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Questions tagged [algorithmic-trading]

Algorithmic trading has two meanings: - the process of taking in inputs such as market data, current news, and producing orders without human intervention. - the process of optimising the trading of a large order or the market making process.

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Understanding the channel break out logic in FSM model by Eugene A. Durenard

I am reading and replicating some code from "Professional Automated Trading" by Eugene A. Durenard, Wiley (2013). I'm replicating some of the simpler strategies, and one way he presents the ...
xxtensionxx's user avatar
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First Post | Resources to learn Algo Trading/ Quant Development [closed]

I have been working as a full stack dev for the past 3 years and I am looking to learn Algo Trading and Quant Dev. Can someone help me with the resources, books, articles and what tech/languages ...
Shubham A's user avatar
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Future vol is bigger than realized vol

One strategy that I've seen on Leveraged ETF is shorting both the BULL and BEAR leveraged ETF to exploit the decay when volatility is high. Though I am wondering how an entry signal is triggered for ...
ilovebagels's user avatar
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30 views

SDP and riskless profit

I am trying to understand the Single Dealer Platform model that a lot of banks and prop shop are launching. So I am not sure to understand really how a Single Dealer Platform works. From what I ...
option_vol's user avatar
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58 views

Automatic detection of technical patterns such as Head and Shoulder, Flag, Wedge or Double Top

To my understanding, Ta-Lib does not detect technical patterns such as Head and Shoulder, Flag, Wedge or Double Top. Is there any automatic way to detect such technical patterns?
Allan Xu's user avatar
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Analyzing a trading algorithm

I want to know what are some commons methods/tricks people use to analyze the quality of their trading signals. Let's say I have a dataframe with all my different signals and their performance. These ...
option_vol's user avatar
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48 views

Am I overcomplicating this approach to optimal actions based on a forecast?

I have been attempting to implement a simplified version of the model used in this paper which, given a forecast of future data, provides an optimal way of acting on it by choosing an optimal sequence ...
QMath's user avatar
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Is it possible to create an API for trading completely from scratch

I am trying to learn trading and I have searched everywhere but I just don't find an answer to this question. So: Is it possible to create a trading bot and API for it completely from scratch, because ...
user71267's user avatar
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Boosting models for algo trading

I’m currently working on a xgboost model to predict the price change above or below a given percentage between a candle’s open price and the next candle’s close price. I use a wide range of features, ...
daniel dvali's user avatar
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0 answers
217 views

IDE to use for Python for Quant Trading [closed]

Dear Quantitative Finance Stack Community, Since many Quantitative propietary trading firms seem to be using Python over alternatives such as STATA. I have now decided to get myself familiar with ...
Julien Maas's user avatar
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55 views

Where can I find live order book data for crypto with paper trading feature on the cloud for $50-$100 a month?

We're a startup creating an algorithmic trading bot for cryptocurrencies and looking for a website where we can fetch live, not historical limit order book (LOB) data for up to 100$ a month. I'd like ...
Deka Halane's user avatar
3 votes
1 answer
290 views

Given a statistical model which predicts price, how to determine trading strategy?

Let us assume that we have a statistical model such as ARIMAX that predicts the daily closing price of an asset for the next 30 days. Assume starting capital of $1mn. The model will make new ...
MilTom's user avatar
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Stock trading data across multiple vendors interview question

I had the following coding question in a quant shop interview recently. I have no experience with quant finance, so I was hoping to get some insight on if this problem actually represents some real ...
user70981's user avatar
2 votes
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145 views

Bound on path length of a stock price

Consider a time series $(S_i)$ representing a stock price (say close prices of one minute candles). Let $\Delta$ be a quantization step (could be the price step in the strike prices of the ...
TryingHardToBecomeAGoodPrSlvr's user avatar
-1 votes
1 answer
85 views

Mental math method for large integer multiplication

I am practicing for trading interview, especially the quick calculation of mental math. But I am wondering is there any quick method to calculate the general multiplication? like the one ...
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Guidance on Execution Algo Passive order placer?

Could someone help with any relevant literature about building an Execution Algo and things to consider and keep in mind for optimal passive order placements? There are basic algos like TWAP/VWAP/POV ...
VidhayakChacha01's user avatar
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1 answer
183 views

Trading strategy with only knowledge of price increase/decrease?

Take a hypothetical model that takes a stock as input and outputs "up" or "down" indicating if the stock price will increase or decrease in a fixed time interval T. Assuming the ...
BeefJerky's user avatar
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Potential problems with trying to apply reinforcement learning to algorithmic trading

I have been attempting to develop an algorithmic trading agent for a single asset pair and upon researching, it seems as if, in theory, reinforcement learning would be a natural way to approach this ...
QMath's user avatar
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Market Maker Dynamics and RFQ

In the fixed income space, market makers, such as banks, often utilize platforms like TradeWeb. I'm seeking a clearer understanding of the workflow involved in this process. From my current ...
hjkhkjhjk's user avatar
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76 views

What is the first up date and what exactly first algorithm of Renaissance?

Charlie Munger mentioned in Acquired Podcast Renaissance, the first algorithm was so simple. They sifted all this data for the past and what did they decide? Up, up, which were two closing prices, and ...
woHaha's user avatar
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Why does Theta in an OU process relate to a mispricing of a pair's spread

I am reading this article from Alex Lipton and Marcos Lopez de Prado: A closed-form solution for optimal mean-reverting trading strategies (2020) which talks about finding optimal profit taking and ...
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Modelling support and resistance using sde

This initiative was sparked by the identification of cointegrated pairs, fitting them to an OU process, and devising an optimal strategy based on the OU process—areas that have already been well ...
lukas kiss's user avatar
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Lite C language - Rebalancing strategy

Intro: The strategy is to do an ordinary monthly rebalancing to predetermined weights, but modified to have a volatility target for each stock position (i.e. reduce/increase the positions that have ...
Kelvin's user avatar
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2 votes
1 answer
311 views

Quant Interview - Best time to buy and short stock with position constraint

I was given a problem at a job interview, I'm trying to solve it afterwards You are given a list of N trades for some stock, you need to determine how much volume for each trade an ideal strategy ...
Mark Silverman's user avatar
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Exclude from portfolio all markets that make a loss in backtests

I'm backtesting a pattern recognition strategy over 20 years across 40 futures markets. In my live trading portfolio, should I exclude all markets that made a loss over the 20 year backtest period?
Zebra_25's user avatar
1 vote
2 answers
340 views

Expected slippage based on % of average daily trading volume

I have started a quant strategy that buys and sells thousands of stocks. Each trade represents <1% of average daily trading volume. On average, the trades represent around 0.1% of ADTV. What is a ...
helloimgeorgia's user avatar
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0 answers
75 views

Multiple models for one single wallet

I am an algorithm day trader. I am trying to automate certain patterns on the stock markets. Here is my question. Suppose I have $n$ models $M_1, M_2, M_3, \dots, M_n$ with expected return $E_1, E_2, ...
David's user avatar
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Where can I learn more about market-making strategies? [duplicate]

I have some experience trading both sides of an order book, but not simultaneously in the same security (and certainly not at the size large market makers do.) I've searched pretty extensively for ...
AdamFi's user avatar
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42 views

What happened when market status change from pre-market trading hours to standard trading hours?

Now we can place orders in pre-market trading hours, from 4 am to 9:30 am. And then we go into standard trading hours, 9:30 am to 4:30 pm. But I wonder then when will the Market Order Auction happen? ...
Parting's user avatar
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0 answers
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API for getting past 10 years of P&L data for a particular NSE/BSE stock [duplicate]

I am trying to get past 10 years P&L data for a bunch of Indian companies, but can't seem to find a good API to do so. I have tried yfinance, Alpha Vantage, IEX cloud and a few others. I tried web ...
Derek Langley's user avatar
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35 views

References/Direction on what functional of wealth to optimize for a given goal?

I seem to have gotten stuck trying to approach trading strategy development from a financial mathematics(?) perspective. To start, let: $T \gt 0.$ $\mathcal{T}$ be a closed non-empty set of $\mathbb{...
QMath's user avatar
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0 answers
207 views

trailing Stop Calculation for a strategy

I have converted pine script (UT-Bot by Yo_adriiiiaan) strategy to python but facing some errors. It requires TRA calculation and trailing stop calculation. Problem is that ...
user3696623's user avatar
2 votes
2 answers
143 views

Effective way to persist strategy real time orders to database? [closed]

Background: I'm building a trading system for the crypto market with Python, and currently having problems on how to effectively save my real time orders/trades to disk, so that I could monitor more ...
autoencoder's user avatar
2 votes
1 answer
139 views

Is the Gittins index useful in determining when to change an investment/trading strategy?

I've been reading about multi-armed bandits and the explore/exploit trade-off that can be solved with dynamic allocation indices such as the Gittins Index Theorem. Could this be applied to when to ...
LattePrincess's user avatar
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0 answers
102 views

Any document about general backtesting algorithm and data structure

(Note there are similar questions, with different focuses at this forum, but my focus is more on the general concept, if any, about backtesting (for stocks) and sources of information where I can go ...
Dino Hsu's user avatar
3 votes
0 answers
77 views

Methods for tracking option open interest intraday

It is my understanding that open interest option values on financial websites are a reflection of a snapshot value each day. Is anyone aware of methods for estimating intraday open interest, or aware ...
skepticalforever's user avatar
2 votes
1 answer
302 views

How to compare algorithmic trading strategy risk/reward performance? [closed]

I am setting up different algorithmic trading strategies with varying performance characteristics. I am new to this. The strategies vary greatly with their aggressiveness. I would like to find a way ...
Mikko Ohtamaa's user avatar
2 votes
2 answers
246 views

Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?

Apologies if this is not the correct forum for this question. Access to high frequency data (trade data, quote data, limit order book updates, etc.) is currently relatively easy through various public ...
QMath's user avatar
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3 votes
1 answer
460 views

High-frequency risk management methodologies

In a high-frequency environment, such as a proprietary trading firm or market making firm, the primary goal of the risk management team would be to limit potential losses, but how is that done in this ...
FISR's user avatar
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0 votes
1 answer
784 views

Micro Price vs multi-level micro price

Why do we use the micro price $$p_m = \frac{B_{\text{size}} A_{\text{price}} + A_{\text{size}} B_{\text{price}}}{ A_{\text{size}} + B_{\text{size}}}$$ rather than fixing $A_{\text{size}}$ and $B_{\...
iqaj's user avatar
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4 votes
1 answer
391 views

Continuous prediction vs Event-based predictions

When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
mr_mm's user avatar
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1 vote
0 answers
254 views

What is an algo wheel and where can I find references?

The term "algo wheel" has been flying around for some time yet I have yet to find a consistent definition. It obviously has to do with making trading strategies more comparable, but where ...
vonjd's user avatar
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0 votes
1 answer
59 views

For a trade to occur, should the ask price EXACTLY match the bid price, down to the last decimal point? [closed]

I had a doubt when going across the ways in which a trade happens. I have read that fora trade to happen, the buy order's price (bid) must match the sell order's price (ask). Now, what happens, if ...
PhotonicSauce's user avatar
1 vote
0 answers
70 views

Should we split data into several periods before calculating class weight? (Advances in Financial Machine Learning)

In the book, section 4.8 class weights, Marcos suggests applying class weight, which I agree because sometimes you have more bullish price action than bearish price action e.g. 52% of the time is ...
offchan's user avatar
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0 votes
1 answer
172 views

Scaling in and out of a strategy [closed]

I have developed a fully automated crypto trading strategy for which has been showing promising results and I am now looking to raise money to expand and hopefully trade to its full capacity in the ...
Jabran Zahid's user avatar
0 votes
0 answers
172 views

Inaccurate real time data from stock broker

I use Interactive Brokers and have a subscription to their NASDAQ data. I use it to get near real-time data for the stock PLUG. I used to get streaming 5-sec bars and aggregate them into 1-min bars, ...
R M's user avatar
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0 votes
1 answer
124 views

How to lower intraday trading commisions [closed]

I’ve been running an algo in paper trading (on Interactive Brokers) that I would like to switch over to live. It makes anywhere between 20-40 trades a day, which racks up a lot of commissions. Any ...
R M's user avatar
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0 votes
1 answer
167 views

Algorithm / formula / method to determine optimal weightings given expected return, % of volume and slippage

Please bear with me - I know I'm supposed to do this with a bunch of Greek letters but I don't know how so I'll just describe the data I have and what I am trying to do. I have an expected return for ...
lara_toff's user avatar
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3 votes
2 answers
495 views

Python: detecting measured moves of candlestick data

Goal: I'm looking to see if it's possible to programatically detect "measured moves" on candlestick data. The price data I am using is successfully retrieved from the TD Ameritrade platform ...
p.luck's user avatar
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0 votes
1 answer
707 views

crypto HFT architecture

This architecture is designed to minimize latency with the help of busy-spinning and CPU affinity locks(meaning each producer/consumer thread running in only one core), preventing a thread from ...
dopller's user avatar
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