Hello, Some time ago I wrote the article “Pair trading died - hello massive trading” From then, I changed the trading model, collected good quality data, that can be used as a proof of concept for the algorithm (Nasdaq Basic Feed ticks). Data collector used C API and developed on C++. It is required that we host a server next to where we are trading, and a rack cross connected to the market data provider as well as the exchange to give us an optimal edge in entries / exits (NYSE). This is a continuing project and a little more work from another Quant / Support and Development Funding is required to release this algorithm to the live environment, but the base of algo made already. The algorithm calculates best possible basket from all USA stocks and the base idea is to be a market maker holding a major basket. We use 100 top USA stocks from SP500 index by capitalization. We than create a market neutral composite and then trade it with a lower risk intraday without holding the positions after the market close. I enclosed pictures with PnL. In this example we use $250,000 USD as trading capital and 0.003 per share fee. I know that it’s possible to get a better fee if we work with exchanges directly as market maker, and this will be our target once we start live trading. As you can see, in the first hour we calculate the model’s variable and then apply it for trading. This is not “in sample holy grail”. Pure mathematics are put to operation without the use of ML/AI etc. My opinion and experience show that ML/AI can’t pass cross validation. About running this algorithm live: I’m not sure that it’s possible to execute this live via IB or another retail trading platform that supports API. The algorithm will need extensive work with limit orders and exchange report info. We have tested a 101-stock basket and it generated 65-70 million in volume daily for $250,000 trading capital. It’s even possible to use 250-300 stocks and 10-25M trading capital volume of market data, report info and limit order management will crash any retails platform. Now we are looking possibility continue research and development work with a private or small hedge fund team. Head office place is in Australia and another team Europe. Our team has over 10 years algorithmic trading experience specializing in high frequency trading and quantitative ideas. As this is one of the highest forms of intelligent black box algorithms expenses must be considered. Expenses to consider: Development Expenses, Management Expenses, Support Expenses, Server Expenses, Market data Expenses. A rough estimate of expenses may vary from $25,000 on-ward. Regards, Eugene. PS. Enclosed 3 screens for 100 stock basket and sample with 5 stocks basket - as you can see algo unstable for 5 stocks model.
I still have not understood what your question is. I even searched for a question mark ('?'), but there is none... Is it just an informal posting with no question? A kind of "can't see the forest for the trees"
You should contact all the algorithmic institutional trading firms and then email them professional resumes about what you do (algorithmic trading) instead of contacting retail traders at a discussion forum. They obviously will ask you for more verification information and may even send a representative to see you with your algorithmic trading in action now that borders are open after being closed in this Pandemic. P.S. Do not send a professional algorithmic institutional trading firm to a reddit link. wrbtrader
Who is your broker? What datacenter (region, availability zone, etc) did you run your trading software in?
Hey everyone, I will handle the business side. It is early stages and proven only in backtests with collected tick data from fix api market data from dxfeed. We stress test it with worse conditions than live so it has 90% proof of a working concept. As it states, we will need funding to push this further to chapter 3. Broker will be direct NYSE, but we can try any of your choice, keep in mind there may be issues with retail platforms because of the complexity of the algo. We will run it nyse most likely cross connected with a data preffered data provider
What is your timeframe when you trade intraday only ? 1 min or 5min or second charts ? What is you average trade net profit in percentage per stock ? Just I can get a better imagine for the overall profitability. Do you want to say something about your lookback period, how long it is ? Did you try the same setup for Nasdaq100 Index constituents/stocks too ? When you looked for cointegration did you factor in same sector or same industries stocks too or did you just took all the S&P500 stocks and did not respect any same sector relationship ? Because the overall sharpe is lower when you do not factor in sector or industry relationship in addition to the cointegration measurement.