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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

#121

Post by jspaulding »

bjourne wrote: post #108
jspaulding wrote: post #81

Earlier quoted context omitted.

Hey, I didn't actually intend this to be a course. I do not make any money in the market right now so am certainly not qualified to teach a course on it. And of course, if I was making money in the market I wouldn't have posted this at all. So please everyone remember that. These comments have made me realize it's probably for the best if I do not post the source code. Basically you are competing against armies of PH…

Guess you are familiar with http://en.wikipedia.org/wiki/Survivorship_bias ? In 2009, there were probably tonnes of people trying to exploit the market using similar low-tech methods as you. Even if all of them were at best break-even, some of them likely made a lot of money on their unprofitable algorithms by pure chance thanks to the size of the cohort. Those few blogged about it and those who lost money didn't. :)…

It's a great point and seems like a very smart thing to keep in mind. I think in my case, based on the statistics involved, the odds that my success was luck just seems astronomically small. But, guess I'm biased in my own way :)

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

#123

Post by unreal37 »

iandanforth wrote: post #72

I'm glad to see a healthy respect for investment among the hacker community. It's traders like this who commit to nearly a full 10 seconds of ownership that are the backbone of economic growth for this country.

I think there is a healthy respect for computer code that can let loose upon the world and make money.

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

#124

Post by stcredzero »

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 product.

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

#125

Post by unreal37 »

There is a coursera course called "Computational Investing, Part I" that I am taking that aims to build a market trading simulator to test a trading model. It just started so it's not too late to join.

https://www.coursera.org/course/compinvesting1

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

#126

Post by brianjyee »

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…

Gambling can be done intelligently and profitably. Don't be so quick to label gambling as a pitfall to be avoided at all costs. I am not a financial expert, but as someone with a background in math/probability based gambling strategies, I can see similarities in the financial markets.

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

#129

Post by briancurtin »

jspaulding wrote: post #113
briancurtin wrote: post #86

Earlier quoted context omitted.

If I was correct in guessing that he used XTAPI (via X_TRADER Pro), IIRC that costs around $1k/mo depending on who you go through for the front end license. I was only a developer so I'm not sure what licensing costs are for gateways, but those are the servers you connect to in order to place orders on the exchanges. He was trading the Russel on ICE, and DAX on Xetra (maybe Eurex?), so he would have needed two gatewa…

My fixed costs were $2000/month. I think it was $1800 for TT plus $200 server rent so damn.. I was getting overcharged $800!! oh well :)

Your full package of $2k/mo sounds about right from what I remember, after you factor in server, access, licenses.

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

#130

Post by jspaulding »

hnruss wrote: post #90

Just because you CAN do it doesn't mean you SHOULD. Even if you don't think of it as "gambling", you're still taking in tons of money without providing any tangible benefit to society. If you want to make money from investing, why not do so in a socially responsible way? Invest in companies that are changing the world for the better. You might not bring home as much money, but at least you'll be able to sleep well at…

I didn't lose any sleep but I do indeed hope to contribute more to society with future projects.
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