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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

#181

Post by grumps »

owyn wrote: post #159
stcredzero wrote: post #124

Is there a way to do this with Python or Ruby? I could just as well program this in C#, but I have a friend who can code a little, but doesn't really need everything in C# to do what he wants. The value add of offering the simulator, including the taking into account the bid/ask prices and a stochastic model for latency. Combine this with a web based code editor and easy hosting, and I think this would be a viable pr…

Nope, there is absolutely no way to do this with python or ruby. :) Seriously though, there are some existing frameworks and products that you could check out. I haven't used this myself, it's just in my bookmarks: http://www.rapidquant.com/features A C++ library with python bindings: http://quantlib.org/index.shtml And a low level library for data analysis: http://pandas.pydata.org

If you use their library/SDK/Framework.... how do you actually trade, do you still need a brokerage? Sorry a bit new to this field.

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

#182

Post by runjake »

jspaulding wrote: post #175
runjake wrote: post #138

Relax with the vitriol. The guy is sharing an interesting personal story, not providing a step-by-step HOWTO or recommending people follow his suit. In fact, the article is really an ad for his startup Courseware.

CourseTalk. CourseTalk! http://coursetalk.org .. You are right kind of :) But I've made a decision to start reaching out generally so I can attract cool people to work with on whatever projects I may be interested in in the future.

By the way, no offense meant by the advertising thing. I enjoyed the article. Although, as a technical person, would've enjoyed more details on the code and algorithms.

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

#183

Post by jspaulding »

davidw wrote: post #30
jetti wrote: post #25

Earlier quoted context omitted.

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.

Actually I believe when I switched from T4 to TT it was C++ I was using.

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

#185

Post by jspaulding »

fr0sty wrote: post #22
jspaulding wrote: post #7

Earlier quoted context omitted.

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.

oh right.. well in the very beginning it was.

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

#186

Post by lurkersmirker »

tarr11 wrote: post #23

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 w…

I once worked for a software shop, and part of my job was writing trading code in a proprietary language for customers, who ranged from low end day traders to 8 figure annual revenue hedge funds. I had access to all kinds of tools, and saw many a varied strategy. There's quite a lot of money to be made selling solutions. I won't day trade.

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

#187

Post by jspaulding »

mej10 wrote: post #14
jspaulding wrote: post #2

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

Do you think you got lucky or that your skill as a trader made you this money? Or rather, which of these do you think mattered most?

1) Being connected to friends who taught me a scalping style of day trading 2) Being really good at designing algorithms. 3) I only wish I could have started automated trading back in 2001

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

#188

Post by jspaulding »

mgl wrote: post #41
jspaulding wrote: post #2

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

How do (did) you cope with increased stress level? Trading futures, especially in a an automated way, can easily drain your margin unless the algorithm is really well tested for edge cases.

My automated program was much less stressful than trading manually. The best was going to Hawaii, waking up, and having the entire day done. I was making like 6k every day on that vacation. The best!! :)

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

#190

Post by johnwatson11218 »

incision wrote: post #148
martinced wrote: post #60

Earlier quoted context omitted.

It could have easily been called "how i lost 500k with machine learning". If you've really worked in that field than it's very surprising you've never heard about what professional poker players call bankroll management (and they "stole" the concept from professional traders). The whole point is that you can --either if you gain an edge or get lucky-- win big. Very big. But you're never exposing a large part of your…

Well put. Risk management is probably the single most important thing to understand in trading. Unfortunately, it's something that lots of people learn late, if ever. Folks get caught up in the romantic notion of betting it all and winning big, but end up losers. Meanwhile, the consistent winners they aspire to be are exposing perhaps 0.2% of their roll at a time.

I like the distinction between risk management and the romantic notion of betting it all and winning big. I see the same pattern in other areas as well, e.g. developers who focus on automated testing and other who think it is heroic to modify production code at 2:00 am. I think of it as the cowboys versus the tax accountants.
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