Algorithmic trading is the process of taking in inputs such as market data, current news, and producing orders without human intervention.

189 questions
Filter by
Sorted by
Tagged with
175 views

What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?
51 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 ...
107 views

### Dollar bars in Advances in Financial Machine Learning book

Does anyone have use the dollar bars for building a strategy? I would like to know what ways you guys might be interested to set the dollar bars' parameter ( the dollar value ). I have thought of one ...
286 views

This has been bugging me for a while. I've tried to make a trading algorithm and they usually perform poorly; but here's the hitch: If my algorithm suggests I long stocks a, b and c, and suggests I ...
24 views

### Zipline calendar spanning multiple days

I am trying to back test an algorithm using zipline and need to build a zipline calendar that maps to my brokers opening hours. My broker (FXCM) opens on Sunday at 17:00 and closes on Friday at 16:55. ...
155 views

### Algorithmic Trading Competition at MIT

Has anyone participated in MIT trading competition before(traders@mit)? Wondering what type of data are used-tick data or bar data-and are participants connected to a web socket? Are we allowed to ...
242 views

### Arithmetic Brownian Motion in Market Making papers

We often consider high-frequency market maker and suppose that the reference price is the arithmetic Brownian Motion: $dS_{t} = \sigma d W_t$ What is the difference $t_n - t_{n-1}$ in this case? Is ...
127 views

### Definition of „getting picked off“ [closed]

Is there a precise definition of what getting picked off means. In particular I want to check whether I have been picked off. How can I measure this quantitatively?
907 views

### Position sizing in algorithmic trading

Good morning, I have a question, regarding position size in algorithmic trading. I have a strategy that every day generates signals for buying or selling positions on different stocks. I'm looking ...
72 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 ...
129 views

### Does a combined Portfolio always performs like the average of the merged subportfolios?

I analyzed the historic data of the SP500 and tried a trading simulation on it. I picked the best 20 companies from SP500 for one year according to their ROE and put them in one portfolio. Let's call ...
130 views

### Building a semi-discretionary system

I've been investing for the last 15 years in a weird Buffett/Soros way. For the last few years I've been toying with the idea of modeling myself. I want to build a 'stock screener' that will be able ...
61 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 ...
48 views

### Function price output hops around sometimes due to rounding

Say we have a function for estimating the fair price of a security. The function gives outputs rounded to the nearest 0.5 (that is, the raw output is not a rounded float, but can have a decimal part ...
54 views

### How to optimize a series of equations whose outputs are a variable of the subsequent equatinos

The basic question is, given $f(x) = y$ and $f(y) = z$, how can you find $x$ such that $z$ is at its maximum? I can optimize each equation independently, but I do not know how to optimize when ...
94 views

### How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
2k views

### Market Making Algorithm/ Strategies

I have been taking a "Trading Strategies" course, but the experience is awful as the instructor barely provides any learning resources. I have an upcoming evaluation on market making algorithm using ...
56 views

### Advantage to access “non-display data”?

There's data which is hidden from the exchanges called "non-display data"? For a standard stock day trader, is there an advantage to get that type of data? Can I be in the first people to see the big ...
82 views

### How can I calculate the amount of volume to use to ensure highest profit on an arbitrage trade of two Constant Product Market Making exchanges? [closed]

If there exists an arbitrage opportunity between two Constant Product Market Making exchanges, how can you confidently determine the maximum volume to use in order to ensure highest profit? I can ...
342 views

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 ...
76 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 ...
196 views

### Why Good forecasting != Good trading? [closed]

In AI for algorithmic trading: 7 mistakes that could make me broke the author talks about why good forecasting cannot equal good trading based on the strategy selected. While reading the article I ...
63 views

### Best features and tools over a short time interval [closed]

For a short time interval, what are the features having the most impact on a stock price movement? In the same direction, what are the better tools to tell us the price movement tangent? As tools, I ...
116 views

### Trading against a loser flow

Let's say we are getting a trade stream(instantaneous) of a group of traders that lose money. If we trade on their opposite side in a broker, is it guaranteed that we make money? Intuitionally it ...
307 views

### Algorithmic Trading: Normalization and Selection of Technical Indicators for Artificial Neural Networks [closed]

I study on algorithmic trading for a while based on technical indicators. I started to learn about neural networks and want to use technical trading indicators in this approach. However, I am not ...
179 views

Is it possible for the retail algo traders to take the same approach to risk management as the larger quant funds? is there a risk management budget imposed on the trader beyond that which they impose ...
191 views

Disclaimer: Brand new to high frequency algo trading. Background:I have tick-by-tick trade data for stock A and I have joined the price and volume data for each trade with the previous snapshot of ...
351 views

### definition of mid price in literature

In literature, the mid-price is often used along with the terms "fair value", "true value" among others. I take it alot of the times it means the same thing because the mid-price doesnt necessarily ...
1k views

### Quant Interview Course [closed]

I there any course on for quant that covers all the factors such as logical reasoning, puzzles, statistics, probability, time series analysis, portfolio management, options, machine learning, and ...
89 views

### Financial forecasting and Optimal order submission [closed]

For instance, If i have a model that can accurately forecast 3s ahead, would the trading logic be rather trivial? I have fit a series of distributions to L2 data and believe I have a fairly good grasp ...
151 views

### Bayesian trade probability with factors

I have a strategy Y which is influenced by some factors X1, ..., Xn (for example asset volatility, distribution of macroeconomic factors). At moment t0 I have historical distribution(prior) of X1, ...,...
162 views

### What is the logic of the eigenvectors of the Johanson cointegration test determining hedge ratios?

Reading Algorithmic Trading: Winning Strategies and Their Rationale, Ernie Chan and there is a short section about the Johanson test for cointegration where it is mentioned that the eigenvectors ...