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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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
121 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
94 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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48 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
274 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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68 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
89 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
108 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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59 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 ...
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1answer
45 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 ...
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1answer
53 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
77 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
697 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
52 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
79 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
232 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
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0answers
66 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
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2answers
177 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
48 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 ...
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1answer
107 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
203 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
133 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
131 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
206 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 ...
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2answers
661 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
75 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 ...
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1answer
91 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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111 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 ...
4
votes
2answers
333 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
146 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
82 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
114 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
242 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
333 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 ...
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1answer
632 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
370 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'...
2
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1answer
2k 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 ...
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35 views
List of long-Term Support & Resistance in forex or stocks [duplicate]
I'm looking for a study of historic long-Term Support & Resistance in forex or stocks.
If possible with their level of strength (strong, medium...).
Example
...
3
votes
1answer
249 views
approach on trading algorithm using machine learning [closed]
let's say I am supervising a algorithmic trading project using machine learning. I don't have involvement in the technical side but am involved in the high level planning.
the style is likely ...
2
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1answer
79 views
Adding a new strategy to an existing portfolio
I wanted some help in looking for suitable articles/literature. Suppose an investor has a bunch (bouquet?) of quantitative strategies already generating trading signals for him. If he comes up with a ...
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2answers
188 views
Understanding Forex Positions
I am new to forex trading and using an Oanda free practice account to play with it. However, I'm not understanding a few things.
When I buy or sell a currency pair, am I buying/selling a currency or ...
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1answer
680 views
Google Finance API for historical price data analysis?
I've been trying to build a trading algorithm and fooled myself into thinking it worked. Turns out, Google Finance quite often returns the wrong data. Not "sorry, we couldn't return data for this ...
4
votes
1answer
863 views
Understanding Cover's Universal Portfolio Algorithm
I am trying to implement the Universal Portfolio algorithm strategy inspired by the paper by Professor Cover from Stanford.
At the moment I am trying to understand the underlying logic of the ...
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1answer
1k views
3rd party API like IBPy for Interactive Brokers python API?
I've read some tutorial of the Interactive Brokers API's TWS and it seems very low level and requires so much work just to place a simple market order.
I've come across IBPy and just wondering how ...
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1answer
104 views
How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?
I have a quant strategy that I want to implement in order to establish an official track record, but I'm not sure what I have to do. I have about $100k to set this thing up and would appreciate ...
2
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2answers
157 views
Evidence that supports the assumption that prices are random processes
I have heard that the price of stock or future changing over time is a random process, namely, a martingale, and no one can have an edge. Is there any evidence supporting this assumption?
Why do so ...
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1answer
359 views
How to properly set strategy parameters and select portfolio
I have the following strategy pipeline which is a function of several hyperparameters and execution parameters:
...
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1answer
330 views
Scaling (Data prep) & Feature selection for the financial Data for LSTM Models
Overview
I'm training an index e.g. FTSE100, where I have 8 years of past data (daily). I also have a list of its constituents.
For each stock, I have the following features:
...
8
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1answer
824 views
Efficient integration of tick data feed with signal generation
The goal is to design the integration of processes generating trading signal doing analytics on a stream of asynchronous tick data retrieved using the native Python TWS API of Interactive Brokers. Two ...
4
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1answer
295 views
What are the consequences of violating Hansen-Jagannathan bounds?
Note I have added much more detail to this question I have decided to add the detail without altering the original text since a number of those of you offering assistance asked for clarification. ...
