5 ms·

I mostly agree with this. Treating markets as an exercise purely in data science is a _bad idea_. Risking money without a solid understanding of market mechanic

by lpage 10y ago

I mostly agree with this. Treating markets as an exercise purely in data science is a _bad idea_. Risking money without a solid understanding of market mechanics and trading conventions is a recipe for disaster. Taking a Bayesian view won't save you either - this is a land where some new "six sigma" event happens every six months. That said, the same logic that holds for identifying profitable strategies within an institution holds for individuals: unless you have better gear, don't fish a crowded pond. As an individual, your small size is, in some regards, an advantage. Institutions routinely pass on strategies that don't have capacity (there's not enough liquidity to make the strategy's returns worthwhile relative to their trading level) or strategies that aren't quite up to their standards (but might be up to yours). There's also a huge class of strategies that have somewhat choppy but long run consistent returns. Traders and funds worried about MoM track records won't touch those. Fees are the biggest barrier to entry. Institutions enjoy substantial discounts and an ability to amortize costs across a much wider base, making the strategy performance hurdle rate proportionally higher for smaller traders.

blobbers 10y ago
I'm curious what folk's thoughts are on these two platforms: Interactive brokers offers low fee access to their platform (https://www.interactivebrokers.com/en/index.php?f=13869 https://www.interactivebrokers.com/en/index.php?f=13869) Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what you pay for"-attitude). Trading real capital with algorithms is more difficult than it sounds. Mentally if you're algorithm is doing stock selection as well as trade execution, you no longer understand what you own. During a period of extended drawdown, you have to be mentally tough enough to believe that your algorithm has what it takes to dig itself out. In a sense, it is like the start-up game. You have to believe you're doing something well enough that in the end you'll be right (and not bankrupt).
- seagreen 10y ago
  My thoughts are that if you use either platform for anything other than entertainment you're a fool. Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?
  - asdkjasdkj 10y ago
    This level of defeatism is the exact reason I got into the markets algo trading. People like you stay out. More to the point, just because a genius mathematician and code breaker started a hedge fund it doesn't at all push out any of the little guys. The market is so large he can't possibly be trading all instruments at once, and "scaling" is a problem for huge hedge funds. Especially ones that have to answer to their shareholders. Even though this is a huge fund, it is highly inflexible. What you're saying is akin to "Google already does email and they're loaded with geniuses, what makes you think you have an edge over that?"
    - Fomite 10y ago
      In fairness, if someone told me they were going to make a killing on free webmail supported by ads and data mining, I think "How on earth do you intend to complete with Google?" would be a perfectly legitimate question.
      - Enzolangellotti 10y ago
        In fairness, by that logic nothing would ever get done. Microsoft? You're never going to win over IBM. Xerox? You'll always be ancillary to Kodak. GM? Ford is already there. The Fugger's Banking company? Good luck against the Venetians and the Florentines. Same old story. At the end of the day, you either try something new or you don't.
        ori_b 10y ago
        > In fairness, by that logic nothing would ever get done. Or it will get done by people who have thought long and hard about how they are going to compete with the giants, rather than someone naïve sap. The fact that the question is being asked does not imply that there are no good answers to it, but it is unlikely that someone who hasn't spent time considering how to improve on the incumbents is going to beat them.
- Blackthorn 10y ago
  I use Interactive Brokers. They're probably the best retail brokerage out there. They're cheap -- the best rates on commissions and by far the best rates for margin. And they have a reasonably well-documented and supported API which you can write your programs against. The API is actually pretty much industry-standard so if you're interested in a third-party program, they probably support it. If there's any downside, it's their data. You can't get that much of it historically (1 year max on the minute bars, far less on the second bars, and it takes forever to download it because of the throttling). It's also not...I'm going to say correct...historically. I mean, it is a correct record of what trades happened when. But it includes trades that you won't see when they happen, making it less useful if you're looking for a stream of events as they are happening. Also compared to a broker like Lightspeed (who I haven't tried) their data is expensive. The software is a big mess, but it's usable. It's always in this weird state where it's 50-75% of the way to being completely awesome, but there's just a few things missing that stop it from being so. Also if I have one nitpicky complaint it's that I can't direct route complex options orders.
  - lintiness 10y ago
    use iqfeed or quandl for data (i use iqfeed for quotes as well).
    - Blackthorn 10y ago
      Sure but that's a big monthly expense.

by lpage 10y ago

blobbers 10y ago

I'm curious what folk's thoughts are on these two platforms: Interactive brokers offers low fee access to their platform (https://www.interactivebrokers.com/en/index.php?f=13869 https://www.interactivebrokers.com/en/index.php?f=13869) Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what you pay for"-attitude). Trading real capital with algorithms is more difficult than it sounds. Mentally if you're algorithm is doing stock selection as well as trade execution, you no longer understand what you own. During a period of extended drawdown, you have to be mentally tough enough to believe that your algorithm has what it takes to dig itself out. In a sense, it is like the start-up game. You have to believe you're doing something well enough that in the end you'll be right (and not bankrupt).

seagreen 10y ago
My thoughts are that if you use either platform for anything other than entertainment you're a fool. Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?
- asdkjasdkj 10y ago
  This level of defeatism is the exact reason I got into the markets algo trading. People like you stay out. More to the point, just because a genius mathematician and code breaker started a hedge fund it doesn't at all push out any of the little guys. The market is so large he can't possibly be trading all instruments at once, and "scaling" is a problem for huge hedge funds. Especially ones that have to answer to their shareholders. Even though this is a huge fund, it is highly inflexible. What you're saying is akin to "Google already does email and they're loaded with geniuses, what makes you think you have an edge over that?"
  - Fomite 10y ago
    In fairness, if someone told me they were going to make a killing on free webmail supported by ads and data mining, I think "How on earth do you intend to complete with Google?" would be a perfectly legitimate question.
    - Enzolangellotti 10y ago
      In fairness, by that logic nothing would ever get done. Microsoft? You're never going to win over IBM. Xerox? You'll always be ancillary to Kodak. GM? Ford is already there. The Fugger's Banking company? Good luck against the Venetians and the Florentines. Same old story. At the end of the day, you either try something new or you don't.
      - ori_b 10y ago
        > In fairness, by that logic nothing would ever get done. Or it will get done by people who have thought long and hard about how they are going to compete with the giants, rather than someone naïve sap. The fact that the question is being asked does not imply that there are no good answers to it, but it is unlikely that someone who hasn't spent time considering how to improve on the incumbents is going to beat them.
Blackthorn 10y ago
I use Interactive Brokers. They're probably the best retail brokerage out there. They're cheap -- the best rates on commissions and by far the best rates for margin. And they have a reasonably well-documented and supported API which you can write your programs against. The API is actually pretty much industry-standard so if you're interested in a third-party program, they probably support it. If there's any downside, it's their data. You can't get that much of it historically (1 year max on the minute bars, far less on the second bars, and it takes forever to download it because of the throttling). It's also not...I'm going to say correct...historically. I mean, it is a correct record of what trades happened when. But it includes trades that you won't see when they happen, making it less useful if you're looking for a stream of events as they are happening. Also compared to a broker like Lightspeed (who I haven't tried) their data is expensive. The software is a big mess, but it's usable. It's always in this weird state where it's 50-75% of the way to being completely awesome, but there's just a few things missing that stop it from being so. Also if I have one nitpicky complaint it's that I can't direct route complex options orders.
- lintiness 10y ago
  use iqfeed or quandl for data (i use iqfeed for quotes as well).
  - Blackthorn 10y ago
    Sure but that's a big monthly expense.