Algorithmic trading is the process of taking in inputs such as market data, current news, and producing orders without human intervention.

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Papers about risk management in algorithmic trading?

I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems. I have done research about this topic and found some ...
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3answers
3k views

Why are there still manual market makers in options

Why are manual market makers still predominant in options markets? Why haven't algorithms replaced these market makers, as they have for liquid stocks for example?
10
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2answers
329 views

Why do Human traders make money?

Over the years I met a couple of dozen of (human) traders who I'd consider good (being in the business for several years, generating a reasonably steady income). I had chances to chat with some of ...
8
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3answers
189 views

Which features to include in an algorithmic trading dashboard?

I have been hacking around with algorithmic trading as a hobby project to build my data analysis skills, coding skills, and learn more about financial markets. As part of this project I am interested ...
7
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7answers
730 views

Proof that no trading system always wins

I am pondering on the existence/impossibility of a trading system (or algorithm) that ALWAYS ends up winning money, no matter how the price of a futures moves. In a context where one can go long or ...
6
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2answers
440 views

Recover full tick data from missing tick data

Due to some economics/regime problem, I can only have access to non full-tick data from an exchange. To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
6
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2answers
774 views

Which algorithms do robo-advisors use?

Some pundits claim that there is a revolution in portfolio management under way: The rise of the robots, a.k.a. robo-advisors. The most well known are Betterment.com, FutureAdvisor, Schwab Intelligent ...
6
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1answer
2k views

Regime-Switching Model for detecting market shifts

I'm always wondering whether anyone has utilized regime-switching models successfully in forecasting or trading. Academia has long discussed this topic in-depth, such as using Regime Switching ...
5
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1answer
644 views

Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader

The question is NOT about real trading, but about simplified mathematical models for trading. One of the main problems in trading is that asset prices are not correctly described by the some random ...
5
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2answers
104 views

What are Sell Imbalance-Only Orders?

I am reading the 2014 SEC filing against Athena, a HFT firm. (http://www.sec.gov/litigation/admin/2014/34-73369.pdf) At point 29, they describe the behavior of Athena moments before market closing ...
5
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1answer
827 views

Calculating most profitable arbitrage orders on multiple market with fixed and variable fees

If I have multiple markets (let's say 5, but the solution should be generic) trading the same stock/commodity/whatever, and the markets differ in both variable fees (which are in % of the trade order) ...
5
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0answers
263 views

Algorithmic Trading Model Calculation and Stale Data

I'd like ask everyone a more concurrency programming but definitely quant-finance related question. How do you deal with staleness of data in market hours as quote ticks are streaming and your model ...
4
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2answers
832 views

Quantitative Finance Programming Language

Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
4
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6answers
2k views

FIX- what exactly do repeating groups represent?

I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
4
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2answers
6k views

What kind of return can an average algorithmic trading firm achieve today?

What kind of rate of return can an average, equities-focused algorithmic trading firm expect to achieve today? I come from a background of control and optimization, working in the industry in China, ...
4
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5answers
406 views

Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?

Allow me to explain. You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
4
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1answer
341 views

What is a good source to learn the different nuances of electronic orders and their nature?

Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...
4
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1answer
453 views

Optimal Executions for Minimizing Slippage

There has been a considerable body of work for finding trading strategies that minimize the slippage wrt arrival price. For instance, the following are on of the most well known papers: [1] Robert ...
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3answers
3k views

How to distinguish between different types of algorithmic trading

Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
3
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2answers
205 views

Is it really possible to create a robust algorithmic trading strategy for intraday trading?

I'm an engineer doing academic research for my master thesis in the area of quantitative finance, basically the purpose is to study the possibility to create an intraday-trading algorithm. I've tried ...
3
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3answers
678 views

Please advise on the choice of an automated trading framework

I'd like to start automating my trading strategies. I'm not looking for a fast and easy solution, therefore the programming language is not important for me, I am ready to spend an extra year to ...
3
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2answers
1k views

How to incorporate fundamental analysis in quantitative trading algorithm? [closed]

I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy ...
3
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0answers
94 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this ...
3
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2answers
651 views

How to filter and normalize market data obtained from distinct sources (FIX 4.4, bloomberg, etc) in an algorithmic trading system?

I'm wondering if some of you known how to resolve this requirement: I have to define the architecture of an algorithmic trading system (but I'm not an architect, so I'm trying to do my best). I have ...
2
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2answers
177 views

Forex trading scenarios - calculating units

I'm trying to build an automated forex trading system and I'm trying to understand how to calculate the number of units I should specify for each trade in different scenarios. Say for example I have ...
2
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2answers
136 views

How to obtain a log of all trades done on the Nasdaq or other major US exchange?

I'm looking to do a research paper on the impact of high frequency algo-trading on individual firms. In order to do that I need to be able to determine firms that have been high frequency traded. My ...
2
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2answers
3k views

Build a customizable trading engine in python [closed]

I am planning building fully customizable backtesting trading engine in python from scratch as a open source project, the main features i am considering is, It should be fully customizable from ...
2
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1answer
478 views

Does Ito/Malliavin calculus have any applications helpful for direction based trading?

I'm an aspiring computer scientist who want to move into algorithmic trading at some point. At the moment I'm mostly focusing on courses in machine learning/data analysis etc. but I've noticed that ...
2
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1answer
120 views

How is the Order priority of an Iceberg order decided?

Typically, markets guarantee a FIFO order of priority of execution for various orders at the same price. I want to know does this hold true for Iceberg orders? for eg Order1 = Buy 100 Quantities @ 2 ...
2
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4answers
861 views

Backtesting with Simulated Historical Data?

The trading strategies that are going to backtest well are the ones that pick the winners from the past. For example, if a trading strategy simply bought apple stock it would backtest extremely well. ...
2
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1answer
102 views

Determining maximum strategy capacity and optimal order size for low frequency equity strategy

I have developed a low frequency equity trading strategy that seems to work well with stocks in the S&P 500. Someone asked me about the maximum capacity of the strategy (how much AUM I could ...
2
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1answer
327 views

How to evaluate a success rate of a trading strategy

In order to compare various trading strategies, I am trying to calculate the success rate (the ratio of winning and losing trades). While it is clear to me that this indicator is far from being an ...
2
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1answer
117 views

How much correlation between alpha and forward returns can be considered good

There are many way to quantify the quality of an $\alpha$ (prediction of the future return of a security). I heard/do many things, most of them are equivalent to correlation. Typically ...
2
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1answer
98 views

Calculating short/long order percentages?

I have a feed in real time that lists the ask and bid orders. Each order consists of a value and a quantity. I want to calculate the percentage of short orders from the total orders in terms of ...
2
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2answers
667 views

How to combine trading signals to achieve higher capital efficiency?

I trade use a completely automated approach where all signals are generated by proprietary trading strategies. However, recently I encountered an challenging problem: Imagine we have 3 Strategies ...
2
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0answers
178 views

Reference for Algorithmic Trading [closed]

I have recently started to look up algorithmic trading but I am finding it hard to find references related to this field.I am math major with a sound knowledge in Statistics, various programming ...
2
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0answers
173 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
2
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0answers
156 views

Correlation between idiosyncratic residuals and forward returns

The classic mean-reversion strategy is to calculate an "expected return" (alpha) by computing the raw return for each security and then remove the part which you think is market driven. Statistically ...
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1answer
288 views

Liquidity seeking algorithms open source implementation

Are there any free online liquidity seeking algorithms? Possible an open source implementation? Not looking for anything state-of-the-art, but just to get an idea how they work.
1
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1answer
72 views

Should a strategy backtested against three years of tick data continue to produce positive results?

Let's say we have a Binary Options 5-minute trading strategy that relies on multiple indicators and exploits price reversals in currency pairs. Now let's say there is a combination of inputs for the ...
1
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3answers
245 views

Best known performance of stock prediction algorithms

I asked this question here and was directed to answer it on this stack exchange. My question is very simple. What is the best [known] performance of a stock prediction algorithm? I've seen papers ...
1
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1answer
558 views

Feature for Maching Learning(SVM) in High Frequecy Order Book?

I am trying to implement machine learning to predict the movement of bid and ask price but is unable to find the proper feature for training set. I am using Support Vector Machine for binary ...
1
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2answers
271 views

Brokers offering low-cost / free accounts [closed]

I'm attempting a "hello world" of live algorithmic trading. A script that pulls in tick data, presents it visually, and allows me to buy / sell at the press of a button. Also a toggle between { fake ...
1
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1answer
1k views

Question about weighted midpoint formula

The answers from these two replies seem to contradict each other. The first numerator is bidSize*bidPrice + askSize*askPrice but the second is bidSize*askPrice + askSize*bidPrice. Price functions ...
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4answers
4k views

C# Broker API for FX Trading

I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
1
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2answers
1k views

Calculating true value of a stock given the order-book and recent trades

I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
1
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0answers
28 views

Performance measure

Can anyone give some intuition behind the relative performance measure that is a percentile raking of trading activity. It indicates the percentage of total activity the investor outperformed the ...
1
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0answers
62 views

Optimal approach for finding a profitable trading strategy to automate? [closed]

I am currently searching for an optimal approach for finding profitable forex trading strategies to automate. Currently, I just try to combine various indicators and build an automated trading system ...
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0answers
82 views

Good state of the art document about Algo Trading systems

I'm currently working on the requirements phase of a software project, and need get an overview of the industry regarding the tools available for Algo Trading. My first idea was to look for Gartner's ...
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40 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...