Algorithmic Trading: A Practitioner’s Guide • Hacker News Board

Re: Algorithmic Trading: A Practitioner’s Guide

#41

Post by porb121 » Mon, Feb 13, 2023, 3:51 AM UTC

siftrics wrote: post #27

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.

if someone bids 10000000 shares for mid, and I hit their bid, who provided the liquidity?

Re: Algorithmic Trading: A Practitioner’s Guide

#42

Post by dawsoneliasen » Mon, Feb 13, 2023, 3:54 AM UTC

synergy20 wrote: post #31

is this the same as 'quant trading'? I heard fresh outs who got offer from quant-trading companies making like half-million a year before their bonus.

I think it’s more or less the same idea, quant trading typically refers to people doing quantitative analysis as part of a larger strategy, and algorithmic trading is all about actually executing trades automatically. Definitely significant overlap

Re: Algorithmic Trading: A Practitioner’s Guide

#43

Post by dawsoneliasen » Mon, Feb 13, 2023, 3:56 AM UTC

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?

Think of it like any active trading strategy, or day trading, just that you’re automating it. It’s possible, but it’s a lot of work, and it’s very risky.

Re: Algorithmic Trading: A Practitioner’s Guide

#44

Post by nemo44x » Mon, Feb 13, 2023, 4:03 AM UTC

ryeguy wrote: post #37

nemo44x wrote: post #35

Is there a more socially unproductive, legit practice than this?

This is such weird commentary that pops up on every algotrading post. Why does it have to be socially productive? No one makes the claim it is.

It’s parasitic.

Re: Algorithmic Trading: A Practitioner’s Guide

#45

Post by nemo44x » Mon, Feb 13, 2023, 4:04 AM UTC

auntienomen wrote: post #39

nemo44x wrote: post #35

Is there a more socially unproductive, legit practice than this?

This is an article about how pension funds and other large players use algorithms to reduce their trading costs. You have a problem with that? Or did you not know you were in a Wendy's?

Yeah that’s maybe an edge case at best. It’s nickel vacuuming in most instances.

Re: Algorithmic Trading: A Practitioner’s Guide

#46

Post by c_o_n_v_e_x » Mon, Feb 13, 2023, 4:06 AM UTC

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…

>Pattern recognition, intuition are more valuable when to comes to trading than having more data or better tools.

I have a few friends in the equities business and this topic always comes up over drinks. It would seem that in the age of GPU farms and open source ML tools, are we to a point where patterns are so subtle or short-lived that only a machine could pick up on them?

Re: Algorithmic Trading: A Practitioner’s Guide

#47

Post by aleksiy123 » Mon, Feb 13, 2023, 4:07 AM UTC

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?

https://www.quantconnect.com

Is a platform I experimented with and found pretty solid. I definitely learned some things however, I realised the amount of effort I needed to put in would be better used elsewhere.

Re: Algorithmic Trading: A Practitioner’s Guide

#48

Post by paulpauper » Mon, Feb 13, 2023, 4:14 AM UTC

TuringNYC wrote: post #33

paulpauper wrote: post #30

Earlier quoted context omitted.

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.

>> Someone who merely bought and held tech stocks, like Apple & Nvidia, beat virtually all funds since 2009. This is both absolutely correct, and entirely in-actionable since it uses hindsight. The question would be...what are the two stocks to buy to beat the market for the next 13yrs.

It does not have to be as cherrypicked as individual stocks. Even something as broad as 'buying and holding an index fund' beats almost all funds and strategies. Doesn't quant funds also rely on hindsight? There are no guarantees that strategies will keep working.

Re: Algorithmic Trading: A Practitioner’s Guide

#49

Post by siftrics » Mon, Feb 13, 2023, 4:15 AM UTC

porb121 wrote: post #41

siftrics wrote: post #27

Earlier quoted context omitted.

> I'd argue that an order that'd immediately be filled does provide liquidity to the market overall. No, it takes liquidity, by definition.

if someone bids 10000000 shares for mid, and I hit their bid, who provided the liquidity?

You can argue about this philosophically, but if you talk to literally anyone in the industry, they will understand that

- "taking liquidity" is taking existing orders off the orderbook and

- "making [liquidity]" is opening new orders that rest on the orderbook

It's the terminology of the industry.

Re: Algorithmic Trading: A Practitioner’s Guide

#50

Post by qnt » Mon, Feb 13, 2023, 4:16 AM UTC

nemo44x wrote: post #44

ryeguy wrote: post #37

Earlier quoted context omitted.

This is such weird commentary that pops up on every algotrading post. Why does it have to be socially productive? No one makes the claim it is.

It’s parasitic.

You can buy or sell 1 share of apple for a bid/ask spread of 1 cent today, or 0.006% of the stock price, and pay no commission to do so. There are very few other examples out there where pure competition between market participants have made things so cheap as to be indiscernible from free.

Parasites indeed