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 ...
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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 ...
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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 ...
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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
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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 ...
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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 ...
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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 ...
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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 ...
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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.
...
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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 ...
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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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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 ...
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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 ...
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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 ...
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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:...
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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? ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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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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, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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,...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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How do you formulate trading ideas and strategies?
I have access to some tick data and Bloomberg data. Outside of data mining and hoping to find an economic rationale after the fact, what do you usually do to generate ideas before you look at the ...
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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 ...
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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 ...
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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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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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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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Good state of the art document about Algo Trading systems
I'm currently working on the requirements phase of a software project, and need get an overview of the industry regarding the tools available for Algo Trading.
My first idea was to look for Gartner's ...
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Correct term for position accumulation relative to price?
I've been looking at various accumulation algos and it appears that the greater majority are predicated on building a position largely relative to a time component or market volume for obvious reasons....
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