Pairs Trading

Discussion in 'Trading' started by jcstylin, Apr 12, 2007.

  1. GGSAE


    Esignal's a great charting package, a lot of traders I know use it for pairs.
    #51     Apr 14, 2007
  2. Moreagr


    could you explain why its not free?? you mean only if you program it in thre API??
    #52     Apr 14, 2007
  3. With people making over $250K doing nothing but the openings, I would say it is working fine. Things change, we have to adapt of course, but adapting is a continuing requirement for successful trading.

    And, again, the openings are just a part of successful trading plan.

    Bottom line is what counts, as always.

    #53     Apr 14, 2007
  4. Could you please elaborate more on this.

    I think that PairCO keeps the data in Excel.

    Did you create a database and platform with an ability to screen for criteria in house? Hired a programmer?

    What language? Java, C++, etc.
    #54     Apr 14, 2007
  5. I just meant you need to be an IB client in order to access Trader Workstation.
    #55     Apr 14, 2007
  6. Quite a number of our guys use eSignal as well. It interfaces well with RediPlus for auto order entry as well.

    #56     Apr 14, 2007
  7. To maintain data and screen stocks that may be used for pairs trading...
    Requires a full-time professional TRADER...
    PLUS a full-time professional PROGRAMMER.


    I was a software engineer for 10 years...
    Before I made > 500,000 trades over 13 years... plus maybe 70,000 in fiscal 2007.
    And you MUST have BOTH skills on a ** professional level **...
    Or you will fail.

    So it doesn't matter how much detail Mr. Bright gives you...
    Cuz < 5% of the people reading this thread will EVER have the skills to make it work.

    The overnite number-crunching is straight-forward...
    And can be done in any language...
    Or even Excel + VB or VBA...
    By any competent applications programmer with 3-5 years experience.

    In programming terms it's medium difficult...
    But likely beyond the design and coding abilities of hobbyists.

    But real-time systems and ATS requires only the very best engineers...
    The top 5% in their field... guys that can easily get a job at 100K or close.


    It's not just sort/rank a bunch of stocks in Excel.
    Many sub-systems are required...
    Back-testing sub-systems...
    Dividend adjustment sub-systems...
    Integration with real-time quote data and trading platform APIs...

    Some numbers on my proprietary trading software to give you a rough idea:

    80,000 lines of code or equivalent.. on a 7 computer network.

    Equals roughly 3 man years of work...
    At $50/hour = $300,000

    This cannot be replicated off-the-shelf or on a shoestring.
    PairCo probably has roughly same amount of infrastructure.
    This is the ballpark you have to be in...
    To play this Game at a high level.

    Most of the guys posting to threads about "Automated Systems" on ET...
    Would have more success performing brain surgery on their cats.
    #57     Apr 14, 2007
  8. rosy2


    i agree with everything HoundDogOne says except that i think less than 1% of the readers to this thread will have the skills or even try to obtain the skills. And 100K programming job is low pay now a days. Also, maintaining this data is quite difficult (ie. corp actions) and many firms would pay very well if you could come up with a good solution.
    #58     Apr 14, 2007
  9. It's because of "swines" this, among many others...
    That I will never post any truly useful "pearls" on ET.

    Mr. Bright does it...
    Because he make money on every precious little lamb...
    That dares to sit on his knee.

    All they have to do is breathe and click...
    To keep the well-oiled Bright Cash Machine humming along.
    #59     Apr 14, 2007
  10. "mean-reverting, short volatility, long correlation strategy"

    This a brilliant 7 word exposition.

    And "exotic math" is not required...
    But understanding basic market truths and building the right infrastructure is mandatory.

    My favorite sport is NBA basketball.

    There are 250 players that matter in the NBA...
    And 250 players that are interchangeable "scrubs" of no significance.

    The difference is not athletic skill... but a quality called "basketball IQ".

    Below them are 3,000 Division I college players/year...
    That will go straight to selling real estate or crack or whatever.

    Trading is like that.

    Top Pro Traders have "math, stats, and market IQ" that is of-the-charts.
    It's easy for me to spot someone like that here.

    If you can't easily separate the Pros from the Scrubs on ET...
    Then you are a Scrub.
    #60     Apr 14, 2007