Algo trading study resources?

Discussion in 'Order Execution' started by mizhael, Jun 18, 2010.

  1. Hi all,

    Could anybody please point me to some good study resources for algo trading with focus on practical side and implementation?

    Facing time pressure, I am trying to race up the learning curve. So I would appreciate pointers to video/audio lectures/seminars/training/talks, etc.

    Thanks a lot!
  2. You ask a lot of good questions, to the point where I just read only your posts; however, I am wondering what the source of your time pressure is.
  3. Ok Mizhael, I'm finally gonna bite. You ask so many questions here and on Wilmott, and their content is transparently sincere enough, that you clearly are actually trying to learn. Neither I nor anyone else who can is going to tell you all you want to know; no one who does what you are interested in has the slightest interest in teaching people how to compete with us.

    For the record, I've been trading for a little more than 15 years now, the last 7 or 8 purely automated/algorithmic. My current role is designing, building, maintaining, and trading on a global HFT system with a nine-figure prop bankroll. I will give no details, and if that means I'm not creditable, that's not my problem.

    There is NO FAST AND EASY WAY to do what you want to do. I don't care if you're Einstein, Soros, Louis Pasteur and Archimedes all rolled into one. The only way to learn what you need is to read, study, model, and place trades. A lot of bad trades. Actually, the only way to learn anything in this industry is to place trades, but I'll leave that be for now.

    So, here's what I'll give you. Read these books and understand them, and you'll at least have some knowledge worth having:

    Learn some combination of Matlab/R, enough classical portfolio theory that you can understand what others are saying when they scoff at it, and download the rulebooks from CME and ARCA and read them over and over.

    At that point you'll know enough to realize the size of the mountain you're trying to climb. Sorry to be a dick, but asking on a site that is mostly retail investors (nothing wrong with that--there are several posters here who know what they're talking about) about how to "do algo trading" isn't gonna get you anywhere.

    Good luck--
  4. I agree, Mizhael, you post similar stuff in wilmott as well. And the honest to god truth is that there is no "secret sauce" here, that you can just learn over a 2 week period, and become an HFT system designer, trader and practitioner.

    The reality is that any practical information we have, can only be useful after years of looking at the problem domain, and are familiar with basics theories, only then would we have a basis to have some informed discussion with some common "vocabulary", if you will.

    I would also highly recommend looking at the PLAT project by Mike Kearns, it is almost as practical as a platform for algorithmic trading as out there for public consumption. the PLAT platform spurn off a little academic "cottage industry" of using various diff methods in automated trading.

    The project is no longer in maintenance, since Kearns have moved onto diff things (he was at LEH for a while, made a whole bunch of promises that went no where, now he is back in academia).

    A lot of ppl seem to be recommending the Almgren and Chriss' paper to you. Personally as a practitioner of HFT, i think they are on a diff track, they are more focused on efficient execution of a portfolio (such as transition, etc), to minimize market impact and TCA. Quite a bit diff from what ppl are doing in HFT, which deals more in market microstructures, flow and order book analysis. And since I know the two of them sort of, I know exactly what problem they are tackling, with Chriss now off running his fund, and Almgren trying to get his startup off the ground.
  5. Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment By Andrew Kumiega

    High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems By Irene Aldridge

    Empirical Market Microstructure By Joel Hasbrouck

    Inside the Black Box: The Simple Truth About Quantitative Trading By Rishi Narang

  6. All I asked were newbie questions. :=)

    Time pressure is racing to lose money...
  7. Thanks a lot BrownEgg... Wow, 9 figures! Admiring! :=)

    May I ask if you are focusing more on better strategy design or better order execution?

    Re: econometrics books - I have long have the question about computational speed: in HFT, do we have the time to run GMM estimation, etc.?

    And is correcting for estimation bias (which is a huge area in econometrics) really useful for trading?


    ET is like a dark pool with lots of icebergs... many big guys like you! :=)

    Hope I can consult with more of your expertise...
  8. The first recommendation is really unique! And the review is very good on Amazon. Thanks a lot psytrade!
  9. Thanks a lot rufus_4000 - another big iceberg in ET and Wilmott.

    Interesting! Could you please elaborate on:
  10. The second one (the Aldridge book) is really not worth reading, at least for a practitioner.
    #10     Jun 21, 2010