Algorithmic Trading: Difference between revisions

Latest revision as of 16:33, 4 October 2023

/r/AlgoTrading is a place for redditors to discuss quantitative trading, statistical methods, econometrics, programming, implementation, automated strategies and to bounce ideas off each other for constructive criticism. Feel free to submit papers/links of things you find interesting.

This sub is not for the promotion of your blog, youtube, channel, or firm.

For information on how to contribute or present your project, company, work, etc.. on /r/algotrading, see this wiki page:

https://www.reddit.com/r/algotrading/wiki/index/rules_of_engagement

*THIS DOES NOT CONSTITUTE INVESTMENT ADVICE, USE AT OWN RISK*

*SEARCH THE SUB/GOOGLE/STACK OVERFLOW BEFORE ASKING QUESTIONS FOUND ON THE FRONTPAGE OF THE ABOVE WILL BE REMOVED*

Good places to start with code examples:

STRATEGY

Big-Intro to quantstrat and trading systems
R & quanstrat video tutorial
Portfolio Optimization
Great blog with more advanced code and ideas from the "systematic investor" note: code here does not follow standard R conventions
Blog here with strategy examples from Ilya Kipnis
Quantivity paper feed
How to learn algortihmic trading
Strategy books thread
Quantopian Lecture Series

How to get historical data for free

Daily Bar data for Stocks
Tick level Forex Data
Binance - Historical Bar Data for Crypto Currencies
BitMEX -Historical Bar Data for Crypto Currencies

Charts with live feeds for global exchanges

TradingView HTML5/web based charts

Virtual Private Servers (VPS)

If you're going to run commercial algos, EAs (MT4/5), NinjaTrader/Multicharts strategies, or your own custom code on a 24/7 basis, you'll want to do so on a reliable computing platform. A VPS for trading will typically be managed, have good latency between the VPS provider's network and your broker's trade servers, and will have a solid up-time guarantee.
Considerations and overview of recommended VPS providers

Math/Stats/Machine Learning

Introduction to Statistical Learning with applications in R
Elements of Statistical Learning

Production Systems

aleph-null: open source python ib
quick-fix
node.js to ib api
subreddit thread on systems

Paper Feeds

Quant news feed
Quantocracy blog feed

Live Chat Rooms

IRC: irc.freenode.net / ##traders #r-finance Discord: Official Discord chat for /r/AlgoTraidng

Book Recommendations

Do's and Don'ts:

Do's:

Submit Interesting papers, blog postings
Code/packages we love these!
strategies (even if they don't work a negative result is still useful)
Read the sidebar (intro to quantmod/quantstrat) will answer questions on how to download data, chart, build test and validate strategies.
Have a technical informative discussion
Submit business links and questions (e.g. contractual issues,licensing etc)
Submit tax optimization links and questions
Submit infrastructure links and questions
Submit compliance/regulatory links and questions

Don'ts:

Submit paysites for indicators/software/systems/whatever
Submit things without methodology or at least some guidance
Flame on other users, we're all here to learn so be constructive in your criticism
Downvote without posting why, Give your constructive criticism or don't critique at all
Post asking how to get started without viewing the links on the sidebar, or reviewing previous posts in the subreddit
Ask for career advice, there is /r/financialcareers for that
Ask for educational advice, as each case is special and your thread has no value for practitioners, there are rankings of quant programs, computational finance, machine learning and stats out there
Submit software that is proprietary and not open source
Submit links/posts that are for the sole purpose of generating referrals/sales/$$, if it is not informative and useful then it does not belong here, shilling your products is not appreciated.
Submit posts that are summaries of other posts without additional content
Submit videos without accompanying assets (e.g. code)

Hall of Fame Threads:

Algotrading's Hall of Fame Threads

FAQ's:

Q: "Hi guys im new how do I get started?"
A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask here.

Q: I am a student and want to know what courses to study to get into algo trading?
A: Algotrading is at the intersection of statistics/computer science/machine learning/mathematics/finance/economics.

Q: Where should I apply for a job?
A: Use /r/financialcareers for that

Q: I have bug ABC with language XYZ?
A: http://quant.stackexchange.com/ or http://http://stackoverflow.com/

If you get spam filtered, message the mods and we will review and unblock as required.

Related Wikis

Readers of Algorithmic Trading also viewed:

Tick Data for Backtesting and Algo Trading Trader Scouting and Prop Firms Overview and Comparison The_Best_and_Most_Popular_Forex_Platforms_for_Demo Live Public Trading Chatroom Technical Analysis

@@ Line 1: / Line 1: @@
+__TOC__
 [https://www.reddit.com/r/AlgoTrading /r/AlgoTrading] is a place for redditors to discuss quantitative trading, statistical methods, econometrics, programming, implementation, automated strategies and to bounce ideas off each other for constructive criticism. Feel free to submit papers/links of things you find interesting.
 This sub is not for the promotion of your blog, youtube, channel, or firm.
-<p style="font-size:18px">For information on how to contribute or present your project, company, work, etc.. on [https://www.reddit.com/r/AlgoTrading /r/algotrading], see this wiki page:</p>
+For information on how to contribute or present your project, company, work, etc.. on [https://www.reddit.com/r/AlgoTrading /r/algotrading], see this wiki page:
 <u>https://www.reddit.com/r/algotrading/wiki/index/rules_of_engagement</u>
 <nowiki>*THIS DOES NOT CONSTITUTE INVESTMENT ADVICE, USE AT OWN RISK*</nowiki>
-*SEARCH THE SUB/GOOGLE/STACK OVERFLOW BEFORE ASKING QUESTIONS FOUND ON THE FRONTPAGE OF THE ABOVE WILL BE REMOVED*
+<nowiki>*SEARCH THE SUB/GOOGLE/STACK OVERFLOW BEFORE ASKING QUESTIONS FOUND ON THE FRONTPAGE OF THE ABOVE WILL BE REMOVED*</nowiki>
 Good places to start with code examples:
+==STRATEGY==
-STRATEGY
+[http://past.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf Big-Intro to quantstrat and trading systems]<br>
+[https://www.youtube.com/watch?v=61_F2fcvrsw R & quanstrat video tutorial]<br>
-[http://past.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf Big-Intro to quantstrat and trading systems
+[http://past.rinfinance.com/agenda/2009/yollin_slides.pdf Portfolio Optimization]</span><br>
-R & quanstrat video tutorial]<br>
+[http://systematicinvestor.wordpress.com/ Great blog with more advanced code and ideas from the "systematic investor" note: code here does not follow standard R conventions]<br>
-[https://www.youtube.com/watch?v=61_F2fcvrsw portfolio optimization]<br>
-[http://past.rinfinance.com/agenda/2009/yollin_slides.pdf Great blog with more advanced code and ideas from the "systematic investor" note: code here does not follow standard R conventions]<br>
 [http://www.quantstrattrader.wordpress.com/ Blog here with strategy examples from Ilya Kipnis]<br>
-[http://twitter.com/quantivity quantivity paper feed]<br>
+[http://twitter.com/quantivity Quantivity paper feed]<br>
 [http://quantivity.wordpress.com/2010/01/10/how-to-learn-algorithmic-trading/ How to learn algortihmic trading]<br>
 [http://www.reddit.com/r/algotrading/comments/v8h6j/must_read_books_for_qa_algo_trading/ Strategy books thread]<br>
@@ Line 27: / Line 32: @@
-How to get historical data for free
+==How to get historical data for free==
 [https://fxgears.com/index.php?threads/how-to-acquire-free-tick-and-bar-price-data-for-backtesting-in-2020-and-beyond-stocks-forex-and-crypto-currency.1229/#post-19298 Daily Bar data for Stocks]<br>
 [https://fxgears.com/index.php?threads/how-to-acquire-free-tick-and-bar-price-data-for-backtesting-in-2020-and-beyond-stocks-forex-and-crypto-currency.1229/#post-19299 Tick level Forex Data]<br>
-[https://fxgears.com/index.php?threads/how-to-acquire-free-historical-tick-and-bar-data-for-algo-trading-and-backtesting-in-2020-stocks-forex-and-crypto-currency.1229/#post-19313 Binance - Historical Bar Data for Crypto Currencies]<br>
+[https://fxgears.com/index.php?threads/how-to-acquire-free-tick-and-bar-price-data-for-backtesting-in-2020-and-beyond-stocks-forex-and-crypto-currency.1229/#post-19305 Binance - Historical Bar Data for Crypto Currencies]<br>
 [https://fxgears.com/index.php?threads/how-to-acquire-free-historical-tick-and-bar-data-for-algo-trading-and-backtesting-in-2020-stocks-forex-and-crypto-currency.1229/#post-19313 BitMEX -Historical Bar Data for Crypto Currencies]<br>
-Charts with live feeds for global exchanges
+==Charts with live feeds for global exchanges==
 [https://geni.us/TradingView TradingView HTML5/web based charts]
-[[Virtual_Private_Servers_(VPS)|Virtual Private Servers (VPS)]]
+==[[Virtual_Private_Servers_(VPS)|Virtual Private Servers (VPS)]]==
 If you're going to run commercial algos, EAs (MT4/5), NinjaTrader/Multicharts strategies, or your own custom code on a 24/7 basis, you'll want to do so on a reliable computing platform. A VPS for trading will typically be managed, have good latency between the VPS provider's network and your broker's trade servers, and will have a solid up-time guarantee.<br>
 [[Virtual_Private_Servers_(VPS)|Considerations and overview of recommended VPS providers]]
+==Math/Stats/Machine Learning==
+[http://www-bcf.usc.edu/%7Egareth/ISL/ISLR%20Fourth%20Printing.pdf Introduction to Statistical Learning with applications in R]<br>
+[http://www-stat.stanford.edu/%7Etibs/ElemStatLearn/ Elements of Statistical Learning]
+==Production Systems==
+[https://github.com/CarterBain/AlephNull aleph-null: open source python ib]<br>
+[http://www.quickfixengine.org/ quick-fix]<br>
+[https://www.npmjs.org/package/ibapi node.js to ib api]<br>
+[http://www.reddit.com/r/algotrading/comments/2euyiy/books_on_developing_trading_systems/ subreddit thread on systems]
+==Paper Feeds==
+[http://www.quantnews.com/ Quant news feed]<br>
+[http://quantocracy.com/ Quantocracy blog feed]
+==[[Live_Public_Trading_Chatroom|Live Chat Rooms]]==
+IRC: irc.freenode.net / ##traders #r-finance
+Discord: [[Live_Public_Trading_Chatroom|Official Discord chat for /r/AlgoTraidng]]
+==[[Recommended_Forex_Books_for_New_and_Developing_Traders|Book Recommendations]]==
+[[Recommended_Forex_Books_for_New_and_Developing_Traders|List of recommended books on Algo Trading]]
+==Do's and Don'ts:==
+'''Do's:'''
+*Submit Interesting papers, blog postings
+*Code/packages we love these!
+*strategies (even if they don't work a negative result is still useful)
+*Read the sidebar (intro to quantmod/quantstrat) will answer questions on how to download data, chart, build test and validate strategies.
+*Have a technical informative discussion
+*Submit business links and questions (e.g. contractual issues,licensing etc)
+*Submit tax optimization links and questions
+*Submit infrastructure links and questions
+*Submit compliance/regulatory links and questions
+'''Don'ts:'''
+*Submit paysites for indicators/software/systems/whatever
+*Submit things without methodology or at least some guidance
+*Flame on other users, we're all here to learn so be constructive in your criticism
+*Downvote without posting why, Give your constructive criticism or don't critique at all
+*Post asking how to get started without viewing the links on the sidebar, or reviewing previous posts in the subreddit
+*Ask for career advice, there is [https://www.reddit.com/r/financialcareers /r/financialcareers] for that
+*Ask for educational advice, as each case is special and your thread has no value for practitioners, there are rankings of quant programs, computational finance, machine learning and stats out there
+*Submit software that is proprietary and not open source
+*Submit links/posts that are for the sole purpose of generating referrals/sales/$$, if it is not informative and useful then it does not belong here, shilling your products is not appreciated.
+*Submit posts that are summaries of other posts without additional content
+*Submit videos without accompanying assets (e.g. code)
+==Hall of Fame Threads:==
+<u>[https://www.reddit.com/r/algotrading/wiki/index/hall_of_fame Algotrading's Hall of Fame Threads]</u>
+==FAQ's:==
+*Q: "Hi guys im new how do I get started?"
+*A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask here.
+*Q: I am a student and want to know what courses to study to get into algo trading?
+*A: Algotrading is at the intersection of statistics/computer science/machine learning/mathematics/finance/economics.
+*Q: Where should I apply for a job?
+*A: Use [https://www.reddit.com/r/financialcareers /r/financialcareers] for that
+*Q: I have bug ABC with language XYZ?
+*A: http://quant.stackexchange.com/ or http://http://stackoverflow.com/
+If you get spam filtered, message the mods and we will review and unblock as required.
+==Related Wikis==
+Readers of '''Algorithmic Trading''' also viewed:
+[[Tick Data for Backtesting and Algo Trading]]
+[[Trader Scouting and Prop Firms Overview and Comparison]]
+[[The_Best_and_Most_Popular_Forex_Platforms_for_Demo]]
+[[Live Public Trading Chatroom]]
+[[Technical Analysis]]