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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31 views

What should the look-back period be when calculating Cointegration?

So I am confused as to what the look-back period should be when calculating Cointegration. By this I mean when running for example a Johansen or ADF test, should my look-back period be 6 months?...
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How to understand the results of the Johansen test?

So I now there are numerous pages on the johansen test, and what the results mean. Though I am confused as to what it is doing exactly. So my understanding is that it will find the spread of 2 ...
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63 views

Should I calculate a spread using stock prices or the ratio?

So I am creating a trading algorithm thats uses cointegration, for a pairs trading strategy. Imagine there is stock A for 100 dollars and stock B for 25 dollars. My questions is when caulcating the ...
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109 views

The quality of an trading algorithm

Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...
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303 views

Tactical Investment Algorithms

I am reading paper "Tactical Investment Algorithms" (link) (NOTE: you can download the paper without registration, just press "Download" and then "Download without ...
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84 views

Machine learning algorithms that generate trading models (literature)?

Is there any academic literature on machine learning algorithms that are able to generate functioning trading models? Would this even be feasible at all, now or in the future? Could you point me to ...
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39 views

Cumulative returns from ROI of individual trades

I've a series of ROIs: $R(n) = [r_1, r_2, ... r_n]$ generated from taking $n$ trades. Each ROI value is in percent $[0, 1]$. How do I generate cumulative return $C(n)$ from this data? My understanding ...
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Managing fund of bot users

I'm algotrading since 2018 and been profitable (not much, but consistent) since then. This year I thinking in make a business around this bot. My only doubt is how do I manage the fund of all users? ...
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39 views

Computing Sharpe ratio correctly when adding more funds

I've a very basic question: Assume, as time $t_0$, I started a algorithmic trading strategy with initial capital $X_0$. My strategy on subsequent $N$ time frames generated returns $r(t_1), r(t_2),..r(...
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145 views

What kind of option would best be suited for a price based algorithm?

So say I wanted to make money off of a simple RSI-MACD algorithm on SPY (ofc this may not necessarily make money, but let's say it does). I'd like to leverage my returns using call and put options, ...
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110 views

What is the disadvantage using the edge ratio?

I want to evaluate and optimize an algorithmic trading system. For this I want to follow a step by step approach - first looking at the entry, later at other aspects of it (money management, position ...
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Is it possible to match talib's RSI results down to machine precision using just python?

I want to match talib's RSI with just python down to machine precision and I'm struggling. Out of curiosity I also tried a bunch of libraries like tulipy and pandas_ta and the gaps are similar. ...
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Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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Forex trailing stops - better alternatives?

I've been pursuing the holy grail of trading, short term FX trading, using machine learning. I've experimented with a ton of strategies but mainly those revolving around holding each trade for a ...
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935 views

Learning and applying Quantitative Finance successfully as an individual instead of a team

In the past few months, I became really interested in using machine learning techniques in the realm of quantitative finance and trading. I made a few rudimentary models and I immediately realized how ...
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102 views

Just wondering any algo strategy popular for vanilla bond trading?

I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
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141 views

Which Nikkei225 futures contract to take?

I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year. I want to ...
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137 views

How do you formulate trading ideas and strategies?

I have access to some tick data and Bloomberg data. Outside of data mining and hoping to find an economic rationale after the fact, what do you usually do to generate ideas before you look at the ...
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429 views

Can one successfully daytrade 0dte options based on RSI?

I've been doing that manually for 2 months successfully (40% ROI) with SPX 0-1 DTE (Days To Expiration) options, both puts and calls. I might be just lucky so I purchased some data to do backtesting ...
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46 views

The discontinuity when applying the combinatorial purged cross-validation

In Marcos Lopez de Prado's book, Advances in financial machine learning, he recommends using the combinatorial purged cross-validation(CPCV) for backtesting. His motivation is sensible. Through the ...
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1answer
67 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
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2answers
78 views

How to calculate 5 EMA

I am trying to understand the basics of finance indicators. I have made 15 minute ohlc candles for the past 50 days. Now if I try to calculate 5EMA, my doubt is ...
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24 views

Ratio of mean profit to its standard deviation in algorithmic trading system

I am trying to build a trend following system. Currently, I am backtesting it on historical data. After several thousand operations, the mean profit is positive after commissions, but its standard ...
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56 views

API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...
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87 views

Tips on building an automated trading system in python [closed]

I have an trading API that allows me to send/cancel/update orders. I have marketdata that I can use through another API that gives me orderbook data. Now let's say I want to build a simple arbitrage ...
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1answer
82 views

Do Institutions (large trading firms) use market orders?

It is well known that Institutional traders (Large trading firms, market makers) most of the time use LIMIT orders or Hidden limit orders. My question is, do they ever use market orders in their ...
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150 views

Broker that allows algo trading, no pdt rule and a low minimum deposit

I was looking for a broker that offers these things: ...
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50 views

What benefits do using log returns for model training provide?

I came across a paper that uses Support Vector Machines to classify a buy/sell/hold decision each hour at the $\pm$0.5% threshold. The paper can bee seen here. The ...
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1answer
174 views

How to propertly change time horizon in Avellaneda-Stoikov model?

I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
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4answers
1k views

Algorithmic Trading: Python vs SQL

I am new to algo trading. But I have bit of coding experience in SQL. Now I am planning to develop a Algorithmic Trading system. In here I am storing all the historical data in Database (PostgreSQL DB)...
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123 views

Accurate model but execution in backtesting is losing money

I have a binary classification model that predicts BUY (1) and SELL (-1) with an out of sample F1 score of 71% (precision is 65% and recall is 80%). The model's output is a probability of a BUY label ...
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81 views

How to monetize ability to predict small stock movements smaller than spread?

For a relatively small subset of stock symbols I have been able to build a model that is able to 20-100 times per day consistently predict whether a stock is going up within the next 2 minutes, being ...
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3answers
407 views

Basics of trading strategy development

I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have ...
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140 views

How to manage theta, gamma, vega, and delta risk in options market making simulation

I'm just starting to learn how to trade options and as part of an algorithmic options market making simulation I have risk limits for the greeks (gamma, vega, delta, and theta). There are 9 strikes ...
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92 views

Why doesn't algorithmic trading require humans to digest new data?

Can't new data be divided into those that ought be digested by humans, and those that don't? If so, why aren't humans digesting the data that ought be digested by humans? Sell-offs could be down to ...
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131 views

How to use black scholes for spot trading?

Since I am very new to this topic, i am struggling to connect the option pricing with Spot Trading. Is there a way to use the Black-Scholes model to derive entry and exit Events? Any blogs or papers?...
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112 views

Competitive levels in Limit Order Books

I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
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36 views

Charting & Trading platform with 3rd party integration

so it's 2020 and I'm surprised that there don't seem to be any platforms that provide clear and easy integration with a 3rd party backend for indicator/signal generation, charting, trade execution, ...
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Non-binary Strategy evaluation by comparing to a perfect baseline

When building a strategy, how do you evaluate if it is 'good enough'? Some may say 'Well if it has positive return and low drawdown it should be a good indication', and others will add more 'things it ...
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48 views

Correct labelling for trading strategies

In trying to build a ML powered trading strategy, one of the most important tasks is to correctly label the data so that the results of whatever classification algo you are using will be properly ...
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1answer
41 views

how to calculate/retrieve the number of sell orders (and buys orders as well) to detect iceberg orders

As a manual trader, i could identify the iceberg orders because my interface provided me in real time the number of buys and the number of sells at best ask and best bid. For instance, when the ...
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32 views

How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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157 views

Market Making constant volatility assumption

I have read a few papers on market making and all(nearly) assume that the stock follows a brownian motion with no drift and constant volatility.These assumptions seems un-intuitive to me because of ...
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1answer
835 views

What is the formula to calculate Implied Volatility Percentile [closed]

I googled and I am unable to find any formular . Can some one give me the formula to calculate IVP , based on sets of IV's given. Thanks.
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406 views

Is there something for API trading in E-mini S&P 500 Futures or other futures

I found a lot of results about data feeds, and I found some platforms (like Alpaca) for API trading. But none seem to have the possibility to sell/buy futures via a REST API. So my question is: Who ...
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65 views

How can I model the way that average Joe trades in FX markets?

I want to develop a trading bot that trades like a non-professional trader in FX markets. I wonder if it is possible to think that an average trader trades randomly regardless of the market conditions?...
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112 views

Futures vs. spot forecasting

If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
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46 views

Can simultaneous trades happen?

Investigating about matching engines i found that none of them acknowledges the scenario when two identical orders arrive at the exact same time. I get that it is very unlikely for this to happen, ...
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154 views

Genetic algorithm development - chromosome stucture based on buys/sells

Creating a GA algorithm for intraday trading (e.g., futures ES, NQ) is more difficult than textbook examples for GA function minimization/maximization. Initially, I assumed the parameters for buys ...
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51 views

Practical approach to get average option IV

Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options? I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...