4 ms·

2 questions - what kind of leg work is involved, and how much is a fair bit of money? Is it possible with 250k of working capital?

lordnacho 10y ago
Leg work: - Getting the data into a shape that you can use. Normally a total PITA. For futures, you have to either stitch the contracts yourself, or get a pre-stitched series, which you have to take time to understand. Filtering it for weird data points. - Writing the strategy / backtesting code. The fun part. - Connecting to a broker. Gotta read API docs, test the functions, connect it to your code in a way that makes sense, and probably in a way that makes it easy to switch brokers. Test the price feed, write error handling code. - Daily operations code. You'll need a daily process where you can see what's going on. Automated testing of the trade report for correctness. Notifications from brokers need responses, you need to post margin as well. Some kind of SMS or Whatsapp for when something is wrong. Holiday calendar. 250k is not enough. Some of the futures contracts are quite large, and you won't be able to get the full benefit of diversification if you don't have a bunch of instruments to trade (look for a blog called Investment Idiocy, he recently talked about this). Above ~$3-5M, it isn't a problem and you can ignore it.
- sldjfsdfkjsdfkj 10y ago
  If you're talking about HFT and front running (which HFTs do whether you like it or not) a retail trader can't compete in that sector. HFT operates on algorithms that mostly involve making money on the spread by running ahead of the brokers, buying the cheap stuff, and selling it to the broker who needs it. They don't trade on market microstructure, mostly because all of it starts to fall apart at the tick level. 250k is CERTAINLY enough to invest in futures contracts. You can do it with much less. Much much less. Futures are highly leveraged instruments. You can diversify by trading multiples of futures contracts (or e-minis depending on account size) because you're only required to post initial and maintenance margin. You can easily blow up your account, but if you're just TRADING 5000 is enough to start selling a few contracts. If you're looking to start building something sustainable 10k is enough. But, the more the better.

lordnacho 10y ago

Leg work: - Getting the data into a shape that you can use. Normally a total PITA. For futures, you have to either stitch the contracts yourself, or get a pre-stitched series, which you have to take time to understand. Filtering it for weird data points. - Writing the strategy / backtesting code. The fun part. - Connecting to a broker. Gotta read API docs, test the functions, connect it to your code in a way that makes sense, and probably in a way that makes it easy to switch brokers. Test the price feed, write error handling code. - Daily operations code. You'll need a daily process where you can see what's going on. Automated testing of the trade report for correctness. Notifications from brokers need responses, you need to post margin as well. Some kind of SMS or Whatsapp for when something is wrong. Holiday calendar. 250k is not enough. Some of the futures contracts are quite large, and you won't be able to get the full benefit of diversification if you don't have a bunch of instruments to trade (look for a blog called Investment Idiocy, he recently talked about this). Above ~$3-5M, it isn't a problem and you can ignore it.

sldjfsdfkjsdfkj 10y ago
If you're talking about HFT and front running (which HFTs do whether you like it or not) a retail trader can't compete in that sector. HFT operates on algorithms that mostly involve making money on the spread by running ahead of the brokers, buying the cheap stuff, and selling it to the broker who needs it. They don't trade on market microstructure, mostly because all of it starts to fall apart at the tick level. 250k is CERTAINLY enough to invest in futures contracts. You can do it with much less. Much much less. Futures are highly leveraged instruments. You can diversify by trading multiples of futures contracts (or e-minis depending on account size) because you're only required to post initial and maintenance margin. You can easily blow up your account, but if you're just TRADING 5000 is enough to start selling a few contracts. If you're looking to start building something sustainable 10k is enough. But, the more the better.