tag:blogger.com,1999:blog-35364652.post1280601035287075758..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Algorithmic Trading Technology UpdateErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger21125tag:blogger.com,1999:blog-35364652.post-90129913450826070932011-06-20T14:31:18.914-04:002011-06-20T14:31:18.914-04:00I am a stock trader, looking to team up with a pr...I am a stock trader, looking to team up with a programmer or two to create a black box. If anyone interested let me know, we can exchange info.Muhammdhttps://www.blogger.com/profile/06183278438581607254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-89996826851274218742011-06-20T14:28:07.981-04:002011-06-20T14:28:07.981-04:00Someone mentioned Trading Ideas as a black box. T...Someone mentioned Trading Ideas as a black box. Trading ideas is a real-time stock scanner. I used it 3 yrs. ago and I can tell you its no good even as a scanner. And certainly wouldn't be good as a black box.Muhammdhttps://www.blogger.com/profile/06183278438581607254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78595354224123471832011-06-20T14:23:46.485-04:002011-06-20T14:23:46.485-04:00Someone commented that Trading Ideas is a trading ...Someone commented that Trading Ideas is a trading black box. Let me tell you its a poor poor real-time trading filter. It gives you alerts when the moving averages are all over each other like spagitti !!!! So if you would trust a program that does that as a scanner good luck trading with it as a black boxMuhammdhttps://www.blogger.com/profile/06183278438581607254noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-27185814048755379712009-03-04T16:41:00.000-05:002009-03-04T16:41:00.000-05:00Hi Anonymous,There are multiple beat-the-VWAP stra...Hi Anonymous,<BR/>There are multiple beat-the-VWAP strategies, and of course, they are trade secrets to the firm developing them!<BR/><BR/>I myself have not tried this strategy, but I suggest looking into a Bollinger-band strategy and buying at the x-period low throughout the day.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-6809369422712957072009-03-04T16:37:00.000-05:002009-03-04T16:37:00.000-05:00Hi anonymous,I use Matlab (both backtest and autom...Hi anonymous,<BR/>I use Matlab (both backtest and automated execution) with Interactive Brokers.<BR/>Haven't tried tradestation or ninja trader myself.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-27568640584652407872009-03-04T16:15:00.000-05:002009-03-04T16:15:00.000-05:00Hi Ernie,First, your book was great. Its a fast re...Hi Ernie,<BR/><BR/>First, your book was great. Its a fast read (i.e. write a second, deeper dive please) but it filled in a much-needed area for me as a starting trader who has a quantitative background in my career and was having trouble bridging that to trading. <BR/><BR/>Anyway, I started trading with Ninja Trader as my back testing & development environment. It seems to most closely compete with Trade Station. Do you or other traders here have any insights to using this system? I'm trying to find a good platform to work from, and am willing to spend a few dollars if it will give me something. Maybe MATLAB? I have a base SAS license... does anyone use it as a backtesting platform?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-72409479831849102982009-03-03T20:25:00.000-05:002009-03-03T20:25:00.000-05:00Hi Ernie,Just ordered your book. I'm looking for...Hi Ernie,<BR/>Just ordered your book. I'm looking forward to a great read! <BR/><BR/>I'm an order management developer and I am trying to break into the quantitative world. My first task at hand is to build a beat the VWAP strategy. <BR/><BR/>I'm familiar with all aspects of the project with the exception of the actual strategy (when/how much to buy/sell??). I can't seem to find info on this anywhere. It seems to be a secret! <BR/><BR/>Any thoughts on how I can find out more information on this?<BR/><BR/>Thanks!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-19676534314250916742009-02-09T07:38:00.000-05:002009-02-09T07:38:00.000-05:00Hi OptionsTrader,Though I don't trade options at t...Hi OptionsTrader,<BR/>Though I don't trade options at the moment, I think it is a great resource for those who do. And sure, as with any trading programs, you can always run those on Amazon's EC2. <BR/><BR/>Thanks for sharing!<BR/>Best,<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-34343767226597683002009-02-09T07:35:00.000-05:002009-02-09T07:35:00.000-05:00Hi David,That is great information! Thanks a lot f...Hi David,<BR/>That is great information! Thanks a lot for sharing it.<BR/>Best,<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83644065009427526182009-02-08T22:19:00.000-05:002009-02-08T22:19:00.000-05:00Hi Ernie,Great blog!Rearding interfaces to IB (Int...Hi Ernie,<BR/><BR/>Great blog!<BR/><BR/>Rearding interfaces to IB (Interactive Brokers), take a look at www.trade-commander.org<BR/><BR/>It's a generic interface between IB and a myriad of applications, from MatLab to Excel, from Perl to Phyton... and it's free !<BR/><BR/>However, I donated some money to its author as he did really a great job !<BR/><BR/>Best,<BR/>DavidAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-11319103826369197212009-02-05T13:34:00.000-05:002009-02-05T13:34:00.000-05:00Hello,I came across this Open Source Platform =>...Hello,<BR/><BR/>I came across this Open Source Platform => http://www.marketcetera.com<BR/><BR/>How about dropping marketcetera onto Amazon's cloud computing, then add a simple algorthm?OptionTraderhttps://www.blogger.com/profile/02416409707643465786noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-84993454977488365262009-02-01T23:01:00.000-05:002009-02-01T23:01:00.000-05:00Ernie,haha of course, I am quite satisfied with my...Ernie,<BR/><BR/>haha of course, I am quite satisfied with my day job. Just acknowledging the fact that the knowledge you share in your book can open new doors later in the future.JBhttps://www.blogger.com/profile/09110380068547195362noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-64278303601917941442009-02-01T08:04:00.000-05:002009-02-01T08:04:00.000-05:00Hi JB,Thanks for affirming one of the central poin...Hi JB,<BR/>Thanks for affirming one of the central points in my book! But as for quitting your job and setting up your own trading -- I feel it is preferable to get laid off and get a severance package than to voluntarily resign!<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-2612219006065652002009-01-31T00:23:00.000-05:002009-01-31T00:23:00.000-05:00Hi ErnieJust perused through your book and I love ...Hi Ernie<BR/>Just perused through your book and I love it. Much of the topics you present are practical, and I can attest to the fact that many of the profit generating strategies are not very complicated. The only things that make them "propriety" are the tweaks and the amount of software and technology infrastructure that gets built around them. Thanks for the great book - it's tempting to set up my personal algo trading infrastructure/system at home instead of doing it for my current employer. ;-)JBhttps://www.blogger.com/profile/09110380068547195362noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-23486942835994425042009-01-30T09:48:00.000-05:002009-01-30T09:48:00.000-05:00"Most profitable trading strategies don't require ..."Most profitable trading strategies don't require much math at all."<BR/><BR/>Agreed. What's needed know is a practical programming book that specifically addresses how to execute trading strategies, connect with broker API's/FIX, develop tools, etc. That would be a big seller!!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-21519129730292755752009-01-20T19:42:00.000-05:002009-01-20T19:42:00.000-05:00Anonymous:Thanks for your suggestion of Portfolio1...Anonymous:<BR/>Thanks for your suggestion of Portfolio123. Sounds very useful!<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-13508038709378289262009-01-20T19:41:00.000-05:002009-01-20T19:41:00.000-05:00Steve:I think a computer science degree is more pr...Steve:<BR/>I think a computer science degree is more practical for building trading systems. Most profitable trading strategies don't require much math at all.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-20106397345281400442009-01-20T15:25:00.000-05:002009-01-20T15:25:00.000-05:00Have you taken a look at Portfolio123. You can dev...Have you taken a look at Portfolio123. You can develop some very neat factor models there, there are a ton of tutorial, some for regime switching. The data starts at 3/3/01 (which is not a lot but it is from Reuters with no survivorship bias). Anyways, it lets you back test all these models and then you can run a system and it will spit out the orders for those of us who are semi-automatic.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-27174687106371544612009-01-20T07:03:00.000-05:002009-01-20T07:03:00.000-05:00Hello Ernie,could You advice me if is better a th...Hello Ernie,<BR/><BR/>could You advice me if is better a three years degree in Math or computer scienze for make "quant" trading sistems???<BR/><BR/>Thanks,<BR/><BR/>Stevestefanohttps://www.blogger.com/profile/07007361553935964452noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-62376625940223989892009-01-19T08:44:00.000-05:002009-01-19T08:44:00.000-05:00Hi Henning,Thanks for your questions.1) Quantitati...Hi Henning,<BR/>Thanks for your questions.<BR/><BR/>1) Quantitative trading also include derivatives trading as well as trading of fixed income instruments. Statistical arbitrage refers mainly to trading stocks only.<BR/><BR/>2) If you go to the Interactive Brokers website, you can download their C++ API documentation which teaches you how to connect.<BR/><BR/>3) I would certainly recommend ORIE at Cornell. Their applied math program might be a bit on the theoretical side. Ph.D. is not necessary to succeed in quantitative trading. A Masters degree is good enough. Even better: first join a hedge fund or I-bank as a quantitative programmer and work your way to become a trader.<BR/><BR/>Good luck!<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-69551093261826320382009-01-18T12:26:00.000-05:002009-01-18T12:26:00.000-05:00Hello Ernie,Absolutely loved your book, but I thou...Hello Ernie,<BR/><BR/>Absolutely loved your book, but I thought it was kinda short and lacking more examples maybe. <BR/>After reading your book, I have some questions:<BR/><BR/>1. Apart from statistical trading, what other kind of "quantitative" trades are there? As far as I understood, there are no other kind apparently.<BR/><BR/>2. I know a lot of C++, but haven´t ever actually done any web applications with it. Could you recommend a book to learn how to connect a C++ application to database and to a broker? <BR/><BR/>3. I´m currently finishing my BSc in App Math and maybe thinking about going for a PhD in Op. Research in Cornell. Would you recommend it? Or would you recommend a PhD at all? BTW i live in latin america.<BR/><BR/>Great work and thanks for sharing so much!<BR/><BR/>Henning MenkeSkeleton Jackhttps://www.blogger.com/profile/06269728891242899528noreply@blogger.com