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.
186
questions
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55 views
Market on Close orders
This is in reference to an article from zerohedge:
[The article references an "MOC" order, which is a "Market-on-Close" order].
What type of order is it? I looked at the definition ...
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0answers
29 views
Automated Trading without API
Unfortunately, in my country no broker provides me with API. Is there a way to automate my trading?
3
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0answers
70 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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3answers
91 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 ...
0
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0answers
113 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 ...
3
votes
2answers
367 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 ...
2
votes
0answers
37 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 ...
0
votes
1answer
62 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 ...
0
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2answers
64 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
15 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
41 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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votes
2answers
78 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 ...
1
vote
1answer
68 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
59 views
Broker that allows algo trading, no pdt rule and a low minimum deposit
I was looking for a broker that offers these things:
...
2
votes
0answers
42 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
votes
1answer
107 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 ...
2
votes
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)...
0
votes
1answer
96 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 ...
3
votes
0answers
76 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 ...
3
votes
3answers
340 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 ...
1
vote
1answer
101 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 ...
1
vote
2answers
87 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 ...
2
votes
2answers
106 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?...
2
votes
0answers
86 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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0answers
32 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, ...
0
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0answers
5 views
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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0answers
44 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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vote
1answer
30 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 ...
0
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0answers
24 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 ...
1
vote
0answers
137 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 ...
1
vote
1answer
224 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.
1
vote
1answer
180 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 ...
0
votes
1answer
64 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?...
1
vote
1answer
94 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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0answers
44 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, ...
1
vote
2answers
147 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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0answers
49 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 ...
0
votes
1answer
69 views
Realized and Unrealized Profit and Loss [closed]
https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/
What I want to know is, after Scenario 4 in this article how does the ...
4
votes
4answers
299 views
Backtest overfitting - in-sample vs out-of-sample
Recently, I read a great paper by De Prado et al. on backtest overfitting problem in Quantitative Finance titled Pseudo-Mathematics and Financial Charlatanism: the Effects of Backtest Overfitting on ...
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2answers
141 views
Implied volatility is returning infinity
I am trying to calculate implied volatility using javascript , I have following code
...
1
vote
2answers
244 views
How to understand micro-price (aka, weighted mid-price)?
The definition of micro-price is
S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb)
where Pa is the ask price, ...
3
votes
3answers
510 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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votes
1answer
36 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
...
1
vote
1answer
46 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 ...
2
votes
0answers
95 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
votes
1answer
125 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 ...
0
votes
0answers
77 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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0answers
51 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 ...
3
votes
1answer
105 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
votes
3answers
284 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 ...
