5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

BeginnerandAspiringQuant/Algotrader
Discussionin'AutomatedTrading'startedbydavahg,Mar2,2015.
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davahg

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HiAll,
Iamnewtoalgorithmic/quantitativetradingbutIwishto
pursueafulltimecareerinthisfield.Iamarelatively
competentPerl/Matlabprogrammer,butnowlookingtolearn
C++/C#(IdonotwanttouseEasylanguage).Iwouldliketo
knowwhichtradingplatform/apiyouwouldrecommendtohelp
megetstartedwithusingtheselanguagesforprogramming
simplealgorithmsandwhatsortoflearningprogramshouldI
haveifIwanttoworkasaquant/algorithmictrader?
Iwouldliketostartwiththebasicstrategies,thenworkmyway
uptomorecomplicatedmathematicalstrategies.Mygoalatthe
momentisnottogetrichbuttosecureajobinthefield.
IhavelookedatInteractiveBrokers,buttheyrequirea$10k
deposittostartanaccountwhichIcurrentlydon'thave.AsI'm
onlyinterestedinthelearningaspectrightnow,arethereany
thatdonotrequirealargeamounttostartup(ideallyfree)even
ifitsjustpapertrading?
Thanks.
Mar2,2015

johnbennett103

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YoucouldtryTradelink.ItsopensourceinC#,anditcanbe
tiedintoalmostanybroker.Theonlydrawbackissupportis
prettythin.Hereissomeusefullinks:
https://code.google.com/p/tradelink/
https://bitbucket.org/JDFagan/tradelink/overview
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5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

Mar2,2015

eusdaiki

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metatrader'slanguageisprettyclosetoC++too....
Mar2,2015

ianlav

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NinjaTraderusesNinjascript,whichisbasicallyC#.Iusethis
withInteractiveBrokers,butyoucandoMBTradingaswell.Not
surewhichmarketsyouwanttotradein,butbothofthose
brokersandNinjatraderletyoutradeforex,futures,equities.
Idoalgorithmictradingmyself.Mybackgroundisindustrial
engineering,andmyopinionisthatunderstandingtheinsand
outsofoptimizationandsimulationismuchmoreimportant
thanprogramming.Otherwise,youmayfindyourselflearning
thehardwaythatyouralgorithmsarenotasgoodinreallife
andtheyareinsimulation.
Caseinpoint:myexperienceisthatmorecomplicated
mathematicalstrategiesonlyproducebetterresultsina
simulatedenvironmentbecauseyouroptimizerhasmore
degreesoffreedomtofittheparameterstothedata.Simpler
strategiesaremorerobust.
Also,expecttospendyearsgettingyourskillsup.Thinkofit
likethis:youhavetobuildahouseallbyyourself.Your
questionisaskingwhattoolsyouneedtouse,butthereisfar,
farmoreyouneedtounderstandtosuccessfullybuildahouse.
Similarwithtrading:youcan'ttradewithoutthetools,butthere
isfarmoreyouneedtomastertosurvivethetradingworldin
thelongrun,whetheritbeasatraderoradeveloper.
Notethereareanumberofcurrentandformerprofessional
quantsonQuorawhohaveworkedforbigfirms.Ifyousignup
onQuorayoumaybeabletogetsomegoodinfodirectlyfrom
thepeopleyouaspiretobecome.
Mar3,2015

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5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

rohan2008

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davahgsaid:
HiAll,
Iamnewtoalgorithmic/quantitativetradingbutIwishtopursuea
fulltimecareerinthisfield.
Thanks.

My2cents:Learnhowtotradefirstsinceyouarea
programmer,youcanthenarchitectyourtradingengine.You
willendupwastingyourtimeifyoustartworkingonyour
tradingsystemwithoutunderstandingwhatitfeelsliketotrade
live.Youshouldatleastbebreakevenwithagoodworking
tradingplanbeforeyouwanttoventureintoalgotrading.I
myselfbeingasoftwareengineerwentthroughthatrouteyears
backandrealizedthatIwastedallmytimedeveloping
somethingwithouthavingaclueaboutpriceaction.Iknow,it
takestime,butthatsthewaytogobasedonmyexperienceof
coursethisismyopinion.Goodluck.
Mar3,2015

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JTrades,AlanWang,Sergio77and1otherpersonlikethis.

Sergio77

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rohan2008said:
Youshouldatleastbebreakevenwithagoodworkingtradingplan
beforeyouwanttoventureintoalgotrading.

Randomtradersbreakeveniftheydoagoodrandomtradeto
covercost.Heshoulddoatleast20%/yrbeforegoingalgo.
Otherwisehismoneywillbetakeninafewdays/weeks.
IrememberthetimesIwasplayingaroundwithfriendswithan
IBaccount.Wewouldselectastockwithmorethan1Mshares
tradedaroundnoonbutwithnochangeinpriceandthenwe
wouldbuyafewroundlots.Immediately,priceswouldgocrazy
withanegativetrend.Wewouldwaitfora1%dropandbuy
more.Suddenly,thingswouldgethilariouslyquite.Averaging
downincreasedtheriskofthecounterparty.Welostsomeand
wonsome.Attheendwebrokeevenandwehadalotoffun
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5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

seeingthegreedyf******goingwild.
Mar3,2015

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davahg

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Thanksforallthesereplies,reallyappreciateit.HoweverIam
notfocusingonstrategiesasyet,Iamjustlookingforaplace
tostartlearningwhereIcanhaveoneverysimplestrategyjust
toseehoweverythingfitstogether.Then,Iwouldimprovemy
strategyortrynewonesbutallofthiswhilsttrading
papermoneyandwatchingmyaccountatleastforafew
months.OnceIhavegainedsufficientknowledgeandskills(and
savedupfunds),Iwillbegintradinglive.Eventually,Iaimto
joinafirmasaquantitative/algorithmictrader.
Sofornow,myemphasisisonfindingtherightbrokerthat
allowsmetoprograminC++ideally(IamopentoC#).Iwould
ratherstayawayfromthebrokerswhichhavetheirown
languages,aslearningC++/C#wouldbemoreusefultomein
thelongterm.
Iwouldliketoaskifanyonecanrecommendmeabrokerwith
anapithatallowsC++butdoesn'tchargemuch(ideally
nothing)totradeinpapermoney/demo?Asforwhich
instruments,IhavenotdecidedonanybutIwouldliketokeep
myoptionsopenforthefuture.
Also,IambasedinLondon,shouldIavoidUSones?
Lasteditedbyamoderator:Mar3,2015

Mar3,2015

arivera

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rohan2008said:
My2cents:Learnhowtotradefirstsinceyouareaprogrammer,you
canthenarchitectyourtradingengine.

Itotallyagreewiththis.Inmyopinion,inordertobeagood
mechanicaltraderyouneedtobesuccessfuldiscretionary
trader.Asoftwaredeveloperwithasolidunderstandingofthe
topiche'sworkingonwilldoamuchbetterjob.
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5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

AsasoftwaredevelopermyselfItrytobuildcustomappsto
helpmewithtrademanagementandpreparation,butmy
tradingisdiscretionary.
Mar3,2015

Jerry030

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Itwouldalsodependonifyouwanttodomuch"discovery"in
searchofanedge.WhatImeanisthosewhodiscoveranew
perspectiveinadynamicalsystemlikethemarketshavean
edge.Itisinformationpredictiveoffuturebehaviourthatfew
mighthave.Thisgivesyourtradingsystemapplicationanedge.
Incontrastifyoutakethesame100categoriesofdatametrics
thateveryoneandtheirbotherlooksat,andapplythesame77
statistical,structuralpatternandlogicalgosthateveryoneelse
isusingyouareunlikelyhavehavemuchofanedge.When
thereisnoedgeininformationpeoplewillseekanedgein
process....speed.Agoodlookatthetradinguniverseillustrates
mypoint.Sincemosteveryonehasaccesstotonsofdataand
standardsoftwarelikeMathLaborSAStheedgefoundinwriting
algosislimited.Forexamplelet'ssay(makingsomethingup)
"Triggerstage1initialpositionwhenthecompositeof66%of
industrysegmentsleadersarewithin1standarddeviationof
theirannuallowANDtheUSD/YENratioexceedsthe........blah,
blah"foranother2,000linesofcode.SotheadventofHFT.
Theedgeisgettingyourorderinfirstoncesomethingstartsto
happenandholdingthepositionfor1.3secondsbecausethatis
abouthowlongthevastmajoritycanpredictthefuture
behaviourofthemarkets.
Sowhichwayforyoudogo?Ifit'sbeinganalgotraderthen
languages,tradingplatforms,andsucharecriticalandyoujoin
withmillionsofotherinvestorsinaverythinedgedspace.If
yougowithdiscoveryitwillbeverylonelybutyouarespared
debatesoverC++vsC#butwillneedtospendtimereading
Plato,RichardFeynmanandRupertSheldrake,thinkingnew
thoughtsandlearningtouseknowledgediscoveryand
predictiveanalyticssoftwaresuitestocreatetradingsystemsin
muchbigger"space".
Mar7,2015

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rohan2008andeusdaikilikethis.
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5/23/2015

BeginnerandAspiringQuant/Algotrader|EliteTrader

vicirek

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YoucanstilltryexperimentingwithIBAPIforfreeusingdemo
accountwiththegoaloftestingyourskillsdevelopingthingslike
connect,errormanagement,trade/accountmanagement,your
ownUI.Unfortunatelydemofeediscompletelyuselessasitis
randomizedandsplicedcollectionofquotes(otherwisethey
wouldviolateregulationsgivingaccesswithoutpayingexchange
accessfees).Nextstepwouldbetoobtainsetofhistoricaldata
andusereplytosimulatelivefeedwithwhatyouhave
developed.Afterthatyoucanaddblackboxstrategiestowork
with.Itwouldworkifyoubuildyoursystemasasetof
independentmodulesnotnecessarilytieduptoonebroker.
IBandothersmayhaveprogramforstudentswilllowerinitial
depositrequirementsorfreeaccesstopaperaccount.

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