# 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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### 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 ...
60 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 ...
157 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 ...
42 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, ...
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 ...
51 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 ...
34 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 ...
46 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, ...
79 views

### Has anyone _verifiably_ duplicated Yahoo's real time technical market indicators _numbers_? If so, how?

After spending the better part of a week trying to get a combination of Alpaca's API and Python libraries (alpaca_trade_api, pandas and ta) to duplicate the numbers produced by Yahoo! Finance's ...
63 views

### 2 ways to calculate profits, which both seem legit, but produce different results - what am I missing?

I'm trying to calculate this simple example with 2 ways which both seem legit, and getting different results. Way 1: at the beginning of day $t$, first reset the holdings to 0, then buy the number of ...
47 views

### RegNMS, National best bid/offer and Smart Order Routing

I read Flash Boys when it first came out. If memory serves correctly it said US exchanges are required to forward received orders to another exchange if it has better prices, to achieve the best ...