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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115 views

What kind of option would best be suited for a price based algorithm?

So say I wanted to make money off of a simple RSI-MACD algorithm on SPY (ofc this may not necessarily make money, but let's say it does). I'd like to leverage my returns using call and put options, ...
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2answers
91 views

What is the disadvantage using the edge ratio?

I want to evaluate and optimize an algorithmic trading system. For this I want to follow a step by step approach - first looking at the entry, later at other aspects of it (money management, position ...
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101 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. ...
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4answers
2k views

Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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57 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 ...
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7answers
880 views

Learning and applying Quantitative Finance successfully as an individual instead of a team

In the past few months, I became really interested in using machine learning techniques in the realm of quantitative finance and trading. I made a few rudimentary models and I immediately realized how ...
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71 views

Just wondering any algo strategy popular for vanilla bond trading?

I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
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4answers
128 views

Which Nikkei225 futures contract to take?

I have a working (swing) trading strategy based on equity index futures in place. I enter and exit by giving market orders. The strategy generates roughly 40 trades per instrument per year. I want to ...
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118 views

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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2answers
386 views

Can one successfully daytrade 0dte options based on RSI?

I've been doing that manually for 2 months successfully (40% ROI) with SPX 0-1 DTE (Days To Expiration) options, both puts and calls. I might be just lucky so I purchased some data to do backtesting ...
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39 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 ...
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64 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
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2answers
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How to calculate 5 EMA

I am trying to understand the basics of finance indicators. I have made 15 minute ohlc candles for the past 50 days. Now if I try to calculate 5EMA, my doubt is ...
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16 views

Ratio of mean profit to its standard deviation in algorithmic trading system

I am trying to build a trend following system. Currently, I am backtesting it on historical data. After several thousand operations, the mean profit is positive after commissions, but its standard ...
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48 views

API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...
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2answers
82 views

Tips on building an automated trading system in python [closed]

I have an trading API that allows me to send/cancel/update orders. I have marketdata that I can use through another API that gives me orderbook data. Now let's say I want to build a simple arbitrage ...
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1answer
75 views

Do Institutions (large trading firms) use market orders?

It is well known that Institutional traders (Large trading firms, market makers) most of the time use LIMIT orders or Hidden limit orders. My question is, do they ever use market orders in their ...
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1answer
72 views

Broker that allows algo trading, no pdt rule and a low minimum deposit

I was looking for a broker that offers these things: ...
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45 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 ...
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1answer
124 views

How to propertly change time horizon in Avellaneda-Stoikov model?

I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
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4answers
1k views

Algorithmic Trading: Python vs SQL

I am new to algo trading. But I have bit of coding experience in SQL. Now I am planning to develop a Algorithmic Trading system. In here I am storing all the historical data in Database (PostgreSQL DB)...
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1answer
98 views

Accurate model but execution in backtesting is losing money

I have a binary classification model that predicts BUY (1) and SELL (-1) with an out of sample F1 score of 71% (precision is 65% and recall is 80%). The model's output is a probability of a BUY label ...
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78 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 ...
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3answers
353 views

Basics of trading strategy development

I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have ...
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1answer
106 views

How to manage theta, gamma, vega, and delta risk in options market making simulation

I'm just starting to learn how to trade options and as part of an algorithmic options market making simulation I have risk limits for the greeks (gamma, vega, delta, and theta). There are 9 strikes ...
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2answers
89 views

Why doesn't algorithmic trading require humans to digest new data?

Can't new data be divided into those that ought be digested by humans, and those that don't? If so, why aren't humans digesting the data that ought be digested by humans? Sell-offs could be down to ...
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2answers
110 views

How to use black scholes for spot trading?

Since I am very new to this topic, i am struggling to connect the option pricing with Spot Trading. Is there a way to use the Black-Scholes model to derive entry and exit Events? Any blogs or papers?...
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101 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 ...
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34 views

Charting & Trading platform with 3rd party integration

so it's 2020 and I'm surprised that there don't seem to be any platforms that provide clear and easy integration with a 3rd party backend for indicator/signal generation, charting, trade execution, ...
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5 views

Non-binary Strategy evaluation by comparing to a perfect baseline

When building a strategy, how do you evaluate if it is 'good enough'? Some may say 'Well if it has positive return and low drawdown it should be a good indication', and others will add more 'things it ...
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45 views

Correct labelling for trading strategies

In trying to build a ML powered trading strategy, one of the most important tasks is to correctly label the data so that the results of whatever classification algo you are using will be properly ...
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1answer
34 views

how to calculate/retrieve the number of sell orders (and buys orders as well) to detect iceberg orders

As a manual trader, i could identify the iceberg orders because my interface provided me in real time the number of buys and the number of sells at best ask and best bid. For instance, when the ...
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26 views

How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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141 views

Market Making constant volatility assumption

I have read a few papers on market making and all(nearly) assume that the stock follows a brownian motion with no drift and constant volatility.These assumptions seems un-intuitive to me because of ...
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1answer
373 views

What is the formula to calculate Implied Volatility Percentile [closed]

I googled and I am unable to find any formular . Can some one give me the formula to calculate IVP , based on sets of IV's given. Thanks.
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228 views

Is there something for API trading in E-mini S&P 500 Futures or other futures

I found a lot of results about data feeds, and I found some platforms (like Alpaca) for API trading. But none seem to have the possibility to sell/buy futures via a REST API. So my question is: Who ...
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1answer
64 views

How can I model the way that average Joe trades in FX markets?

I want to develop a trading bot that trades like a non-professional trader in FX markets. I wonder if it is possible to think that an average trader trades randomly regardless of the market conditions?...
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1answer
98 views

Futures vs. spot forecasting

If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
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44 views

Can simultaneous trades happen?

Investigating about matching engines i found that none of them acknowledges the scenario when two identical orders arrive at the exact same time. I get that it is very unlikely for this to happen, ...
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2answers
149 views

Genetic algorithm development - chromosome stucture based on buys/sells

Creating a GA algorithm for intraday trading (e.g., futures ES, NQ) is more difficult than textbook examples for GA function minimization/maximization. Initially, I assumed the parameters for buys ...
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0answers
50 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 ...
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1answer
74 views

Realized and Unrealized Profit and Loss [closed]

https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ What I want to know is, after Scenario 4 in this article how does the ...
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4answers
365 views

Backtest overfitting - in-sample vs out-of-sample

Recently, I read a great paper by De Prado et al. on backtest overfitting problem in Quantitative Finance titled Pseudo-Mathematics and Financial Charlatanism: the Effects of Backtest Overfitting on ...
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144 views

Implied volatility is returning infinity

I am trying to calculate implied volatility using javascript , I have following code ...
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2answers
335 views

How to understand micro-price (aka, weighted mid-price)?

The definition of micro-price is S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb) where Pa is the ask price, ...
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526 views

How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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Custom normalisation from 0 to 20

I want to normalise from 0 to 20 For example right now I do normalisation with dynamic outlier exclusion , using median. So it works fine for some values like below ...
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1answer
52 views

Normalization of volume

suppose we have volumes every minute like below 100, 200 , 19, 0 , 200 , 12 , 100 I want to convert all these numbers to less than 10 , where 10 is max and 1 is ...
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0answers
103 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 ...
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1answer
128 views

How to validate trading strategy performance

I'm backtesting some algorithmic trading strategy based on the buy/sell signals: To validate the strategy performance I compare it against the buy-and-hold strategy of the same asset and calculate ...