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 ...
-4
votes
0answers
46 views
Wich online Forex Brokers accept connections with black box solutions developed in visual basic? [closed]
Iam about to develop something at visual basic , but i only know that interactive brokers accepts black box solutions. The problem is that to trade forex in a leveraged account they ask a minimum of ...
-2
votes
0answers
52 views
Ocaml and Algorithmic Trading [duplicate]
I'm completely new to the Algorithmic Trading domain. I've just completed a course that was Ocaml based, and read about Jane Street. Obviously they are a huge company with a large amount of resources, ...
7
votes
3answers
246 views
how do you evaluate an FX market aggregator?
My firm is investigating FX aggregation systems to see if we can reduce execution costs for our systematic trading strategies that involve FX (not low latency).
Some of the contenders are Integral, ...
2
votes
3answers
494 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
167 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
213 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 ...
6
votes
3answers
424 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
votes
4answers
679 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
321 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
301 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
votes
1answer
143 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?
2
votes
2answers
972 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 ...
0
votes
0answers
88 views
What is the difference between a trade and a cross - particularly regarding TSX crossing facilities?
There are four interesting crossing facilities in TSX: http://www.tmx.com/en/trading/products_services/cross_facilities.html
These seem to be different ways to execute a trade (and in terms of market ...
1
vote
1answer
230 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
605 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
576 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 ...
3
votes
2answers
288 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
267 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
458 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 ...
0
votes
0answers
471 views
What is the current state of the algorithmic trading research? [closed]
Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the ...
2
votes
1answer
676 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
672 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
270 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
293 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 ...
6
votes
4answers
683 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
999 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 ...
14
votes
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
567 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
2k 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 ...
17
votes
7answers
2k 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
564 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
1k 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
1k 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
547 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
5answers
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
845 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 ...
21
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 ...
14
votes
4answers
2k 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
vote
0answers
539 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 ...
22
votes
3answers
4k 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 ...
7
votes
3answers
1k 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 ...
5
votes
1answer
663 views
A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
4
votes
2answers
1k views
When should we use SWIFT versus FIX?
I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
13
votes
3answers
3k views
Free market data (delayed or snapshot)
I know there are similar questions but I don't think there are any identical ones.
Basically, I'm looking for one of these two things.
Delayed market data feed. A tick by tick feed, but delayed by ...
4
votes
2answers
4k views
Trade matching versus affirmation
I'm looking for a clearly articulated description of the difference between trade matching (e.g. Omgeo's CTM) and trade affirmation (e.g. Omgeo's Oasys). From what I understand, they both involve ...
6
votes
3answers
4k views
Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
...
0
votes
0answers
419 views
Quant Finance Education, Certification resources [closed]
I would like to pursue a career in the finance industry. Specifically looking to work in the technology side with regards to algorithmic trading and developing software based on quantitative ...
5
votes
3answers
544 views
Does HFT make sense in a pro-rata market?
If orders are filled pro rata, is there still incentive to engage in HFT? Because pro rata nullifies the time precedence rule, my intuition is no, but I figure there could be other aspects to it I'm ...
