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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Convert stock symbols so that they are useful for Yahoo Finance (yfinance)
I am working on my first investment algorithm, and I am using the following list of stock symbols and company names:
https://public.acho.io/embed/...
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34 views
Exchange order matching system/core for local testing
I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core).
I remember, that I have seen on GitHub repo, ...
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1answer
100 views
What is the quickest way to start a database for algo trading from scratch?
Many people who are interested in algo/quant trading must have faced the same question before: how do I set up my own database from scratch?
I think much effort has been duplicated when we brainstorm ...
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1answer
250 views
Formerly profitable algorithmic trading strategies?
Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
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1k views
How long do algorithmic trading strategies typically remain profitable?
As I understand it, an algorithmic trading strategy could lose profitability, if, for example:
it's rediscovered by others
employee turnover leaks the strategy to others
market conditions change ...
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1answer
65 views
Steps to fit a Machine learning model for prediction of up and down market movement
I have around 5 years of data of an index containing many features on a daily basis. I want to classify whether the index will move up or down the next trading day (up or down movement is determined ...
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1answer
346 views
What are the “sniffing” or “stalking” algorithms?
I was looking for all the sorts of trading algorithms used in stock market and I came across the so-called "sniffing" algorithms. However, the explanations of this concept I found are very ...
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64 views
Effectiveness of trading strategies
Generally, a trading strategy is effective for a certain duration which is a function of the environment, news etc. I am currently learning about basic strategies that are (or once were) used. Some ...
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94 views
Pairs Trading Strategy Pre-Selection
I am writing paper on the profitability of the pairs trading strategy using US equities. I have done a pre-check to see which business sectors have stocks that are cointegrated. The utilities sector ...
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94 views
Pairs Trading (Cointegration Approach) - Daily Cointegration Test
I have a question regarding the Pairs Trading strategy based on the Cointegration Approach.
Most of the papers/literature I found on Pairs Trading using the Cointegration Approach are usually testing ...
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0answers
36 views
Strategy in mql5
I have the following code(is not mine) in an Expert Advisor:
if((Handle(DXHandle, 0) - Simbolo.Ask()) >= (DXPontosDistancia * _Point)){...}
Handle(DXHandle,0) ...
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1answer
114 views
Python library for tick-based backtesting on cryptos
I saw and reviewed many python backtesting libraries - pyalgotrade, zipline, catalyst, backtrader, etc.
It seems that none of the provide a straightforward way to perform "Tick-based or Multi-...
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16 views
Understanding additive profit of risky and risk free asset
I was going through paper "Learning to Trade via Direct Reinforcement" by Moody and Saffell. It explains additive profit as follows
Additive profits are appropriate to consider if each ...
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1answer
67 views
How to Manage Large Orders
Forgive me for any violations of posting rules, I’m new to this forum.
I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...
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0answers
185 views
What theory and philosophy is algorithmic trading based on?
I work in model validation and I am familiar with classical investment strategies, economic theories and pricing models of options and I am curious about algorithmic trading. What is it driven by? ...
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0answers
101 views
How do you detect order execution algorithms?
Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then ...
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3answers
416 views
Deep Reinforcement Learning in Quant Finance?
I've been struggling to find engaging papers on the application of deep reinforcement learning in quantitative risk analysis, portfolio management, algorithmic trading and/or options pricing. What are ...
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0answers
25 views
How to deal with outliers when normalizing price related input in algorithmic trading
I am training a CNN model for trading using indicator and MA lines to compose a 2D array as input. I want to normalize MA data(ema, sma...) into range between -1 and 1, I have tried several techniques ...
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1answer
30 views
Why does historical equity ticks from Dukascopy.com not contain trade ticks?
I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly ...
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1answer
106 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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36 views
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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1answer
78 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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1answer
131 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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1answer
322 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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0answers
127 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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0answers
44 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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45 views
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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40 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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1answer
152 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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2answers
147 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 ...
3
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0answers
182 views
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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4answers
2k views
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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0answers
93 views
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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7answers
1k 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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1answer
113 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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4answers
256 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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0answers
162 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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3answers
515 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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0answers
60 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
69 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
93 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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0answers
39 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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0answers
63 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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2answers
94 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
95 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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1answer
451 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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0answers
81 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 ...
2
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1answer
284 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
2k 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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1answer
183 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 ...
