I'm just curious whether any of you know of any decent reading material on automated intraday trading strategies. Seems like most of the information passed along is by word of mouth and through experimenting. Have any authors genuinely touched the topic of automated scalping and not as a market maker?
The few books I've read on system writing - building were a complete waste of time... total garbage, to be polite. If <b>lescor</b> or some of the other system traders here writes a book on system design, I'm a buyer at any price (grin). Anything on the shelves right now is not worth your time.
No books, but several systems are being used by our traders. Some "sophisticated" some not so "sophisticated". Don
Care to comment on styles used? I'm looking for my edge right now, and have been reading everything from technical analysis to all kinds of strange product pricing models. I'd like to start with simple and scale.
this is a good book that explains distributed systems. http://www.cs.wustl.edu/~schmidt/POSA/ trading specific... but no one will publish something that diminishes their edge http://www.progress.com/apama/algorithmic_trading/index.ssp
@ distinct automated programs come to mind. One is called "Scalper" and does just that, with the option of auto-close or closing manually. Another searches for several penny moves in a short time frame, to play reversals. You might like this book hat my guys have put together. http://www.pairtrader.com/arb_info.html You should read the "Don's Opening's and more" thread under journals for the opening play, it has worked well for decades. Then you have almost a whole day to get involved in other things (Pairs, M&A, market making, and the automation you seek). Don