Want to learn more about automated trading

Discussion in 'Automated Trading' started by Churnmaster, Nov 20, 2005.

  1. Hello all,

    I am a new trader who wants to learn more about automated trading does anyone recommend any books or websites that they have found useful in the past.

  2. If you want to get an idea on the data massaging / basic strategy setup side, try this book, "Introduction to High Frequency Finance", written by a bunch of Olsen & Associates people :


    Decent book, but as the title indicates ("Introudction"), it is not particularly comprehensive nor does it goes into a lot of strategy discussion. It also draws heavily from the FX market, so little exposure to the equity or other markets. But if you are new to automated trading, this book outlines some important issues (data scrubbing, strategy setup, etc).

    If you want to get an idea on the programming / coding side, there isn't a particularly good book that I can recall. Any guide would assume that one has sufficient system building knowledge already. But all the electronic markets, Merc, CBOT, ISE, provide good reference documentation on system integration.
  3. Thanks for the info rufus, any good websites that you recommend.
  4. definitely an excellent book. You can pretty much skip the chapter on data scrubbing. I've found equity data to be extremely clean.

  5. "Introduction to High Frequency Finance"
    Excellent book, as long as you don't make Churnmaster believe that it tells you ANYTHING on how to make money with all this stuff. Lots of nice things to know about, NOTHING ELSE.
    Rather very highly priced for almost trivial contents that can be found in many much cheaper textbooks.
  6. Of course, there are no books on "how to make money" because the ones doing it aren't going to tell you explicily how to do it. This book does give a very nice introduction to all the things you'll need to know to build something useful. What books would you suggest?

    Also, read all the papers by Robert Engle

  7. Here are a few popular sites, PLAT being probably the most frequently referenced one. However, the strategies discussed in PLAT are probably not applicable to anyone except for academic interest:


    Journal of Computational Finance sometimes have decent papers, as well as Journal of Quantitative Finance:


    However, getting an automated trading system owner to discuss their strategies is next to impossible, since most of the algorithms are fairly simple in nature, at least the ones I have seen. And beware of any vendors / consultants using big words to talk about their ATS product offerings, from "genetic algorithms" to "quantum effects", etc, they might have some nice properties, and none of them have been proven in the market.
  8. rufus do you use automated programming to trade ourself or something else?
  9. First you need a system to trade. I use wealthlab for automated trading but I've also just gotten set up with tradestation. Supposedly tradestation is very easy to use, I guess I'll find out.

    I would recommend using a product like tradestation because the automation is built-in. Wealthlab has it built-in too but you need to be a Fidelity customer.

    #10     Nov 21, 2005