
Ask HN: Algorithmic trading for hackers - frr149
I&#x27;m looking to learn more about algorithmic trading, but can&#x27;t seem to find a good starting point.<p>Can someone recommend a book or course aimed at programmers?<p>I&#x27;m looking for the SICP of algo trading: does such a thing exist?
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chollida1
Let me state flat out that I don't think there are any good books about
algorithmic trading all all.

Most will talk at surface level about what they are doing but non will give
you a start to finish example that can be deployed with a brokerage like
interactive brokers.

Trading & Exchanges I see was recommended. I'd skip it, most(All?) trading
strategies that the average person will come up with won't be market micro
structure related, and if it is then I'm going to flat out state that you've
lost before you started.

If you really want to get into it, then please don't start with machine
learning.

I've said this many times but ask your self

\- "what machine learning techniques could I apply that 100 fresh PHD's
haven't done on their first week at a hedge fund?"

\- "What data source do you have that the average hedge fund doesn't have
access to"?

\- "What market insight do you have that someone whose done this for years
doesn't have?"

If after all that you still want to get started then honestly your best bet is
to start with quantopian. Don't look at market data changes at a granularity
of less than 1 day until you can create a strategy on your own that makes
money.

Quantopian can give you access to a backtesting platform and clean market
data, which is the step most people get stuck on, and usually quit at.

Once you've found a strategy that makes money, put your money into an account
with Interactive brokers, If after 3 months you still want to continue then
start looking at market data slices of less than one day.

Tl/DR

\- first step is don't

\- second step is to focus on time slices of 1 day or more

\- third, put your own money into action on you strategy for 3 months

\- fourth step, there is a very small chance you'll make it this far, look at
time slices of less than a day. At this point you can start to apply machine
learning and build your own software. Even at this stage you are more likely
to be an ATM for a hedge fund than you are to make money.

Good luck

~~~
airbreather
But you could also ask yourself if there is a niche you can occupy as an
individual investor that a hedge fund is unable to occupy, due to say,
corporate risk management guidelines or minimum size of positions.

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BWStearns
Trading and Exchanges is recommended everywhere and I'm about a third of the
way through it. Chollida is absolutely right when he says that any individual
running strategies that are microstructure related is going to get robbed (the
hardware, baseline software, and colo requirements are all massive). That said
it's an interesting read and if you're willing to accept that the productivity
per page for the immediate future is low it's enjoyable.

Quantopian is the easy way to get into algo trading if you want to attempt to
make money doing it solo. They seem pretty focused on long-short strategies
(rank all stocks, buy top x, short bottom x) from what I've been reading but I
don't know enough other kinds of strategies to know if they're more optimized
for that. They have some really good videos and iPython notebooks on intro
concepts including basic trading strategies as well as relevant statistical
math.

* I've never done algo trading professionally so this is a mix of "I read it online" and "my friend who works in it told me"

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detaro
[https://www.stockfighter.io/](https://www.stockfighter.io/) is not exactly
what you are looking for, but interesting ;)

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blcArmadillo
There is [https://www.udacity.com/course/machine-learning-for-
trading-...](https://www.udacity.com/course/machine-learning-for-trading--
ud501). I haven't personally taken the course though so I can't speak to the
quality.

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kasey_junk
Trading & Exchanges by Harris

Algorithmic Trading & DMA by Johnson

Both are dated now but still good foundational books.

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brobinson
"The Evaluation and Optimization of Trading Strategies" by Robert Pardo

