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Algorithmic Trading: A Practitioner’s Guide

henrikwarne.com

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Re: Algorithmic Trading: A Practitioner’s Guide

#111

Post by jvanderbot »

hungryforcodes wrote: post #101
reisse wrote: post #98

Earlier quoted context omitted.

> The only other thing I'd say is that if you're in a bull market you may have easy wins. Then after -- when the market turns against you -- these will evaporate. If your algotrading profits depend on market being bull or bear, you're doing it wrong. Volatility matters, not the direction.

Please line up with all the other cranky people to tell r/algotrading -- I'm sure they are interested. Mine work in either market. But I trade on the millisecond lines to avoid market bias. And yes volatility is key. As if confirmation of this approach I see Binance has just recently introduced a 1s chart (effectively 1000ms). However most retail algo traders using indicators use larger time frames that are more susc…

Not that I have liquidity, time, or ability to get into this, but how would one individual get access to ms trade times and data?

Re: Algorithmic Trading: A Practitioner’s Guide

#112

Post by siftrics »

nuclearnice1 wrote: post #103
Galanwe wrote: post #70

Earlier quoted context omitted.

To add on your comment: I don't even think the philosophical discussion makes sense. At the end of the day, what counts as the truth is how much fees you pay when sending a limit order that immediately crosses. And the answer, for every single market on the planet, is "you pay taker fees". Period.

Most futures markets you pay both sides. Some equity venues are pay both sides. Others are “reverse” provider pays.

Even in the markets that have fees on both sides, the maker fees are less than taker fees in almost all cases.

Re: Algorithmic Trading: A Practitioner’s Guide

#113

Post by jwmoz »

Aromasin wrote: post #106
jwmoz wrote: post #97

Not sure why a simple book review has so many upvotes. A couple years ago I read all I could on this and started systematic trading on crypto. Ended up with the best results on a public platform and ran a small trading operation with a few clients, one a crypto market maker. It's really hard due to all the market unknowns, stress and psychology/emotion. After the FTX debacle I lost ~35% of capital. Currently put it o…

It probably has so many upvotes because it's quite a novel topic for HN. You might not appreciate it as much, being in the industry, but algorithmic trading is a field most of us haven't explored. Most of the content on HN is focused on web design to be honest, so things outside of that can get quite a lot of traction.

Ah fair enough. For anyone interested I recommend Trading Systems by Tomasini and Stocks on the move by Clenow.

Re: Algorithmic Trading: A Practitioner’s Guide

#114

Post by EricLeer »

jwmoz wrote: post #97

Not sure why a simple book review has so many upvotes. A couple years ago I read all I could on this and started systematic trading on crypto. Ended up with the best results on a public platform and ran a small trading operation with a few clients, one a crypto market maker. It's really hard due to all the market unknowns, stress and psychology/emotion. After the FTX debacle I lost ~35% of capital. Currently put it o…

Do you have some recommendations on good books on trading systems? I work in the energy trading world, and in general the systems there are behind the financial world by ~10 years.

I hope to learn more about this topic!

Re: Algorithmic Trading: A Practitioner’s Guide

#116

Post by mistrial9 »

nradov wrote: post #40
mistrial9 wrote: post #4

A 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 ende…

Your story doesn't make any sense. Was this guy trading his own account, or was he employed as a proprietary trader, or was he running his own little investment fund using another company's platform? In any case, a legitimate trader won't be "locked out". Are you perhaps referring to a locked market? https://www.investopedia.com/terms/l/lockedmarket.asp

it was years ago.. the man decided on trades and executed them using a kind of terminal and base account that enabled that. Yet, "front running" is commonplace at all levels, in many forms. This man was a legitimate trader with credentials and ID, and when a SELL order was issued (get your money) the order did execute.. but how long did it take ? what prices changed while the order was being queued ?

Re: Algorithmic Trading: A Practitioner’s Guide

#117

Post by ikrenji »

jvanderbot wrote: post #111
hungryforcodes wrote: post #101

Earlier quoted context omitted.

Please line up with all the other cranky people to tell r/algotrading -- I'm sure they are interested. Mine work in either market. But I trade on the millisecond lines to avoid market bias. And yes volatility is key. As if confirmation of this approach I see Binance has just recently introduced a 1s chart (effectively 1000ms). However most retail algo traders using indicators use larger time frames that are more susc…

Not that I have liquidity, time, or ability to get into this, but how would one individual get access to ms trade times and data?

easy - you pay for it

Re: Algorithmic Trading: A Practitioner’s Guide

#118

Post by ikrenji »

codeisawesome wrote: post #8

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

HFTs is about using c++, putting your box as close to the market computer as possible and building out a private optical fiber from chicago to new york to lower your latency vs competition... algo trading can be anything from putting your personal strategy into code to using machine learning to discover trade signals etc

Re: Algorithmic Trading: A Practitioner’s Guide

#119

Post by hungryforcodes »

ikrenji wrote: post #117
jvanderbot wrote: post #111

Earlier quoted context omitted.

Not that I have liquidity, time, or ability to get into this, but how would one individual get access to ms trade times and data?

easy - you pay for it

No, Binance and other similar exchanges give it away for free. Just call their API ever 1000ms. TradFi is a bit behind on this I think.

Re: Algorithmic Trading: A Practitioner’s Guide

#120

Post by paulpauper »

dougSF70 wrote: post #36
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…

As soon as your write about a successful strategy and publish it, it no longer becomes profitable. Trading pairs of stocks is one such example, firms made money from identifying stocks that have a negative correlation with one another. This went on for some time until someone published a paper on it and then it became unprofitable.

another winning day for the method. Nasdaq up 1%, btc down $300 to 21500
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