10 ms·

Thanks for posting. I wrote this back in college and looking back a lot of it is outdated (Getco doesn't exist anymore), and some parts even cringeworthy... Af

Thanks for posting. I wrote this back in college and looking back a lot of it is outdated (Getco doesn't exist anymore), and some parts even cringeworthy... After writing that I joined Headlands, where I've been working for the past 8 years as we grew from a startup to a relatively large firm (trading is actually a very small industry). If you want a more up to date description of low-latency trading in particular, please see this more recent post: https://blog.headlandstech.com/2017/08/03/quantitative-trading-summary/ https://blog.headlandstech.com/2017/08/03/quantitative-tradi... Feel free to email me, my email address in the pdf is still valid.

anonu 8y ago
I remember reading that intro you wrote sometime after you wrote it.. . I was an algotrader at a big bank at the time. My biggest takeaway was just confirmation that really "many people are doing the same things" or looks at the market in very similar ways. One good way to get an edge is to think how would someone in a similar position approach the problem. Now iterate again and think of it differently. Its the game theory of trading.
- usgroup 8y ago
  Game theory itself has been applied to trading ad Infinitum . Indeed short squeezes, liquidity traps, algos that hunt algos, are all a common feature and motivated by a study of the competition. I’d venture to say that trading might just be the most competitive field in existence, with all the smart and cunning that goes with it.
- HenryBemis 8y ago
  Also algo-trader since Jan2018. I got IT and FS background, I like to think algo-trading as a computer game, where the 'monsters' have their own AI and different levels of aggression. I am also closely following the MQL5 market studying who the retail thinks. I see how the waves of people gather one strategy/signal/EA that seems to be having a good streak, and then jump to the next one once the previous one 'just' failed. There is great ignorance in the space, it feel like 80% of the people I talk to in retail haven't even read a book and/or never heard of Kathy Lien or monitor the news on BB or Reuters. I will definitely absorb those 57 pages and will stary monitoring HT blog.
darksaints 8y ago
Hey, awesome that you're posting here. I actually just asked a question as a post on the algotrading subreddit, but I'm hoping you can maybe help here. I think this would be broadly helpful, so I'm asking here instead of emailing. Is there any authoritative literature on the execution aspect of algotrading? I'm talking specifically about the things that are hard, if not possible, to analyze via backtesting. As I've moved to shorter and shorter timeframes, I feel like there's a huge execution gap that I'm suffering from. I've got good strategies that work but can definitely be improved with better execution. For example: How to optimize limit pricing to get better fill rates or better entries or exits Market microstructure analysis and modeling. How to analyze book depth and order flow to predict short term (shorter than 5-10s) behavior Applications for and optimizations of various order types like IOC, MIT, LIT, FOK, Iceberg, Basket, etc. How to handle the million ways that algotrading can do unexpected things: market gaps, trading halts, network outages or latency spikes, news events and volume explosions, etc. Metastrategies: creating strategies that "trade" strategies to turn them off or swap them out based on market conditions. Statistical process control, or other ways to detect when an algorithm is no longer working as expected. Use of metainformation to dynamically inform strategies, such as implied volatility or any of the option greeks. Do you know of any resources to point me to?
- phyalow 8y ago
  ITG Research & Microstructure research from brokers electronic desks.
- antiviral 8y ago
  Regarding execution optimization, you can just see how Rentech (Renaissance Technologies) does it: https://patents.google.com/patent/US20160035027 https://patents.google.com/patent/US20160035027 BTW- not sure why they wanted to patent this, since that just makes it all public information.
  - auntienomen 8y ago
    I maintain my belief that this patent is either defensive or a prank played by their research team on their CEOs.
fnord123 8y ago
>some parts even cringeworthy... Indeed, "work shall set you free" is not a great reference to include.
- danielb12345 8y ago
  I was shocked to see that quote in this context. The author is an idiot to even use that term even in irony.
- okl 8y ago
  Well spotted, what a stupid thing to do -- uneducated or nazi?
- JHonaker 8y ago
  I just looked that phrase up. That’s some supremely bad taste from the author.
  - mjlee 8y ago
    To be fair, you had to look it up. It's possible if you didn't know it was in bad taste you'd have repeated it in the future as well.
    - JHonaker 8y ago
      Yea but when I did, I couldn’t really find any reference to it devoid of Nazi association.
      - depressedpanda 8y ago
        Since you needed to look it up, how about you give the author the benefit of the doubt rather than act so offended? Now, if the quote had been "Arbeit macht frei" I would understand the outrage, but to me the English translation sounds more like a reflection of the Calvinist/Protestant work ethic from the time when the saying was minted, at least 100 years before the Nazis rose to power. To some people the quote in itself holds appeal, and why shouldn't it? If read without context it is actually quite inspiring.
mad_tortoise 8y ago
Thank you for your post write up. I'm going to go through that first as my main intro to quant trading and programming for trading, and then will check out your later blog posts. But so far a few pages in and I'm hooked, this should be a great and fun exercise to get into a new field of programming.
andonisus 8y ago
Thank you for creating this resource; it is incredibly interesting. Regarding the brain teasers (and, by extension, the higher-level math involved), do you have any resources you would recommend for (re)learning the mechanics involved? I took college-level mathematics through Differential Equations and Statistics for Engineering, but I would like to refresh and enhance my skill.
- drharby 8y ago
  Prob, stats, and linear algebra

anonu 8y ago

I remember reading that intro you wrote sometime after you wrote it.. . I was an algotrader at a big bank at the time. My biggest takeaway was just confirmation that really "many people are doing the same things" or looks at the market in very similar ways. One good way to get an edge is to think how would someone in a similar position approach the problem. Now iterate again and think of it differently. Its the game theory of trading.

usgroup 8y ago
Game theory itself has been applied to trading ad Infinitum . Indeed short squeezes, liquidity traps, algos that hunt algos, are all a common feature and motivated by a study of the competition. I’d venture to say that trading might just be the most competitive field in existence, with all the smart and cunning that goes with it.
HenryBemis 8y ago
Also algo-trader since Jan2018. I got IT and FS background, I like to think algo-trading as a computer game, where the 'monsters' have their own AI and different levels of aggression. I am also closely following the MQL5 market studying who the retail thinks. I see how the waves of people gather one strategy/signal/EA that seems to be having a good streak, and then jump to the next one once the previous one 'just' failed. There is great ignorance in the space, it feel like 80% of the people I talk to in retail haven't even read a book and/or never heard of Kathy Lien or monitor the news on BB or Reuters. I will definitely absorb those 57 pages and will stary monitoring HT blog.

darksaints 8y ago

Hey, awesome that you're posting here. I actually just asked a question as a post on the algotrading subreddit, but I'm hoping you can maybe help here. I think this would be broadly helpful, so I'm asking here instead of emailing. Is there any authoritative literature on the execution aspect of algotrading? I'm talking specifically about the things that are hard, if not possible, to analyze via backtesting. As I've moved to shorter and shorter timeframes, I feel like there's a huge execution gap that I'm suffering from. I've got good strategies that work but can definitely be improved with better execution. For example: How to optimize limit pricing to get better fill rates or better entries or exits Market microstructure analysis and modeling. How to analyze book depth and order flow to predict short term (shorter than 5-10s) behavior Applications for and optimizations of various order types like IOC, MIT, LIT, FOK, Iceberg, Basket, etc. How to handle the million ways that algotrading can do unexpected things: market gaps, trading halts, network outages or latency spikes, news events and volume explosions, etc. Metastrategies: creating strategies that "trade" strategies to turn them off or swap them out based on market conditions. Statistical process control, or other ways to detect when an algorithm is no longer working as expected. Use of metainformation to dynamically inform strategies, such as implied volatility or any of the option greeks. Do you know of any resources to point me to?

phyalow 8y ago
ITG Research & Microstructure research from brokers electronic desks.
antiviral 8y ago
Regarding execution optimization, you can just see how Rentech (Renaissance Technologies) does it: https://patents.google.com/patent/US20160035027 https://patents.google.com/patent/US20160035027 BTW- not sure why they wanted to patent this, since that just makes it all public information.
- auntienomen 8y ago
  I maintain my belief that this patent is either defensive or a prank played by their research team on their CEOs.

fnord123 8y ago

>some parts even cringeworthy... Indeed, "work shall set you free" is not a great reference to include.

danielb12345 8y ago
I was shocked to see that quote in this context. The author is an idiot to even use that term even in irony.
okl 8y ago
Well spotted, what a stupid thing to do -- uneducated or nazi?
JHonaker 8y ago
I just looked that phrase up. That’s some supremely bad taste from the author.
- mjlee 8y ago
  To be fair, you had to look it up. It's possible if you didn't know it was in bad taste you'd have repeated it in the future as well.
  - JHonaker 8y ago
    Yea but when I did, I couldn’t really find any reference to it devoid of Nazi association.
    - depressedpanda 8y ago
      Since you needed to look it up, how about you give the author the benefit of the doubt rather than act so offended? Now, if the quote had been "Arbeit macht frei" I would understand the outrage, but to me the English translation sounds more like a reflection of the Calvinist/Protestant work ethic from the time when the saying was minted, at least 100 years before the Nazis rose to power. To some people the quote in itself holds appeal, and why shouldn't it? If read without context it is actually quite inspiring.

mad_tortoise 8y ago

Thank you for your post write up. I'm going to go through that first as my main intro to quant trading and programming for trading, and then will check out your later blog posts. But so far a few pages in and I'm hooked, this should be a great and fun exercise to get into a new field of programming.

andonisus 8y ago

Thank you for creating this resource; it is incredibly interesting. Regarding the brain teasers (and, by extension, the higher-level math involved), do you have any resources you would recommend for (re)learning the mechanics involved? I took college-level mathematics through Differential Equations and Statistics for Engineering, but I would like to refresh and enhance my skill.

drharby 8y ago
Prob, stats, and linear algebra