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How do you get started with pulling in this data? I've always wondered how you could break into this market at all. The only impossible part is finding tick-by

How do you get started with pulling in this data? I've always wondered how you could break into this market at all. The only impossible part is finding tick-by-tick market data

jorbrad 9y ago
It's very difficult to touch the market independently. The amount of infrastructure that is needed for algorithmic trading is more than any single person could reasonably handle. Not to mention the markets are incredibly efficient already.
- gravypod 9y ago
  The overhead of developing a prediction algorithm is fairly low from what I understand. Implementing it into the existing trading market is impossible, I agree, but developing something that can predict stock changes does not sound out of reach. It's likely a fun project and quant trading seems like an interesting job. If you include on your resume your machine learning quant algorithm, your white paper, how you've extend one market's train data to say altcoins/penny stocks, I'm pretty sure you'll peak an interviewers ear. Hell you may even make a few bucks.
jzwinck 9y ago
Finding tick by tick data is easy. Every major lit exchange sells it for a few hundred to a few thousand dollars per year, either directly or indirectly (through a data vendor). Just search for "market data price list" and the name of your preferred exchange.
- gravypod 9y ago
  That's still quite a bit of money. If you want to train some good models you're going to need a lot more than 1 year and you're going to need many more than 1 market.
  - tcbawo 9y ago
    Some exchanges post sales data available for free. If you are relying on the full market data stream, you are talking about a considerable amount of data. In some cases, terabytes per week. It may be less costly to buy the data than connect and record directly, especially for a proof of concept.
    - gravypod 9y ago
      Which exchanges? This is more of a hobby. I can throw together stuff that can handle that load.

How do you get started with pulling in this data? I've always wondered how you could break into this market at all. The only impossible part is finding tick-by-tick market data

jorbrad 9y ago

It's very difficult to touch the market independently. The amount of infrastructure that is needed for algorithmic trading is more than any single person could reasonably handle. Not to mention the markets are incredibly efficient already.

gravypod 9y ago
The overhead of developing a prediction algorithm is fairly low from what I understand. Implementing it into the existing trading market is impossible, I agree, but developing something that can predict stock changes does not sound out of reach. It's likely a fun project and quant trading seems like an interesting job. If you include on your resume your machine learning quant algorithm, your white paper, how you've extend one market's train data to say altcoins/penny stocks, I'm pretty sure you'll peak an interviewers ear. Hell you may even make a few bucks.

jzwinck 9y ago

Finding tick by tick data is easy. Every major lit exchange sells it for a few hundred to a few thousand dollars per year, either directly or indirectly (through a data vendor). Just search for "market data price list" and the name of your preferred exchange.

gravypod 9y ago
That's still quite a bit of money. If you want to train some good models you're going to need a lot more than 1 year and you're going to need many more than 1 market.
- tcbawo 9y ago
  Some exchanges post sales data available for free. If you are relying on the full market data stream, you are talking about a considerable amount of data. In some cases, terabytes per week. It may be less costly to buy the data than connect and record directly, especially for a proof of concept.
  - gravypod 9y ago
    Which exchanges? This is more of a hobby. I can throw together stuff that can handle that load.