Algorithmic Trading: A Practitioner’s Guide

#28

Post by jjtheblunt »

tsss wrote: post #9
codeisawesome wrote: post #8

I 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.

Is that essentially what Warren Buffett and Charlie Munger do?

Re: Algorithmic Trading: A Practitioner’s Guide

#29

Post by alienalp »

paulpauper wrote: post #24

Trading seems dauting, especially when your competition are HFTs and huge firms, but there are even very simple patterns that can be profitable, that does not require any advanced coding, APIs, huge troves of data, quant formulas, etc. Once such simple method, which still works, is to short BTC and go long QQQ/SPY during market hours if there is relative weakness of BTC before the market open, whilst going long QQQ/S…

By the relative weakness do you just mean price drop? And how can SPY be hedge considering bitcoins incomparable volatility. Are position sizes proportional to volatility or something like that?

Re: Algorithmic Trading: A Practitioner’s Guide

#30

Post by paulpauper »

codeisawesome wrote: post #8

I always wonder if this space hasn’t been entirely cornered by HFTs. Isn’t it futile as an individual?

Someone who merely bought and held tech stocks, like Apple & Nvidia, beat virtually all funds since 2009. There are always ways to make money even when your competitors have such advanced tools. The world of finance is big enough that there are opportunities for players of all sizes and resources. Look how badly AQR has done despite hiring from such a qualified talent pool.
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