Algorithmic Trading

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/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

[http://past.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf 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