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10

You need to differentiate between OTC and listed options in order to appreciate the fact market makers are still active and relevant in either segment: Listed Options: Actually most listed options market making is governed by market making algorithms, however, most such algorithms are implemented with manual overlays. Something very similar goes on in the ...


6

I found this solid overview of different trading algorithms by Deutsche Bank Research: Trade execution algorithms Designed to minimise the price impact of executing trades of large volumes by ‘shredding’ orders into smaller parcels and slowly releasing these into the market. Strategy implementation algorithms Designed to read real-time market data and ...


5

Repeating groups are a way for FIX to represent arrays. A "number of" field prepends the repeating group to alert the recipient how many elements to expect. For example, Arca uses TradingSessionID (tag 336) to identify pre-open (P1), primary (P2), and post-close (P3) market hours. This group is prepended by NoTradingSessions (tag 386). So, I would use the ...


5

Each venue will allow diferent order types, and will have different matching rules (the queue positions you mentioned), so this is not general to the whole market, but this is a paper from Nyse that is pretty much explains most of the order types I have heard of: http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf Also, one factsheet/regulation from the ...


5

If you're missing ticks, then no technique will get those ticks back. If you have two sources, then designate one source as the primary feed and then fill-in gaps from the secondary feed. Of course, you'll have to mind the timestamps when determining whether the secondary feed can be used properly.


4

Whether its possible? Absolutely. However, you should probably keep in mind a couple points: * Many people claim a lot while proving very little to none. This is fine if the issue is a small-talk conversation. Believe it or not, no harm done. However, this is about money, and from my experience I cannot stress enough how important it is to do a very ...


4

You will struggle to put a number on the potential returns of high-frequency trading (HFT) and I think it wouldn't make any sense anyway if you don't take into consideration its risk and its leverage. Achieving 100% return with low volatility seems highly improbable; so ask the trader in question his Sharpe ratio to start with and compare it with yours. ...


4

On the request, here are my two cents. Suppose that the price follows the dynamics $$ \begin{cases} \mathbf z_{k+1} &= F(\mathbf z_k,\mathbf i_k,\mathbf w_k), \\ \mathbf i_{k+1} &= G(\mathbf i_k, \mathbf w_k) \end{cases} $$ where $\mathbf z_k$ is a price of a traded assets at the time $k$, $\mathbf i_k$ is the value of parameters of the ...


4

To be honest you're not likely to get a very satisfying answer to your question. Not because its a bad question, but because "regular people" can't just go hooking their home grown trading systems up to a live market. I'd like to start automating my trading strategies. First off you'll need a system that can interface with your broker. If you're not ...


3

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work. There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.


3

I used to work in OTC, many of the deals would be so individual I can't imagine an algorithm being able to cope. In addition there were some extra factors like how we feel towards a counterparty and sometimes the broker over whether we would step in or not. I now work in exchange traded futures and options (listed options), and I can say the number one ...


3

You are right, these work use deterministic control. Framework using stochastic control exist: Bouchard, B., Dang, N.-M., Lehalle, C.-A., 2011. Optimal control of trading algorithms: a general impulse control approach. SIAM J. Financial Mathematics 2 (1), 404-438. URL http://epubs.siam.org/doi/abs/10.1137/090777293?af=R Kharroubi, I., Pham, H., Jun. ...


3

Indeed, algorithmic trading is a very hidden subject. It is even known that working in the algorithmic trading sector is very lonely because nobody is willing to share secrets, ideas or innovations. Mentioning this, I have recently talked to a Technical Analyst/ Quant who has exposed some of his secrets. One of which was risk management. The terms you are ...


3

Some reading that may be of interest to you and which proceeds along similar lines of thought is that of Shmilovici in "Predicting Stock Returns Using a Variable Order Markov Tree Model". Abstract: "The weak form of the Efficient Market Hypothesis (EMH) states that the current market price fully reflects the information of past prices and rules out ...


3

Obviously merging two streams is harmless and it should be done. But it's hard to advise you regarding the "interpolation" methods you can use to generate the ticks without knowing why you need this. The reason is that any method will introduce a certain bias to the data. Therefore, it very much depends on what are you going to do with your altered data on ...


3

TradeStation offers python support via their WebAPI. Check it out here: http://tradestation.github.io/webapi-docs/


3

Windham Capital Management is using hidden markov models for their Risk Regime Strategies. Mark Kritzman, who is also CEO, has published an article about the general outline of the strategy (with source code so you can replicate the results!): Regime Shifts: Implications for Dynamic Strategies (corrected August 2012) by M. Kritzman, S. Page, D. ...


3

Firstly, you'll probably be directed to consider Zipline. It's worth a look but I don't think that it's a good starting point, since: Quantopian's developers don't have a financial background and it shows through in the Zipline source code. Zipline is dreadfully slow if you compare it to any commercial platform with backtesting functionality in a compiled ...


2

I know of no broker that provides an official, supported Python API. If you are at Interactive Brokers you can consider using their FIX gateway, but that comes with additional cost. QuickFix provides a Python API.


2

it depends on how applied the class is. A deep understanding of stochastic calculus is not required for "P-Quants", the type of person that lives in the physical word of forecasting and risk. That being said understanding the type of models that get used by the Q-Side (requiring lots of stochasic theory) is a useful skill to have. Like John said, if you ...


2

The broker algorithms or the trading algorithms are designed to the optimal execution of large amounts of stocks with different benchmarks (e.g. VWAP, PoV, Implementation Shortfall or Slippage, Price Inline, TWAP, DWAP, etc.). These algorithms sometimes uses statistical methods and market microstructure analysis (to analyse spreads, volume, seasonality, ...


2

You might want to check out the book Evidence Based Technical Analysis by David Aronson. In it he applies statistical techniques to determine whether certain time series patterns have any predictive power. It's an interesting read and should equip you with some ideas on how to differentiate between folklore and statistical rigor. It also gives you ample ...


2

Python / R (my favorite) / mathlab are fine to make a quick analysis, visualize data, prototype and backtest your strategy. But I'm not aware of any trading platform that runs with them. Keep going with whatever you feel comfortable for prototyping, but I would invest time to learn C (or even C++ on phase II, if you have enough time) as many trading ...


2

Proof of work systems are generally used where you do not trust the client; the Bitcoin one is used to slow down the generation of new coins and is adaptive; if hardware speeds up, the work gets harder. By contrast, an exchange has a contractual agreement with the client, and can require it to authenticate, encrypt etc. The central problem, though, is that ...


2

There are no "fundamental algos" analogous to "technical algos". Instead, quantitative useof fundamental data assumes applying multifactor models to predicting returns and other intrument parameters. That models vary from "academical" (like Fama-French 3-factor or Chen, Roll, Ross) to proprietary models of guys from industry: MSCI Barra, Bloomberg, CSFB, ...


2

There's some pretty basic frameworks for IB. One that's pretty simple to modify is http://sourceforge.net/projects/jsystemtrader/ . I haven't looked in a while but it uses only market orders. The development has gone on to a version that uses market depth. There's also things like Ninja Trader but paid per month. It's what I do and I just use java with ...


2

Have you checked White's "reality test" (White H. A reality check for data snooping. // Econometrica. 2000. № 68. С. 1097–1126.)? Anyway, when you use Monte-Carlo, you always have a variation of "double hypothesis" issue, noted by Fama: first hypothesis is that your model of the market is right, and the second - that trading rule you test (against your ...


1

It depends on your goal. Suppose we have a stock whose top-of-book quotes show far more size on the bid than on the ask. If you want the weighted mid to reflect sentiment at this moment, then certainly the market participants agree that the fair price is less than the mid. However, if you assume that these participants are informed market makers and your ...


1

I use MB Trading SDK for automated trading. It is COM based but easy to integrate with C#. You can setup a demo account and trade on it for free.


1

Take a look at FIX4.4 protocol, accessible from http://www.dukascopy.com/swiss/english/forex/api/fix_api/ Thread about C# libraries: http://stackoverflow.com/questions/4876279/fix-library-for-net



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