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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
49 views

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
0 votes
0 answers
54 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
  • 1
0 votes
0 answers
46 views

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 ...
AlexBB's user avatar
  • 1
0 votes
0 answers
36 views

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
0 votes
0 answers
52 views

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
  • 1
2 votes
1 answer
276 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
0 votes
0 answers
31 views

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
192 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
0 votes
0 answers
71 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
  • 33
0 votes
0 answers
52 views

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
  • 1
0 votes
0 answers
40 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
  • 123
0 votes
0 answers
15 views

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
0 votes
0 answers
32 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
  • 229
0 votes
0 answers
113 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
122 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
3 votes
1 answer
124 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
0 votes
0 answers
80 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
75 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
3 votes
1 answer
247 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
190 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
  • 229
3 votes
1 answer
357 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
  • 117
0 votes
1 answer
520 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
  • 3
0 votes
0 answers
62 views

Academic literature on quantitative trading [duplicate]

I’m looking for an academic paper (a survey) on quantitative (algorithmic) trading. Not for a list of resources, a survey on popular strategies,history and so on. Those that I came across are heavily ...
Stany's user avatar
  • 1
4 votes
1 answer
321 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
  • 103
1 vote
0 answers
191 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
  • 27.3k
0 votes
1 answer
55 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
67 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 ...
chancdn's user avatar
  • 111
1 vote
1 answer
145 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
151 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
  • 11
0 votes
1 answer
120 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
  • 11
0 votes
1 answer
141 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
  • 113
3 votes
2 answers
422 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
  • 131
0 votes
1 answer
616 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
  • 173
0 votes
1 answer
375 views

Should we include constant in linear regression in pairs trading?

Should we include constant in linear regression while calculating hedge ratio for pairs trading strategy?
Qbik's user avatar
  • 1,018
1 vote
0 answers
244 views

How can a top-of-the book market maker protect itself from exploiting?

Let's consider there is an instrument N traded on a single venue (centralized anonymous limit orderbook). Let's say that most taker orders are tiny, therefore the one who stays at the best bid/offer ...
kandi's user avatar
  • 43
1 vote
1 answer
389 views

Suggestions for backtesting machine learning 'model'/strategy in Python

I have coded a machine learning algo (sklearn) in Python, that uses different 'look back periods' for training a model, which is then used to predict future prices of a stock. It has a 52% accuracy in ...
Cairan Van Rooyen's user avatar
8 votes
5 answers
4k views

Does anyone know where to practice mental math for trader interviews in MC format? [duplicate]

I am currently using zetamac (has customizable number ranges but doesn't allow for decimals), tradermath (seems to be made to resemble the actual test for flow but costs money unfortunately), and ...
Quant In Spe's user avatar
1 vote
0 answers
79 views

ATR with direction considered?

ATR is defined without considering the direction of the move. But when the price is going up or going down, just knowing the range loses some of the big pictures. Is there a modified definition of ATR,...
user11980328's user avatar
1 vote
0 answers
147 views

How to optimize the finding of divergences between 2 signals

I am trying to create an indicator that will find all the divergences between 2 signals. (A divergence being defined as t1, t2 such that one signal increases between t1 and t2 while the other ...
Mircea's user avatar
  • 141
0 votes
0 answers
207 views

Relation between historical volatility and ATR?

https://help.tc2000.com/m/69445/l/754439-historical-volatility-ratio "Historical volatility is calculated by taking the standard deviation of the natural log of the ratio of consecutive closing ...
user11980328's user avatar
1 vote
0 answers
101 views

Correlation between fundamental and market data

I got hold of a data set which contains fundamental data like analyst recommendations/revisions (consensus only) and I am trying to come up with an idea of how this could be used as a trading signal ...
ThatQuantDude's user avatar
0 votes
0 answers
38 views

free download of 1- or 5-minute stock quote data [duplicate]

I know Yahoo has stock quote data (OHLCV). But it contains errors. tdameritrade API have 1- and 5-minute data. But it only starts at 7AM ET, instead of 4AM ET. It is only limited to 182 trading days, ...
user11980328's user avatar
0 votes
0 answers
65 views

Should I always round the data before even trying defining and backtesting my trading strategy?

Newbie here, it happens that I have 8 months of OHLC price data set at 1 hour timeframe from a particular cryptocurrency (ticket) called ALICE, here's a little ...
Noah Verner's user avatar
2 votes
1 answer
588 views

TradingView STC vs any python STC

I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly. The chart that I am using is BTC/USDT on UTC as a timeframe. Chart time: 01 Feb 22 - 16:...
Mircea's user avatar
  • 141
1 vote
0 answers
102 views

Can a losing algo strategy be good if it was winning for 1000 trades?

My algo, in back test, runs for 1000 trades and makes a 10% profit (over a few weeks of candles), from research it seems 1000 trades is statistically significant. Obvs not all 1000 trades were winners ...
brownie74's user avatar
2 votes
1 answer
172 views

Backtest with mid-quotes?

I have built a trading strategy and also a backtest. The backtest has been a lot of work. I was using mid-prices throughout. It’s based on candles, so I make trading decisions at the end of each bar. ...
brownie74's user avatar
0 votes
1 answer
206 views

Workflow in algorithmic strategies

Sorry for the basic question, I'm trying to educate myself on algorithmic strategies. Just to see how it works, my idea is to create a simple moving average strategy. Let us suppose I have $N$ ...
AbateFaria's user avatar
0 votes
1 answer
166 views

What kinds of data should be curated for day trading?

From previous research about data curation with research papers, it seems to me that most algorithmic trading systems (at least in regards to day trading) solely use historical price data- but I'd be ...
johndoedodgytoe's user avatar
0 votes
1 answer
156 views

Trading currency on Kraken.com platform using their REST API (AddOrder), is this correct?

I would like some confirmation on whether what I came up for buying/selling currency on kraken.com is valid. Right now I get ...
bliako's user avatar
  • 101
0 votes
0 answers
125 views

Bull/Bear/Flat Market mathematical definition

I need to label historical dataset by market type and look for automated solution. I have couple related questions. Maybe there some ready solutions that I was not able to find? Is there some price ...
Myron's user avatar
  • 1

1
2 3 4 5
8