Strategies are interesting too, but which brokerages can I use to get a simple API with pricing that is low enough for a small trader?
tdameritrade, ibkr , tws api gateway, robinhood, binance bitmex, bybit
Algorithmic Trading: A Practitioner’s Guide
131–140 of 149 posts
Re: Algorithmic Trading: A Practitioner’s Guide
#132Earlier 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?
Most crypto exchanges provide free websocket endpoints with millisecond latency for trade and order book data
Re: Algorithmic Trading: A Practitioner’s Guide
#133Anyone here making real money from algo trading? I'm talking about people who write their own software rather than working for a company that does it professionally. I'd be interested to hear any tips or pointers on what strategies you've found that work.
> Anyone here making real money from algo trading?
No, citadel securities just had a record year internalizing retail flow.
Re: Algorithmic Trading: A Practitioner’s Guide
#134Re: Algorithmic Trading: A Practitioner’s Guide
#135Earlier quoted context omitted.
Can you please quote what you think you're disagreeing with me about or how your reply has any relevance to my post? Did you perhaps intend to reply to someone else?
your post implies that - even though it's difficult to do - one could perhaps pick a good fund and be better off than investing into e.g. ETFs. the poster you're replying to implies that this might not be possible at all if the successful funds only are so because of random chance.
I highly doubt rustamm or anyone partaking in this discussion is remotely qualified to know whether the most successful hedge funds, including Renaissance Technologies, Citadel, or Bridgewater are successful simply due to luck.
Re: Algorithmic Trading: A Practitioner’s Guide
#136Earlier quoted context omitted.
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.
I don’t think that’s correct
CME worlds largest futures exchange symmetrical fees
https://www.cmegroup.com/company/files/cme-fee-schedule-2023...
Re: Algorithmic Trading: A Practitioner’s Guide
#137Earlier quoted context omitted.
There's definitely margin products that will guarantee you aren't liable for the debt (but correspondingly will margin call you and limit the debt/equity ratio), and there are margin products that are the opposite (no margin calls, but full recourse and liability for negative balances). The point is it's not cut and dry that the market geared equity solution is superior (though, IMO, the individual advantage lays on…
Can you provide a reference for a single broker that guarantees no liability for holding negative balance in a margin account, because as-is what you've described is a violation of FINRA rules and I'm fairly certain that such a product doesn't exist but would be interested in seeing the precise details. I don't want a fancy explanation of how it works, I would like to know the name of a single brokerage that offers t…
At least in Australia, IBKR used to have a fairly limited margin product that actually precluded you from being exposed to a possibly negative balance - I've probably overgeneralised that case (or thought it was more common than it is). I can't find a reference to those particular terms anymore. Obviously being IBKR, they have very aggressive auto-liquidation if you get margin called (ie. you don't get one).
I did end up finding the specific agreement - it pertains to Australian retail clients (https://gdcdyn.interactivebrokers.com/Universal/servlet/Regi...), and clauses 3 and 7 lay out that retail clients are not liable for a negative balance arising from a margin liquidation. Retail clients for Australia have pretty limited margin (25 or 50k iirc), so this isn't super high risk for most people regardless (can't lose that much money).
The other stuff I talk about arises from other products in Australia as well - it's possible to borrow money and buy shares without being exposed to margin calls, so long as you make repayments on the loan. It's pretty different to a traditional margin account though, and only really applies to ETFs (NAB Equity Builder). I also imagined that existed elsewhere, but really I'm only speaking from what I've seen available in Australia.
Re: Algorithmic Trading: A Practitioner’s Guide
#138Earlier quoted context omitted.
Can you provide a reference for a single broker that guarantees no liability for holding negative balance in a margin account, because as-is what you've described is a violation of FINRA rules and I'm fairly certain that such a product doesn't exist but would be interested in seeing the precise details. I don't want a fancy explanation of how it works, I would like to know the name of a single brokerage that offers t…
At least in Australia, IBKR used to have a fairly limited margin product that actually precluded you from being exposed to a possibly negative balance - I've probably overgeneralised that case (or thought it was more common than it is). I can't find a reference to those particular terms anymore. Obviously being IBKR, they have very aggressive auto-liquidation if you get margin called (ie. you don't get one). I did en…
Nothing you claim is stated in that document you linked and as someone who has done a great deal of business with IBKR for the better part of 15 years now as well as one of the largest market makers on the Australian markets making up approximately 5% of all ASX and CHIX volume, I assure you there absolutely no protection provided to a client whose balance enters into a negative position.
Clause 3.A.e specifically states that trading on margin can result in a loss of funds greater than that deposited into your account and that you accept that risk.
In conjunction with Clause 7.K which states that you must reimburse the broker for any liabilities as a result of the liquidation undertaken by the broker.
You are always on the hook for the full amount of losses on margin.
Re: Algorithmic Trading: A Practitioner’s Guide
#139Is it even possible to outperform the market in the long term, without some violation of the Efficient Market Hypothesis? Without insider knowledge/trading or some technical mechanism to access information or trades faster?
Re: Algorithmic Trading: A Practitioner’s Guide
#140Not 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…
How complicated were your algo trading strategies? And have you thought of translating these to non-crypto?