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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.

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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 ...
user1434997's user avatar
5 votes
2 answers
2k views

Does Fidelity Have a Python Trading API?

I'd like to do my trading through a corporate account at Fidelity, but there does not seem to be a Python api. What I'm looking for is something like this: https://github.com/jmfernandes/robin_stocks
Frederick Ollinger's user avatar
5 votes
0 answers
359 views

Algorithmic Trading Model Calculation and Stale Data

I'd like ask everyone a more concurrency programming but definitely quant-finance related question. How do you deal with staleness of data in market hours as quote ticks are streaming and your model ...
cowmoo's user avatar
  • 131
4 votes
1 answer
405 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
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4 votes
0 answers
161 views

Machine learning - assigning a value to each tradable moment

I've been looking at machine learning trading strategies for some time and realized recently that I've been neglecting a very important part of the equation in terms of training an effective model. In ...
SuperCodeBrah's user avatar
4 votes
0 answers
453 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
user997112's user avatar
3 votes
0 answers
77 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
697 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
  • 151
3 votes
0 answers
253 views

Known methods for big order detection

I have an access to the order book from stock market and i am interested in finding an anomalous behaviour. What are the known methods, algorithms for detecting big orders or other activities of ...
mkultra's user avatar
  • 278
3 votes
0 answers
291 views

Is it possible to match talib's RSI results down to machine precision using just python?

I want to match talib's RSI with just python down to machine precision and I'm struggling. Out of curiosity I also tried a bunch of libraries like tulipy and pandas_ta and the gaps are similar. ...
user165494's user avatar
3 votes
0 answers
112 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 ...
Blue Swan's user avatar
3 votes
0 answers
288 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 ...
Olórin's user avatar
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3 votes
0 answers
51 views

Clarification of Saturation-Reset Regimes

I have worked my way through this article, waiting to get into school I have been self-learning a bit. I have a good grasp on most of the article, but the component strategy of Saturation and Reset ...
Liz Young's user avatar
  • 131
3 votes
0 answers
399 views

Correlation between idiosyncratic residuals and forward returns

The classic mean-reversion strategy is to calculate an "expected return" (alpha) by computing the raw return for each security and then remove the part which you think is market driven. Statistically ...
statquant's user avatar
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2 votes
0 answers
147 views

Bound on path length of a stock price

Consider a time series $(S_i)$ representing a stock price (say close prices of one minute candles). Let $\Delta$ be a quantization step (could be the price step in the strike prices of the ...
TryingHardToBecomeAGoodPrSlvr's user avatar
2 votes
1 answer
312 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
2 votes
0 answers
253 views

What theory and philosophy is algorithmic trading based on?

I work in model validation and I am familiar with classical investment strategies, economic theories and pricing models of options and I am curious about algorithmic trading. What is it driven by? ...
sigma1988's user avatar
2 votes
0 answers
122 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 ...
hbadger19042's user avatar
2 votes
0 answers
325 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 ...
Hamish Gibson's user avatar
2 votes
0 answers
182 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 ...
New quant's user avatar
2 votes
0 answers
370 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 ...
floorscrapers's user avatar
2 votes
0 answers
87 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 ...
PiE's user avatar
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2 votes
0 answers
189 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?
Franck Dernoncourt's user avatar
2 votes
0 answers
438 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 ...
qcqp's user avatar
  • 21
2 votes
0 answers
301 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this so far, ...
Alex's user avatar
  • 21
2 votes
0 answers
441 views

Downloading IB futures data and then making a datapump to another program

I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ...
user19145's user avatar
2 votes
0 answers
81 views

What is the minimum price change required for a trading position increase of 1?

Suppose I have a trading system that calculates the daily risk adjusted position from the annualized risk, that is, the standard deviation of the returns of a stock over an arbitrary period of time. I ...
mesllo's user avatar
  • 121
2 votes
0 answers
199 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
Dave's user avatar
  • 223
1 vote
0 answers
35 views

Understanding the channel break out logic in FSM model by Eugene A. Durenard

I am reading and replicating some code from "Professional Automated Trading" by Eugene A. Durenard, Wiley (2013). I'm replicating some of the simpler strategies, and one way he presents the ...
xxtensionxx's user avatar
1 vote
0 answers
52 views

Am I overcomplicating this approach to optimal actions based on a forecast?

I have been attempting to implement a simplified version of the model used in this paper which, given a forecast of future data, provides an optimal way of acting on it by choosing an optimal sequence ...
QMath's user avatar
  • 249
1 vote
0 answers
44 views

Guidance on Execution Algo Passive order placer?

Could someone help with any relevant literature about building an Execution Algo and things to consider and keep in mind for optimal passive order placements? There are basic algos like TWAP/VWAP/POV ...
VidhayakChacha01's user avatar
1 vote
0 answers
267 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
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1 vote
0 answers
70 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 ...
offchan's user avatar
  • 111
1 vote
0 answers
89 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
165 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
  • 151
1 vote
0 answers
106 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
1 vote
0 answers
105 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
1 vote
1 answer
1k views

In Avellaneda-Stoikov market making, what is the difference between "reservation prices" and "optimal bid ask quotes"?

Question What is the difference between "reservation price" and "optimal bid and ask quotes"? Are they the same thing? (1) Reservaton price In the paper High-frequency trading ...
Eiffelbear's user avatar
1 vote
0 answers
275 views

Market making algo using bid ask order volume ladder

I am looking for references for market-making strategies using bid-ask order ladder. Algo should suggest entry prices, and do inventory management. I am more interested in practical simple algo used ...
adam's user avatar
  • 539
1 vote
0 answers
68 views

What types of messaging middleware solutions are used by the biggest exchanges like Nasdaq, NYSE, ICE, NYMEX, Japan Exchange Group, Euronext, etc?

Exchanges are famous for having to deal with a huge amount of messages. For example, some years (decades?) ago Nasdaq has migrated their reliable UDP protocol from 32-bit, which could support sequence ...
Richard Brason's user avatar
1 vote
0 answers
117 views

OLPS in real conditions

The Online Portfolio Selection problem has been extensively researched over the years, and various models have been implemented in open-source projects on GitHub. However the theoretical frameworks of ...
Dr. Paprika's user avatar
1 vote
0 answers
286 views

Pairs Trading (Cointegration Approach) - Daily Cointegration Test

I have a question regarding the Pairs Trading strategy based on the Cointegration Approach. Most of the papers/literature I found on Pairs Trading using the Cointegration Approach are usually testing ...
Rkl4397qa's user avatar
1 vote
0 answers
998 views

How do you detect order execution algorithms?

Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then ...
Dylan Kerler's user avatar
1 vote
0 answers
192 views

Machine learning algorithms that generate trading models (literature)?

Is there any academic literature on machine learning algorithms that are able to generate functioning trading models? Would this even be feasible at all, now or in the future? Could you point me to ...
Yass44's user avatar
  • 11
1 vote
0 answers
150 views

Forex trailing stops - better alternatives?

I've been pursuing the holy grail of trading, short term FX trading, using machine learning. I've experimented with a ton of strategies but mainly those revolving around holding each trade for a ...
SuperCodeBrah's user avatar
1 vote
2 answers
174 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 ...
Mehdi Zare's user avatar
1 vote
0 answers
78 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 ...
develarist's user avatar
  • 3,000
1 vote
0 answers
164 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 ...
Mark Horvath's user avatar
1 vote
0 answers
82 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 ...
Slow Learner's user avatar
  • 1,170
1 vote
0 answers
166 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? ...
Ian's user avatar
  • 11