The process of using a computer program to place orders to trade securities in financial markets. Typically, these trades are made in exchange-traded instruments, such as listed equities, options, and futures. However, automated trading can occur in numerous other products such as bonds and ...

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1answer
64 views

What is a good index to track short term interest rates?

This is an FX question. I want to track short term (overnight or next best thing) rates for major/em ccys. What's the best way of doing this? Is there an index I can follow? Preferably something ...
3
votes
0answers
124 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 ...
0
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0answers
23 views

Rationale behind formula for pivot point calculation

Is there any objective rationale or mathematical reasoning behind the following formula for pivot points and intra day support and resistance levels? What are the underlying assumptions for the ...
3
votes
1answer
114 views

what was the quant role in the 2008 crash?

this is a complex topic that interests me, have researched myself, & is debated heavily in the media and there is lots of writing, even entire books/documentaries. maybe somewhat surprisingly, ...
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2answers
151 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
vote
1answer
329 views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
0
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1answer
272 views

backtesting with open, close, high and low

I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on ...
0
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1answer
156 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
2
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2answers
272 views

What Forex Services support the ForexConnect API?

I need API access to get ForEx tickers and order books for currency pairs. From what I can tell there is a .Net API called ForexConnect which I can use to get this data. Now where can I get this data ...
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1answer
374 views

Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
2
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2answers
293 views

Index arbitrage with Options when not all underlyings have options listed?

One arbitrage strategy involves looking at the price of the Index Futures price compared with the prices of the options contracts for the underlyings. My question is, can this arbitrage strategy ...
8
votes
3answers
912 views

how do you evaluate an FX market EMS?

My firm is investigating FX EMS systems to see if we can reduce execution costs for our trading strategies that involve FX (not low latency). The liquidity providers are a few major banks. We're ...
3
votes
3answers
1k 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
votes
1answer
243 views

How do you estimate the capacity of a strategy from historical data?

What are some good ways to estimate the capacity of a strategy from historical data (including full market depth)? Obviously, a naive approach is that you want the strategy's returns to exceed its ...
4
votes
2answers
240 views

How to reactivate a risk mangement rule in an automated process

If some conditions are met (stop loss, trailing stop, take profit...) we will close ours positions (sell/buy) to avoid having more loss or to ensure profit. In an automatic trading system, it is easy ...
7
votes
3answers
574 views

Why is random trading minus transaction costs not zero expected value?

Somebody was telling me that if you buy randomly and assuming no transaction costs in todays market place, you wont make money 50% of the time and lose 50% of the time because of adverse selection. Im ...
7
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5answers
1k views

Sources of Machine Readable News

I'm starting on a project that involves correlating and forecasting Forex time series to news releases. I'm aware of sources such as Thomson Reuter's machine readable news and Dow Jone's Newswire ...
2
votes
2answers
583 views

Does Interactive Brokers (IB) have a Web friendly API?

The requirement I am given is to implement a web ppplication which utilizes Interactive Brokers's API to fetch data. I went through the IB API web page and came across two viable methods: TWS and IB ...
1
vote
1answer
550 views

FIX Heartbeat message not sent

I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation. I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
0
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1answer
156 views

How far back is normal to backtest an ATS ? [duplicate]

Possible Duplicate: How much data is needed to validate a short-horizon trading strategy? How far back do people usually backtest trading systems? months? years?
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3answers
1k views

How much capital do I need to create a competitive automated trading strategy?

I'm a relatively small investor, and I'm interested in building my own fully-automated quantitative trading strategy. I also read about dark pools, and how difficult it is to get good prices on ...
1
vote
1answer
281 views

Matlab toolbox for IQFeeds

Does anyone know how to connect IQFeeds with Matlab. It seems the datafeed toolbox only accepts Reuters, Bloomberg, Yahoo and one or two more. I've been looking all over the place for a Matlab toobox ...
12
votes
3answers
754 views

How to account for transaction costs in a simulated market environment?

I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction ...
7
votes
1answer
818 views

Optimal execution and reinforcement learning

Suppose a fairly simple problem: You have to buy (resp sell) a given number of shares V in a fixed time horizon H with the aim to minimize your capital spent (resp maximize your revenue). There are ...
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2answers
329 views

Resources for Benchmarking Automated Trading Systems available as deltix etc.?

Is there some research resource/group working on benchmarking of software products out there with automated trading and goals of "Advanced alpha generation and execution strategies" incorporating low ...
3
votes
1answer
334 views

Cross Bid and Ask prices for Forex trading

I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be ...
2
votes
2answers
777 views

Resequencing of MsgSeqNum in FIX 4.2

I am trying to achieve the following functionality using QuickFIX for FIX 4.2 Send a couple of orders and make sure they’re filled. Then disconnect. Change the incoming (from Broker) sequence number ...
2
votes
1answer
1k views

How to build an execution trading system with CQG API?

I am currently using CQG for spread trading and have a spread trading strategy in CQG chart. I am trying to automate my spread trading strategy in CQG, but CQG told me to look at CQG API samples to ...
2
votes
3answers
765 views

How to choose a data center for deploying high frequency trading strategies?

We are in the process of selecting the data center for deploying our high frequency strategies. Does anyone has some questionnaire that can be used to figure out that what type of infrastructure ...
6
votes
1answer
360 views

NASDAQ TotalView ITCH order reference number number characteristics

I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
5
votes
1answer
334 views

What are some quantitative method behind etf vs cash arbitrage?

Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...
7
votes
4answers
868 views

How to properly evaluate backtest returns?

Do you evaluate a strategy in a backtest based on the cumulative returns generated by the strategy (i.e. looking at the cumulative returns of the trades that occur) or do you start with a certain ...
8
votes
2answers
1k views

How to vet an intraday strategy

I am working on an intraday strategy using 5/10 minute bars. I am getting a decent return and sharpe on the strategy. But on close examination I see that I am making about 1 cent per trade (I haven't ...
10
votes
3answers
2k views

How to combine multiple trading algorithms?

Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
15
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6answers
2k views

Can social media be applied to algorithmic trading?

Can social media sites, like Twitter, be used to analyze financial markets for algorithmic trading? How much research has been done on this topic?
7
votes
3answers
623 views

What strategy would benefit most from having the fastest connection to the exchange?

Imagine that you have the fastest connection to the exchange (receive quotes 1 ms earlier than everyone else) for both stocks and derivatives. How would you benefit from this? Of course almost any ...
6
votes
2answers
4k views

What is a medium to low frequency trading strategy and why is it less hyped?

The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period. How are ...
22
votes
1answer
1k views

Is my trading strategy search methodology sound?

I'm building an algorithmic trading business. I'd be grateful for informed comments and opinions on my trading strategy search methodology. Goal Develop (profitable!) fully automated intra-day ...
19
votes
8answers
3k views

Excellent information source on advanced machine learning / data mining based trading?

I did check the related posts, like this one here. However, given if one already has knowledge in finance, machine learning and statistics, and wants to know something more advanced on machine ...
13
votes
2answers
643 views

How do you distinguish “significant” moves from noise?

How do you distinguish between losses that are within the normal range for day-to-day shifts and situations with a real potential for loss? The specific application I have in mind is pattern ...
7
votes
4answers
2k views

Real-time & Fast S&P 500 E-Mini Futures (ES) Data

I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible. ...
11
votes
3answers
2k views

Techniques to optimize the placement of orders in market making strategy?

Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
4
votes
2answers
773 views

How to calculate optimal standard deviation bands for trading?

I am trading with standard deviation bands (6 bands) on de-trended data. How can I find the most profitable signals with neural network or GA with standard deviation bands? Should I first find the ...
10
votes
6answers
2k views

References for developing an automated trading system?

I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
8
votes
3answers
1k views

How to generate synthetic FX data for backtesting?

I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this: Start with a curve representing a trend, then randomly ...
23
votes
9answers
2k views

Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
15
votes
5answers
3k views

Free paper trading site with an API

I've got a quanitative trading model I want to test out in the real stock market. Right now, I'm writing some code to pull "live" quotes from yahoo, feed them to my model, and keep track of the ...
1
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0answers
587 views

Hobbyist Quants [closed]

I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
25
votes
3answers
7k views

How can we reverse engineer a market-making algorithm (HFT)?

Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange. Assume furthermore that we are ...
8
votes
3answers
2k views

Order submission strategies of a rational market maker?

Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...