Recommend Book on Autotrading?

Discussion in 'Automated Trading' started by mbbd, Jul 26, 2011.

  1. mbbd


    Since I'm new to autotrading, I'm not sure which category comprises the subject best. There is high-frequency trading, quantitative, and algorhythmic, for instance. In Amazon there are 124 books under automated trading, some off-topic. Note that I'm strictly stocks or options, no forex.
    ________If you haven't noticed, Borders is going out of business. I visited Sat. (business books were 30% off, and you might find something you wanted generally) and would've bought "All about High-frequency Trading" by Michael Durbin for its one Trading Strategies chapter, but the book had an allergenic shellac gloss cover and they weren't selling Kobo versions. With your help, I think I can do better. I shall miss Borders because they had the best selection of magazines I've ever seen.
  2. mbbd


    In case no one has a book to suggest because that's not how you learned to write formulas, please advise from what you did learn, i.e., syntax. Let me give an example of an order I'd like to create NOT NECESSARILY IN AN AUTOTRADING FORMAT. Say I want to buy to cover at a price lower than a day's close. I pick what I think might be the low of tomorrow. I would like an order or orders which will execute if the stock goes a little higher than my theoretical low or a little lower than it if the stock does go lower than my low, with both possibilites left in play until one executes. This would be closest to a one cancels another (oca), but an oca requires a stop for one of the alternatives and the stop must be higher than the ask because one is buying yet I already said I want to buy lower than the prior close so my prices would be lower than the ask.
  3. rosy2


    first in order to create an alog you have to be very clear. I tried reading your description and still can't figure out what you need. 2 buy orders around a previous days low... the higher buy will always get filled first.

    Anyway, not sure if you need a book; just know how to program
  4. mbbd


    rosy2, you've picked out the challenge of my proposition (practical, not linguistic): how do you hold in abeyance the higher-priced buy unless the stock resumes rising? Perhaps this is a situation where one needs two triggers, and that isn't done in any existing platform feature. Perhaps this is presently something one can only do by sitting in front of a screen until the stock goes one way or another. I hope others will respond. And no, I don't know how to program, i.e., to write formulas beyond simple operations I've learned. I still wouldn't mind reading a book, too, to learn about others' ideas of strategies. [You added an 'I' in your quote not in original text of mine].
  5. Aok


    First of all forget true HFT unless you're some sort of savant in IT, programming, and willing to drop 5 figures a month on payola and infrastructure and have connections.

    Or if you have mucho dinero and can hire said components.

    That aside start learning the basics: Excel, C+, or C#. Become knowledgeable about the various broker feeds, API, FIX, and just computers in general.

    Reading books is great but nothing like reducing your learning time going to the source. Pay for classes either specialized in the various computer languages or your local community college.

    Start with something simple but effective like Excel.

    My advice: Focus on your trading. THEN when you have the $, pay for competent people to do what you deem necessary. It may take more time than you like but if you cant trade, the rest is irrelevant.
  6. Joman


  7. This was given to me by a friend. Unfortunatly I had trouble staying awake while reading it. but I am told it is a must read for the 'serious' quant trader. Most HFT firms like to hand out copies to new hires.

    Trading and Exchanges: Market Microstructure for Practitioners [Hardcover]
    Larry Harris
  8. rosy2


    there are a lot of platforms that offer conditional orders .ie if the price hits this place an order. I think you just dont know what you want
  9. Mr_You


    #10     Jul 28, 2011