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Questions tagged [automated-trading]

The process of using a computer program to place orders to trade securities in financial markets. Typically, these trades are made in exchange-traded instruments, such as listed equities, options, and futures. However, automated trading can occur in numerous other products such as bonds and currencies.

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Historical tick data level 1 and level 2

I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back ...
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202 views

What are trade markouts?

I have experience in trading but mostly in lower frequency quantitative trading. I've moved into HFT research and someone the other day mentioned markouts. I couldn't find anything online explaining ...
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56 views

Is there any literature on how stock exchanges guarantee consistency?

How do we know that artificial shares of some stock aren't created (perhaps going untracked) on exchanges. After all being man made digital systems they are prone to errors. An example: Suppose a ...
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90 views

Understanding Forex Positions

I am new to forex trading and using an Oanda free practice account to play with it. However, I'm not understanding a few things. When I buy or sell a currency pair, am I buying/selling a currency or ...
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41 views

Trading system development

How to activate chart parameters (contract (crude oil, S&P etc.), timeframe (1 min, 5 min etc), conditions) via CQG API in C#? I've chosen chart with special parameters so I need to see them in C#....
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22 views

Activate bracket orders in CQG IC API

How to activate bracket orders settings in CQG using C# via CQG IC API? So I've set bracket orders parameters and I need to activate it in C#.
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1answer
696 views

Efficient integration of tick data feed with signal generation

The goal is to design the integration of processes generating trading signal doing analytics on a stream of asynchronous tick data retrieved using the native Python TWS API of Interactive Brokers. Two ...
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1answer
116 views

Interact with FX Connect

I have little to no programming background so please bear with me. I work for a firm that executes our FX trades via FX Connect. I would like to program some logic into FX Connect so that trades that ...
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267 views

Calculating target participation rate

I'm a beginner in the Algo trading domain and getting myself familiar with various standard algorithms. One the algorithms I'm currently focussing on is Percentage of Volume(POV) aka Participate ...
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95 views

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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2answers
94 views

What determines trading volumes of the same stock at different trading platforms?

What determines trading volumes of the same stock at different trading venues (exchanges/ECNs/dark pools)? It seems that they vary significantly.
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92 views

Calculate breakeven price?

I don't really know if this is the right place to ask this, but here goes. I want to create an app that suggests trades on Poloniex(a currency exchange). It will do this based on your average ...
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1answer
356 views

How to validate option greeks/implied volatility data calculated in-house using Black model on a mass scale in an automated fashion?

I have created a platform that computes implied volatility, option theo prices and greeks using Black 1976 model. I use this platform to calculate above mentioned numbers for a variety of options ...
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2answers
157 views

What is the definition of a 10-day low? [closed]

Or for that matter a [n]-day low? (As it relates to market data/trading). When does a [n]-day low get disrupted and you have to begin tallying again?
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2answers
222 views

Predict the financial markets in the fashion of a video game?

DeepMind have demonstrated amazing capabilities of a reinforcement machine learning agent to competently play Atari video games. It is most astounding that that during training nothing more than the ...
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1answer
161 views

Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
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1answer
404 views

How to perform batch-trading using Interactive Broker API?

My definition of batch-trading: Given $N$ BUY orders, $M$ SELL orders and $O$ ($O < N$) as the max number of open positions to be held. Batch-trading should monitor the orders and when $O$ BUY ...
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1answer
188 views

How to statistically prove that an automated trading strategy outperforms the market? [closed]

For a university project, I have been working on a rather complex automated trading strategy, that levers machine learning techniques. I backtested the algorithm, as a result I have daily return data ...
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2answers
77 views

Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
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2answers
179 views

Calculating floating P&L of a FIX-order [closed]

How to fetch floating p/l(current) of a "filled" FIX-Order (either buy/sell)?(by its FIX-ID/order ID) I asked my FIX provider(Integral) & they said, there's no specific tag for that/not a ...
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1k views

Finance Projects in Python [closed]

I am new to this forum. I work in the Market Risk Domain at a leading Investment Bank. I am currently learning Python. And the best way to learn is to experiment with some Real Live Analysis/Project(...
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2answers
459 views

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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0answers
172 views

Optimal approach for finding a profitable trading strategy to automate? [closed]

I am currently searching for an optimal approach for finding profitable forex trading strategies to automate. Currently, I just try to combine various indicators and build an automated trading system ...
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234 views

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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279 views

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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1answer
275 views

Looking for most current Financial API that is fast and accurate for NYSE NASDAQ AMEX OTC and PINKs

Looking to build a real time data feed, stock monitor window. Pretty much the same as equityfeed.com market viewer window, just with a few addedfeatures and or different filter columns with more up ...
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1answer
251 views

Determining maximum strategy capacity and optimal order size for low frequency equity strategy

I have developed a low frequency equity trading strategy that seems to work well with stocks in the S&P 500. Someone asked me about the maximum capacity of the strategy (how much AUM I could ...
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2answers
181 views

Stock Symbols: ETFs vs Real Companies

I built a trading strategy that is based on a pool of all the symbols available on NYSE, Nasdaq, and AMEX. I don't like the idea of trading symbols that are ETFs. For example, the symbol TVIX, which ...
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1answer
120 views

Should a strategy backtested against three years of tick data continue to produce positive results?

Let's say we have a Binary Options 5-minute trading strategy that relies on multiple indicators and exploits price reversals in currency pairs. Now let's say there is a combination of inputs for the ...
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0answers
169 views

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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0answers
62 views

Testing out ADX calculator [closed]

I'm trying to program an ADX calculator in python, however I don't know if it is correct since I'm still a bit shaky on the financial side of things. I haven't found an ADX calculator online (...
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0answers
63 views

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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0answers
116 views

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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2answers
1k views

Order Execution Algorithms

To execute large orders under minimum price impact or to hide a market view, trading systems sometimes utilize special order execution algorithms or order types. One example is an iceberg order, ...
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1answer
246 views

Self-Frontrunning Arbitrage

If I have a large order to fill, shouldn't I always buy a derivative in the same direction to profit from the market impact? E.g. I sell 1 million shares and so I buy a put, which will hence almost ...
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489 views

What are Sell Imbalance-Only Orders?

I am reading the 2014 SEC filing against Athena, a HFT firm. (http://www.sec.gov/litigation/admin/2014/34-73369.pdf) At point 29, they describe the behavior of Athena moments before market closing ...
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4answers
185 views

Building a personal computer for automated trading/analysis…what bottlenecks could I run into?

I've been trading forex and programming (I'm in college), but want to get into automated trading and analyzing data real-time to make decisions (and learning more about stats and math as a hobby). I ...
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1answer
172 views

forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
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0answers
47 views

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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1answer
827 views

OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:...
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1answer
1k views

Sortino Ratio calculation

I've been using an Excel template to calculate the Sortino ratio for my automated trading strategies. http://investexcel.net/calculate-the-sortino-ratio-with-excel Basically I input my monthly ...
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2answers
227 views

Has automated trading produced profits at IEX?

Is there evidence that automated trading is profitable on the latency-enforced portion of the exchange? On the one hand, if automated trading was profitable when these limits existed naturally, it ...
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1answer
319 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
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0answers
68 views

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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1answer
142 views

Optimization metric that takes into account number of trades vs expectancy

In optimizing my automated trading system I find that certain combinations while increasing the expectancy: ...
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2answers
189 views

Algo's Shadowing Limit Orders

So I was trading the option contracts on NLY (Annaly Capital Managment) today. The stock took a big dip today which piqued my interests in selling some OTM puts. Since the options market on this ...
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5answers
2k views

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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3answers
2k views

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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1answer
262 views

How to construct a deterministic trading model based on a loess (local regression) model?

Given data that has been fit to a loess model, can you make reliable decisions on future trades given a good past fit? Has anyone here done so and can give an example of their use case? I am yet to ...
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5k views

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 ...