Questions tagged [algorithmic-trading]
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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questions
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46 views
Implied volatility is returning infinity
I am trying to calculate implied volatility using javascript , I have following code
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0answers
59 views
How to get started with Quant Analysis/Algo Trading? [closed]
I’ve been a crypto trader for about a year, using mainly technical and fundamental analysis to trade. I want to start spending some time learning how to perform quantitative analysis and perhaps build ...
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1answer
94 views
How to understand microprice (aka, weighted-midprice)?
The definition of micropice is S=PaVb/(Va+Vb)+PbVa/(Va+Vb), where Pa is the ask limit-order price and Va is its volume, and similar for the bid Pb and Vb.
The typical explanation for micropice is ...
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374 views
How is market buy order executed when meeting both market sell order and limit sell order?
Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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1answer
34 views
Custom normalisation from 0 to 20
I want to normalise from 0 to 20
For example right now I do normalisation with dynamic outlier exclusion , using median.
So it works fine for some values like below
...
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1answer
31 views
Normalization of volume
suppose we have volumes every minute like below
100, 200 , 19, 0 , 200 , 12 , 100
I want to convert all these numbers to less than 10 , where 10 is max and 1 is ...
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0answers
35 views
Johansen cointegration Test for spread generation
I'm using the python statsmodels version of the johansen cointegration test and I'm looking for some advice on how best to generate the spread used within a pairs trading algorithm.
For example I've ...
0
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1answer
97 views
How to validate trading strategy performance
I'm backtesting some algorithmic trading strategy based on the buy/sell signals:
To validate the strategy performance I compare it against the buy-and-hold strategy of the same asset and calculate ...
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0answers
63 views
Textbooks on algorithmic trading
What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?
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46 views
Algorithmic trading strategies for financial derivatives
are there any strategies or considerations specifically designed for the algorithmic trading of financial derivatives, or textbooks that focus on this topic rather than underlying equities and ...
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0answers
51 views
Dollar bars in Advances in Financial Machine Learning book
Does anyone have use the dollar bars for building a strategy? I would like to know what ways you guys might be interested to set the dollar bars' parameter ( the dollar value ). I have thought of one ...
2
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3answers
266 views
Is a 'bad' trading algorithm useful?
This has been bugging me for a while. I've tried to make a trading algorithm and they usually perform poorly; but here's the hitch:
If my algorithm suggests I long stocks a, b and c, and
suggests I ...
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0answers
14 views
Zipline calendar spanning multiple days
I am trying to back test an algorithm using zipline and need to build a zipline calendar that maps to my brokers opening hours. My broker (FXCM) opens on Sunday at 17:00 and closes on Friday at 16:55. ...
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103 views
Algorithmic Trading Competition at MIT
Has anyone participated in MIT trading competition before(traders@mit)? Wondering what type of data are used-tick data or bar data-and are participants connected to a web socket? Are we allowed to ...
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1answer
178 views
Arithmetic Brownian Motion in Market Making papers
We often consider high-frequency market maker and suppose that the reference price is the arithmetic Brownian Motion:
$dS_{t} = \sigma d W_t$
What is the difference $t_n - t_{n-1}$ in this case? Is ...
2
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1answer
106 views
Definition of „getting picked off“ [closed]
Is there a precise definition of what getting picked off means. In particular I want to check whether I have been picked off. How can I measure this quantitatively?
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53 views
What are your favourite benchmarks for signal (pre-trading strategy) backtesting?
In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard ...
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3answers
443 views
Position sizing in algorithmic trading
Good morning, I have a question, regarding position size in algorithmic trading.
I have a strategy that every day generates signals for buying or selling positions on different stocks.
I'm looking ...
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0answers
69 views
Has anyone _verifiably_ duplicated Yahoo's real time technical market indicators _numbers_? If so, how?
After spending the better part of a week trying to get a combination of Alpaca's API and Python libraries (alpaca_trade_api, pandas and ta) to duplicate the numbers produced by Yahoo! Finance's ...
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1answer
110 views
Does a combined Portfolio always performs like the average of the merged subportfolios?
I analyzed the historic data of the SP500 and tried a trading simulation on it.
I picked the best 20 companies from SP500 for one year according to their ROE and put them in one portfolio. Let's call ...
2
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1answer
117 views
Building a semi-discretionary system
I've been investing for the last 15 years in a weird Buffett/Soros way.
For the last few years I've been toying with the idea of modeling myself.
I want to build a 'stock screener' that will be able ...
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0answers
60 views
2 ways to calculate profits, which both seem legit, but produce different results - what am I missing?
I'm trying to calculate this simple example with 2 ways which both seem legit, and getting different results.
Way 1: at the beginning of day $t$, first reset the holdings to 0, then buy the number of ...
1
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1answer
46 views
Function price output hops around sometimes due to rounding
Say we have a function for estimating the fair price of a security. The function gives outputs rounded to the nearest 0.5 (that is, the raw output is not a rounded float, but can have a decimal part ...
0
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1answer
54 views
How to optimize a series of equations whose outputs are a variable of the subsequent equatinos
The basic question is, given $f(x) = y$ and $f(y) = z$, how can you find $x$ such that $z$ is at its maximum?
I can optimize each equation independently, but I do not know how to optimize when ...
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1answer
81 views
How do you interpret Level 1 data to a list of transactions/trades?
If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so?
Just FYI, it's not a project for school but a problem I ...
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1answer
1k views
Market Making Algorithm/ Strategies
I have been taking a "Trading Strategies" course, but the experience is awful as the instructor barely provides any learning resources. I have an upcoming evaluation on market making algorithm using ...
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1answer
53 views
Advantage to access “non-display data”?
There's data which is hidden from the exchanges called "non-display data"? For a standard stock day trader, is there an advantage to get that type of data? Can I be in the first people to see the big ...
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1answer
80 views
How can I calculate the amount of volume to use to ensure highest profit on an arbitrage trade of two Constant Product Market Making exchanges? [closed]
If there exists an arbitrage opportunity between two Constant Product Market Making exchanges, how can you confidently determine the maximum volume to use in order to ensure highest profit?
I can ...
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2answers
264 views
Defining an objective function for machine learning task of trading
A simplified example. Given:
asset's price time series
fixed distances to stop and target.
A function of these inputs has two possible output values: $1$ if price is likely to hit the target ...
2
votes
0answers
70 views
Backtesting :: Migration to Simulated / Real-Time Trading
I am relatively new to backtesting and I want to migrate my system to simulated trading via Amibrokers Interactive Broker's API.
What I have been doing is setting trade delays such that when a Buy or ...
2
votes
2answers
184 views
Why Good forecasting != Good trading? [closed]
In AI for algorithmic trading: 7 mistakes that could make me broke the author talks about why good forecasting cannot equal good trading based on the strategy selected. While reading the article I ...
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0answers
54 views
Best features and tools over a short time interval [closed]
For a short time interval, what are the features having the most impact on a stock price movement? In the same direction, what are the better tools to tell us the price movement tangent?
As tools, I ...
1
vote
1answer
110 views
Trading against a loser flow
Let's say we are getting a trade stream(instantaneous) of a group of traders that lose money. If we trade on their opposite side in a broker, is it guaranteed that we make money? Intuitionally it ...
3
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1answer
229 views
Algorithmic Trading: Normalization and Selection of Technical Indicators for Artificial Neural Networks [closed]
I study on algorithmic trading for a while based on technical indicators. I started to learn about neural networks and want to use technical trading indicators in this approach.
However, I am not ...
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1answer
144 views
Retail Algorithmic Trading
Is it possible for the retail algo traders to take the same approach to risk management as the larger quant funds? is there a risk management budget imposed on the trader beyond that which they impose ...
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1answer
156 views
Algo trading execution simulation
Disclaimer: Brand new to high frequency algo trading.
Background:I have tick-by-tick trade data for stock A and I have joined the price and volume data for each trade with the previous snapshot of ...
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2answers
237 views
definition of mid price in literature
In literature, the mid-price is often used along with the terms "fair value", "true value" among others. I take it alot of the times it means the same thing because the mid-price doesnt necessarily ...
3
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2answers
872 views
Quant Interview Course [closed]
I there any course on for quant that covers all the factors such as logical reasoning, puzzles, statistics, probability, time series analysis, portfolio management, options, machine learning, and ...
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2answers
81 views
Financial forecasting and Optimal order submission [closed]
For instance, If i have a model that can accurately forecast 3s ahead, would the trading logic be rather trivial? I have fit a series of distributions to L2 data and believe I have a fairly good grasp ...
0
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1answer
111 views
Bayesian trade probability with factors
I have a strategy Y which is influenced by some factors X1, ..., Xn (for example asset volatility, distribution of macroeconomic factors). At moment t0 I have historical distribution(prior) of X1, ...,...
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0answers
129 views
What is the logic of the eigenvectors of the Johanson cointegration test determining hedge ratios?
Reading Algorithmic Trading: Winning Strategies and Their Rationale, Ernie Chan and there is a short section about the Johanson test for cointegration where it is mentioned that
the eigenvectors ...
5
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2answers
458 views
Cointegration and Ratio Pair Trading
I'm having some confusion doing Engle-Granger Cointegration test and then trade the ratio.
Methodology:
Run an OLS fit for A and B price time series without a constant. Therefore,
$\hat{Y} = \gamma \...
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2answers
197 views
Explanation of VWAP
I have some questions on VWAP(volume weighted average price):
1) I understand that it gives the average trade price of an asset for a specific time period but why is it beneficial to know this when ...
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2answers
84 views
What exactly is meant by a parameter in the context of algorithmic trading? [closed]
I keep reading sentences along the lines of 'setting the right parameters is what makes an algorithm profitable and is one of the more difficult skills to master'.
But what exactly is meant by a ...
0
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1answer
117 views
quant software for trading, one in all or pretty close to that
Trying to help to friend, who wants to establish automatic trading inside hedge fund. Is there any kind of one for all product with function of:
data capture layer, data stores/management, analytics, ...
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2answers
291 views
Position Sizing Algorithm for Multi Asset Portfolio
I'm currently working on a position sizing algorithm for my trading system. By combining fixed ratio money management and setting the stop loss based on the current ATR value I receive reasonable ...
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3answers
410 views
Historical tick data level 1 and level 2
I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back ...
7
votes
1answer
713 views
Does Chan use the wrong state transition model in his Kalman filter code?
In his book, Algorithmic Trading: Winning Strategies and Their Rationale, Ernie Chan shows how to use a Kalman filter to improve the returns of a cointegrated portfolio. Recall that the state equation ...
3
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1answer
451 views
What's the rationale behind having several orders on each each side for market makers
I've been browsing market making codebases and I've noticed most of them tend to create multiple orders on each side.
Originally I thought having orders on each side is an advanced approach but here'...
3
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1answer
3k views
Programmatically detect RSI divergence
How can I programmatically detect bullish and bearish RSI divergences?
A bullish divergence occurs when the underlying security makes a lower low and RSI forms a higher low. RSI does not confirm the ...
