Based on my understanding, you plan on deploying your own systematic strategy. There are several items to consider: - what frequencies will you be looking at? This will dictate tech infrastructure, broker/execution infrastructure, strategies, as well as costs and expected variance of PL. - what (approximate) amount of money do you plan on putting into this venture? Basically anything higher frequency than 1 millisecond would be difficult sub $1million. - do you have anyone to bounce ideas off of from the industry? Specifically in the quant space. - what languages do you write?
I think you are confusing systematic trading with automated trading. You can perfectly well do systematic trading doing manual execution (for example, if you happen to be trading OTC products). People do quantitative trading across all instruments and time ranges, some of it is fully automated, some of it is automated partially and some of it uses completely manual execution. Don't fall into a trap of thinking that all of the statistical/systematic trading is identical to what you saw at the fund.
Correct, I do plan to develop my own but only after getting experience doing the simple things so I can shake out bugs in my understanding of the platforms I will be using. Frequencies: I want to stay away from sub-minute trading. I do not have enough confidence to go for long term trades (multiple weeks/months), but that is the eventual goal. I would likely start out creating a simple intraday momentum-based scalping-type algorithm. I know you hear "scalp" and think "omg, bots, can't compete" but I am not competing at the sub-minute level. Funds: I will start out with $25K and boost it if I can show returns that are somewhat uncorrelated with the market. I'm not sure how to handle losses though. Should I recapitalize to $25K if I can explain the cause of my losses correctly? In any case, if I show uncorrelated streams, I have... uh... much richer people than me who would probably invest with me. Bouncing ideas: I have people in the theoretical side of things, but not successful traders. This is why I am here. I know people talk down about stocktwits, but I learned a lot from those peeps the last time around. Languages: C++, Python, Typescript. I've almost literally done it all except for LOB apps (thank fucking god) Hilariously, I used to consult for a well-known industry de-facto standard in derivatives pricing and I'm very proud of the fact that they still use my software in the field. Pride, but no royalties, unfortunately.
Oh for sure. I am being a little loose with terms but systemized basically means there is an algorithm, whether executed by humans or not. No room for discretion is the point. Algorithms in code have no room for discretion. In fact, the "traders" at the hedge fund had NO discretion. Their primary purpose was to phone people when the algorithms told them to buy stuff that was OTC, or was so large in volume that it needed to be done in dark pool-type things to avoid front running or moving the market. At least that was my understanding of the position. They had high turnover because it wasn't as glorious as people thought it would be.
Thank you for offering your knowledge. What is the primary benefit of using the API directly? It seems to me that unless you're going to get some edge using the API, it's "better" to simply use someone else's adapter. Hoping for some insight here.
Disagree. It's always better to use an api directly rather than someone else's wrappers. What happens when the original api changes? How do you know the third party will keep up with the changes? It's been happening with multiple IB api wrappers in the past to just name one example.
What kind of significant changes did IB make to their API that prevented you from using adapters altogether? Is it just that new features take a long time to show up in the wrappers or did the wrappers literally stop working, repeatedly? What prevents you from contributing to the wrapper yourself?