Algorithmic Trading: Difference between revisions

Revision as of 00:29, 12 March 2021

/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 [1] 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: [2] 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.

@@ Line 20: / Line 20: @@
 ==STRATEGY==
-[http://past.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf Big-Intro to quantstrat and trading systems]<br>
+<span class="plainlinks">[http://past.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf Big-Intro to quantstrat and trading systems]</span><br>
-[https://www.youtube.com/watch?v=61_F2fcvrsw R & quanstrat video tutorial]<br>
+<span class="plainlinks">[https://www.youtube.com/watch?v=61_F2fcvrsw R & quanstrat video tutorial]</span><br>
-[http://past.rinfinance.com/agenda/2009/yollin_slides.pdf Portfolio Optimization]<br>
+<span class="plainlinks">[http://past.rinfinance.com/agenda/2009/yollin_slides.pdf Portfolio Optimization]</span><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>
 [http://www.quantstrattrader.wordpress.com/ Blog here with strategy examples from Ilya Kipnis]<br>
@@ Line 58: / Line 58: @@
 ==Production Systems==
-[https://github.com/CarterBain/AlephNull aleph-null: open source python ib]
+[https://github.com/CarterBain/AlephNull aleph-null: open source python ib]<br>
-[http://www.quickfixengine.org/ quick-fix]
+[http://www.quickfixengine.org/ quick-fix]<br>
-[https://www.npmjs.org/package/ibapi node.js to ib api]
+[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]
@@ Line 66: / Line 66: @@
 ==Paper Feeds==
-[http://www.quantnews.com/ Quant news feed]
+[http://www.quantnews.com/ Quant news feed]<br>
 [http://quantocracy.com/ Quantocracy blog feed]
@@ Line 73: / Line 73: @@
 IRC: irc.freenode.net / ##traders #r-finance
-Discord: [[Live_Public_Trading_Chatroom Official Discord chat for /r/AlgoTraidng]]
+Discord: [[Live_Public_Trading_Chatroom|Official Discord chat for /r/AlgoTraidng]]
@@ Line 83: / Line 83: @@
 ==Do's and Don'ts:==
-''Do's:''
+'''Do's:'''
 *Submit Interesting papers, blog postings
 *Code/packages we love these!
@@ Line 94: / Line 94: @@
 *Submit compliance/regulatory links and questions
-Don'ts:
+'''Don'ts:'''
 *Submit paysites for indicators/software/systems/whatever
 *Submit things without methodology or at least some guidance
@@ Line 100: / Line 100: @@
 *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 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
@@ Line 121: / Line 121: @@
 *Q: Where should I apply for a job?
-*A: /r/financialcareers for that
+*A: [https://www.reddit.com/r/financialcareers|/r/financialcareers] for that
 *Q: I have bug ABC with language XYZ ?