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How I made $500k with machine learning and high frequency trading

jspauld.com

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Re: How I made $500k with machine learning and high frequency trading

#21

Post by jspaulding »

dude_abides wrote: post #8
jspaulding wrote: post #2

If anyone has questions for me happy to answer as best I can.

Thanks for the post. Is this the software you used? http://www.ctsfutures.com/t4.aspx Would be even more awesome if you could share some code on github.

Yes, however, I forgot to mention that pretty early on I converted my program to use an API from https://www.tradingtechnologies.com. It's odd, but I can't remember exactly why. I think it was simply because I found a broker who could offer me a lower commission rate and they only supported TT. With regard to posting code yes I may do that. We'll see.

Re: How I made $500k with machine learning and high frequency trading

#22

Post by fr0sty »

jspaulding wrote: post #7
fr0sty wrote: post #3

Earlier quoted context omitted.

Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing? If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".

It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.

Ok, that wasn't clear to me.

You talked about programming hotkeys (and then automating the hotkeys) so I assumed this was running on your desktop.

Re: How I made $500k with machine learning and high frequency trading

#23

Post by tarr11 »

This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model.

It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time.

I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who were market makers. The quants called guys like him "retail" investors and they gleefully picked off all those trades. It's how they made all their money.

So, everyone else, beware of making this a case study in how to make lots of money really fast. You are more likely to lose money.

Re: How I made $500k with machine learning and high frequency trading

#24

Post by jspaulding »

pdog wrote: post #18

Would you be able to open source any of the code behind your trading system? Maybe not the "secret sauce", but it would be interesting to see how you processed the data feeds, modeled the data, entered orders, etc.

I certainly could open source it. I may just wait a bit on the off chance that somebody wants to purchase it.

Re: How I made $500k with machine learning and high frequency trading

#25

Post by jetti »

davidw wrote: post #13

Looks like it's written in C# - is that correct?

It stated in the article it was C#.

"In 2008 I was “manually” day trading futures using software called T4. I’d been wanting some customized order entry hotkeys, so after discovering T4 had an API, I took on the challenge of learning C# (the programming language required to use the API) and went ahead and built myself some hotkeys."

Re: How I made $500k with machine learning and high frequency trading

#26

Post by briancurtin »

jspaulding wrote: post #21
dude_abides wrote: post #8

Earlier quoted context omitted.

Thanks for the post. Is this the software you used? http://www.ctsfutures.com/t4.aspx Would be even more awesome if you could share some code on github.

Yes, however, I forgot to mention that pretty early on I converted my program to use an API from https://www.tradingtechnologies.com . It's odd, but I can't remember exactly why. I think it was simply because I found a broker who could offer me a lower commission rate and they only supported TT. With regard to posting code yes I may do that. We'll see.

XTAPI, or did you write something to talk to a FIX gateway?

(former TT employee)

Re: How I made $500k with machine learning and high frequency trading

#27

Post by vinayan3 »

Have you ever thought of making a trading system that would buy tons of stock when a flash crash happens? It is going to happen again. If your system is ready and you buy before they shut the market down or roll back orders you could make a hefty profit.

Re: How I made $500k with machine learning and high frequency trading

#30

Post by davidw »

jetti wrote: post #25
davidw wrote: post #13

Looks like it's written in C# - is that correct?

It stated in the article it was C#. "In 2008 I was “manually” day trading futures using software called T4. I’d been wanting some customized order entry hotkeys, so after discovering T4 had an API, I took on the challenge of learning C# (the programming language required to use the API) and went ahead and built myself some hotkeys."

Yes, that's what I was going off of. I was curious about that aspect of it, if it had stayed C# or what.
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