Algorithmic trading is the process of taking in inputs such as market data, current news, and producing orders without human intervention.

126 questions
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### 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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### 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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### Except Zipline, are there any other Pythonic algorithmic trading library I can choose?

Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
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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 ...
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### 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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### Regime-Switching Model for detecting market shifts

I'm always wondering whether anyone has utilized regime-switching models successfully in forecasting or trading. Academia has long discussed this topic in-depth, such as using Regime Switching ...
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### 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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### 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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### 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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I'm an engineer doing academic research for my master thesis in the area of quantitative finance, basically the purpose is to study the possibility to create an intraday-trading algorithm. I've tried ...
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### 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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### 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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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 \... 1answer 48 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 ... 1answer 74 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 ... 0answers 61 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 ... 2answers 162 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 ... 0answers 43 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 ... 1answer 101 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 ... 1answer 108 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 ... 1answer 91 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 ... 2answers 159 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 ... 2answers 364 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 ... 2answers 70 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 ... 1answer 314 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: ... 1answer 74 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, ...,... 0answers 93 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 ... 5answers 2k views ### Please advise on the choice of an automated trading framework I'd like to start automating my trading strategies. I'm not looking for a fast and easy solution, therefore the programming language is not important for me, I am ready to spend an extra year to ... 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 ... 2answers 99 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 ... 2answers 77 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 ... 1answer 108 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, ... 2answers 193 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 ... 1answer 717 views ### How is the Order priority of an Iceberg order decided? Typically, markets guarantee a FIFO order of priority of execution for various orders at the same price. I want to know does this hold true for Iceberg orders? for eg Order1 = Buy 100 Quantities @ 2 ... 4answers 5k views ### Why are there still manual market makers in options Why are manual market makers still predominant in options markets? Why haven't algorithms replaced these market makers, as they have for liquid stocks for example? 1answer 574 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 ... 1answer 307 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'... 0answers 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 ... 1answer 232 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 ... 1answer 75 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 ... 1answer 623 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 ... 1answer 687 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 ... 1answer 258 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. ... 3answers 674 views ### Why do Human traders make money? Over the years I met a couple of dozen of (human) traders who I'd consider good (being in the business for several years, generating a reasonably steady income). I had chances to chat with some of ... 1answer 99 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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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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### 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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### 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: ...