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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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99 views

Quant Interview Course [on hold]

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
52 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
60 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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0answers
69 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 ...
3
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1answer
92 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
61 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
63 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 ...
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1answer
95 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
75 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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1answer
71 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
453 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 ...
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1answer
249 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'...
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46 views

Convert long/short stock portfolio into one sector ETF position

Assuming a portfolio contains long and short positions in stocks that are in the same sector, is it possible to create a similar overall position using only the sector ETF to which the constituents ...
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1answer
525 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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0answers
32 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 ...
2
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1answer
174 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 ...
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1answer
70 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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1answer
88 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
484 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 ...
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1answer
408 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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335 views

Meyer Packard Algorithm and its implementation

I have been trying to programatically implement a type of genetic algorithm called the Meyer Packard algorithm and the resources tend to be cryptic in terms of describing the different components for ...
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0answers
63 views

What could be lead indicator for forex pairs like EUR-USD?

I am trying to look for intra-day lead indicators for FX pairs. For example what other securities like FX or bonds or indices can be considered as lead indicators with significant positive or negative ...
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1answer
653 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
88 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 ...
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2answers
145 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
255 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
245 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: ...
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1answer
693 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 ...
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1answer
217 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. ...
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1answer
116 views

Unsupervised learning and in out of sample

Assume we are given $N$ samples, let's say small timeseries of 1 hour resolution daily exchange rates - for the sake of argument. Each sample is a $24$ element vector $x$. Then we proceed to do ...
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0answers
263 views

Calculating target participation rate

I'm a beginner in the Algo trading domain and getting myself familiar with various standard algorithms. One the algorithms I'm currently focussing on is Percentage of Volume(POV) aka Participate ...
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1answer
289 views

Algorithmic Trading [closed]

I am a novice when it comes to algorithmic trading with strong interest in the subject matter. As I am looking around for online courses, I can only find one course called Algorithmic Trading ...
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0answers
95 views

How do I estimate opening call auction order book for equities?

The opening call auction crossing order book is partially sealed, i.e. only the specialist can see quotes. Is there a stock exchange where this data is available later to simulate the matching ...
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2answers
563 views

Why does algorithmic trading account for a significantly higher percentage of trades in the USA than in Europe or Asia?

I saw this study Why does algorithmic trading account for a significantly higher percentage of trades in the USA than in Europe or Asia? Is that because US-based exchanges offer more edge to high-...
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0answers
144 views

How can one estimate the percentage of trades that are performed using algorithmic trading?

Some studies try to estimate the percentage of trades that are performed using algorithmic trading, e.g. How can one estimate the percentage of trades that are performed using algorithmic trading?
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37 views

RegNMS, National best bid/offer and Smart Order Routing

I read Flash Boys when it first came out. If memory serves correctly it said US exchanges are required to forward received orders to another exchange if it has better prices, to achieve the best ...
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1answer
193 views

Normalise daily trading volume/value

How to normalise daily trading volume and trading value as features for RNN model of stock time series? The immediate answer could be: taking the global min/max, mean/std for each stock across the ...
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2answers
537 views

pairs trading, normalization

I am interested in implementing a simple pairs trading strategy using two correlated futures contracts. I am unsure what the best way to normalize the prices of the two instruments is. Essentially ...
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0answers
73 views

How can I extract market themes using an algorithm?

For example, "Trump tax cut" is a big theme after Trump got elected. How can I extract such themes programmatically, and how can I link the theme to a portfolio that trades on this theme? (long ...
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1answer
439 views

How to use exponential smoothing for trading?

I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
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0answers
76 views

Calculating basic win% of simple trend-following strategy?

I apologize if this isn't the correct place to post this. I'm not quite sure where else I should post on stackexchange. I'd like to preface this by saying I'm not actually planning on trading. This ...
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0answers
295 views

Trading strategies for increased realized volatility

Suppose once every 2-3 weeks I have a way to select a few equities that are likely to exhibit higher realized volatility in the future month (relative to the past month). Historically, the average ...
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4answers
366 views

Are there opportunities in the market for low volume hobbyist algorithmic traders? [closed]

It is understood that a hobbyist algorithmic trader will have a difficult time to compete against professional algorithmic traders in finding market ineffectivities to exploit in the general case. ...
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0answers
191 views

Variance swap “fast” models

As far as I understand, Variance Swap (VS for short) function as follows : no payment when entering the contract at maturity the VS buyer pays a strike $K^2$ and is paid (by the VS seller) the ...
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0answers
129 views

Yahoo options chain pricing vs stock broker pricing

I am having hard time understanding the price difference of yahoo option chains. For example: Yahoo shows for TWTR FEB 17, 2017 CALL @16.50 option ...
3
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1answer
1k views

Examples of algorithmic trading strategies for options [closed]

Most textbook examples, and resources online, talk about algorithmic trading of stocks, futures, forex, etc. They cover techniques like cointegration trading, ARIMA analysis, and many other more ...
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2answers
177 views

Scaling the data to train, then how to scale the input data?

I'm somewhat new into the world of trading algo's, so bare with me. I've made a dataframe with 5 features say. I used preprocessing.scale to scale it. I checked the csv dump of it and it looks fine ...
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0answers
880 views

Meaning of cross sectional rank

This paper mentions the concept of rank which is defined as cross sectional rank. For e.g. one of the alphas (#3) is (-1 * correlation(rank(open), rank(volume), 10)) 10 is just the number of days ...
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0answers
131 views

What new technologies are HFT or sell-side algo firms using along-side or within CEP engines/platforms?

For institutional-level deployment (PTF or sell-side algo market making), what new technologies are firms currently using along-side or within CEP engines/platforms to build and generate signals? ...
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2answers
156 views

What is the definition of a 10-day low? [closed]

Or for that matter a [n]-day low? (As it relates to market data/trading). When does a [n]-day low get disrupted and you have to begin tallying again?