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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How can we reverse engineer a market-making algorithm (HFT)?
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange.
Assume furthermore that we are ...
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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?
Update: Since Quantopian closed, there are some Zipline forks like:
https://pypi....
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Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
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Is my trading strategy search methodology sound?
I'm building an algorithmic trading business. I'd be grateful for informed comments and opinions on my trading strategy search methodology.
Goal
Develop (profitable!) fully automated intra-day ...
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Excellent information source on advanced machine learning / data mining based trading?
I did check the related posts, like this one here.
However, given if one already has knowledge in finance, machine learning and statistics, and wants to know something more advanced on machine ...
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How are risk management practices applied to ML/AI-based automated trading systems
A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...
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Main backtesting & trading solutions: QuantFactory, Deltix, etc.
What are the most used/mature/promising commercial solutions today which handle backtesting/ automated trading needs?
I'm talking about vertical product suites like QuantFactory or Deltix which ...
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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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Free paper trading site with an API
I've got a quanitative trading model I want to test out in the real stock market. Right now, I'm writing some code to pull "live" quotes from yahoo, feed them to my model, and keep track of the ...
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Techniques to optimize the placement of orders in market making strategy?
Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
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How to combine multiple trading algorithms?
Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
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How do you distinguish "significant" moves from noise?
How do you distinguish between losses that are within the normal range for day-to-day shifts and situations with a real potential for loss? The specific application I have in mind is pattern ...
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Is there a way to estimate (predict) the half life of a quantitative trading system?
Usually even good performing quant trading strategies work for a while and then return start to shrink. I see two reasons for that which would probably give rise to different analysis:
The Strategy ...
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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 ...
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Papers about risk management in algorithmic trading?
I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems.
I have done research about this topic and found some ...
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References for developing an automated trading system?
I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
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Order submission strategies of a rational market maker?
Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread.
Assume furthermore that he has no current inventory in the stock A. To ...
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How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
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Can social media be applied to algorithmic trading?
Can social media sites, like Twitter, be used to analyze financial markets for algorithmic trading? How much research has been done on this topic?
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How to account for transaction costs in a simulated market environment?
I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction cost....
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Free market data (delayed or snapshot)
I know there are similar questions but I don't think there are any identical ones.
Basically, I'm looking for one of these two things.
Delayed market data feed. A tick by tick feed, but delayed by ...
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Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
...
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Which algorithms do robo-advisors use?
Some pundits claim that there is a revolution in portfolio management under way: The rise of the robots, a.k.a. robo-advisors. The most well known are Betterment.com, FutureAdvisor, Schwab Intelligent ...
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What is a medium to low frequency trading strategy and why is it less hyped?
The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period.
How are ...
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Is it really possible to create a robust algorithmic trading strategy for intraday trading?
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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Sources of Machine Readable News
I'm starting on a project that involves correlating and forecasting Forex time series to news releases. I'm aware of sources such as Thomson Reuter's machine readable news and Dow Jone's Newswire ...
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Which brokers offer a .NET stock trading API?
I'm trying to make up my mind and choose a broker, however much of my choice depends on the trading API offered.
I'm definitely not interested in FIX solutions and I'd very much like a .NET ...
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What approaches are there to order handling in automated trading?
I am currently developing a commercial automated trading program in which users can write their own proprietary code and develop strategies, like in NinjaTrader, MetaTrader etc. Right now I am working ...
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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?
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How to properly evaluate backtest returns?
Do you evaluate a strategy in a backtest based on the cumulative returns generated by the strategy (i.e. looking at the cumulative returns of the trades that occur) or do you start with a certain ...
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What kind of return can an average algorithmic trading firm achieve today?
What kind of rate of return can an average, equities-focused algorithmic trading firm expect to achieve today?
I come from a background of control and optimization, working in the industry in China, ...
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Optimal execution and reinforcement learning
Suppose a fairly simple problem: You have to buy (resp sell) a given number of shares V in a fixed time horizon H with the aim to minimize your capital spent (resp maximize your revenue).
There are ...
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What strategy would benefit most from having the fastest connection to the exchange?
Imagine that you have the fastest connection to the exchange (receive quotes 1 ms earlier than everyone else) for both stocks and derivatives.
How would you benefit from this?
Of course almost any ...
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Real-time & Fast S&P 500 E-Mini Futures (ES) Data
I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible.
I'...
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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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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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Which features to include in an algorithmic trading dashboard?
I have been hacking around with algorithmic trading as a hobby project to build my data analysis skills, coding skills, and learn more about financial markets. As part of this project I am interested ...
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how do you evaluate an FX market EMS?
My firm is investigating FX EMS systems to see if we can reduce execution costs for our trading strategies that involve FX (not low latency).
The liquidity providers are a few major banks. We're ...
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A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
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How long do algorithmic trading strategies typically remain profitable?
As I understand it, an algorithmic trading strategy could lose profitability, if, for example:
it's rediscovered by others
employee turnover leaks the strategy to others
market conditions change ...
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What kind of front end/ gui is used with trading applications?
I was wondering what kind of front end is used for trading applications. Coming from a quant background, I was always only concerned with research and back end of the application but am at a total ...
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Algorithm to detect the aggressor side of a trade
Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed API's....
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Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
Allow me to explain.
You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
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Are there any integrated framework that I can back-test and paper/live trading in one place?
I'm trying to start working on a fully automated algorithmic trading system, and I'm a little struggling with the framework to use.
The requirements I have in my mind are:
Needs to support back-...
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When should we use SWIFT versus FIX?
I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
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Quantitative Finance Programming Language
Since couple of weeks, I started to do my research on quant finance. During this time, I could discover a lot of stuff and with that stuff, a lot of questions came to my mind. A lot of news or ...
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How to distinguish between different types of algorithmic trading
Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
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Defining an objective function for machine learning task of trading
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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How to vet an intraday strategy
I am working on an intraday strategy using 5/10 minute bars. I am getting a decent return and sharpe on the strategy. But on close examination I see that I am making about 1 cent per trade (I haven't ...
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FIX- what exactly do repeating groups represent?
I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
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