Are there any upsides to learning algorithmic trading as a hobby?

If you get good enough, I suppose you could get a job doing it. Aside from that, you will get better at coding and mathematics while staying ahead of the curve on many technological developments.

>>965523

It started as a hobby for me.
Now it's my primary income.

>>965824
Really? I've been reading into it, and it seems appealing for me. I'm guessing you do medium frequency trading?

>>965523
Which one should I invest in?
Bitcoin Mining Rig or HFT Rig?

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>>966010
Yeah, I tend to stay between 1-15 seconds.
>>966043
Algo Trading doesn't take a whole lot of computer power if you're doing it right.

What both of you need to understand is that there isn't any worthwhile algo trading software that you can buy. There are a few token suites out there that sell for thousands of dollars but none that have the tools you'll need.

You'll have to build your own tools atop the API of a good broker.

Building an algo trading platform is simple and straightforward enough. There are even a handful of books on it.

Trading Strategy, on the other hand, is a bit of a dark art. You'll have to invest a great deal of time inventing robust strategies to fill your war chest.

Funding is another issue, if you plan to trade stocks more than 3 times a week you'll need a minimum of $25,000 to do so. Futures and ForEx are a different story, but you can look into that yourself. If you've got a few solid strategies to show investors, you won't have any trouble raising the money.

When I started I already had years of coding experience but I knew nothing about trading. It took me four years to go from my first line of code on the project to making a living from it.

tldr;
> It's going to take you a few years to go from scrub to pro but it's entirely possible if you put in the time and effort.

>>965523
you can win an online argument on /biz

>>966074
Any reading you recommend? I want to do it too learn how it works but I don't even know the basics

>>966245
bump for this

>>966074
I have limited coding experience, so it will probably take me even longer than that.

>>966245
I don't know the basics either; however, someone recommended that I read "The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)" by Mark S. Joshi.

Perusing through the Amazon reviews, I've found that many of the reviewers are actually students, and a couple have recommended reading "Hull's Options Futures and Other Derivatives", as Hull's book is supposedly an easier read.

>>965523
You can use Python to make these memes

Go on this meme website, it's a good start. After this, start reading textbooks and shit. Learn to be proficient in Mathematics, Computer Science, Finance, etc... Then move on to more specialized topics as needed.

>>966371
quantopian.com

>>966373
No. Yuck. Quantopian poopoo-peepee simplified bullshit.

>>966690
>>>/r9k/

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Add on to the topic, is there any simulated stock-market site with an API you can use?
I.e. one where you invest with monopoly money and supports making a program that does it for you.

>>966862
By "simulated" I still mean based on real stocks

>>966074
what are some babby's first strategies to test besides TA?

>>968066
I mean other than TA.

>>966074
fuck sounds interesting enough. What language did you program in? I'm decent with Python but is it maybe worth learning C# or even C for these calculations?

I wouldn't even be in it for the money, just seeing how I could experiment with putting bots to exchanges.

>>966862
>>966873

bumping for this. Seems cool to program a bot and see what it does. Any broker with practice accounts that has some sort of API for this?

Gah, as a recently graduated software engineer I'm split between making algorithmic trading and app development my hobby.

>>966862
>>968081
yes:

https://www.quantopian.com/

>>968090
also this might be of interest to some - it is just a basic course and only using daily data but still, there aren't many introductory online courses covering this subject:

https://www.udacity.com/course/machine-learning-for-trading--ud501

>>968091
well there is plenty oc cancer out there in the form of retards using 'technical analysis' and 'meta trader or some other shite retail platform...

but if you want to take a more professional scientific approach then the majority of trading forums and online courses out there don't really cater for it

>>968092
I can code my own bot, I just need some sort of API from a broker I can apply it to. Not sure if that's what you meant.

>>968090
thanks for this site btw it looks pretty neat as a starting point

>>968095

see

>>968090


not a broker per say but a platform you can use and the potential to be backed financially if you create something that wors

>>968098
>>968096
ah.. I posted too soon

no worries - I've not used it myself but thought it was interesting... it at least fits the requirements of something free to play around with using monopoly money


another option is interactive brokers - they have a popular API and you'll find plenty of code examples on the web... you can use their sim

>>968091
also this course doesn't seem to be available at the moment on here - there does seem to be an earlier iteration of at least part of it on coursera:

https://www.coursera.org/learn/computational-investing

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>>966245
>>966312
Basics?
> All About High-Frequency Trading by Michael Durbin

>>966373
>>968090
see
>>966690
>>968092

>>968095
Interactive Brokers is the only choice.

>>968066
TA is a yard stick. Contextualizing TA into trading decisions is Strategy.

Baby's First Strategy: wiki/MACD

>>968177
Could you elaborate a little why is quantopian.com the wrong place to be doing things?

>>968177
Thanks man it's really inspiring to see that.
Can you give a few more books so that one is ready to make his own software?
Greatly appreciated

>>968177
How much do you earn with your bot?

>>969307
a faff and a laff

>>969143
Quantopian uses very low resolution data.
It's meant for long-term trading, not for day trading and absolutely not scalping.
The order execution emulation is unrealistic "filled if touched."
The strategy scripting has very limited capability that doesn't allow for any kind of optimization.
God forbid you actually cook up something that works on there, you'll have no way to protect your secret sauce.

Quantopian is neat to play with but it's not the path to take if you're serious about this. It's a fisher-price toy compared to what you need to build.

>>969176
> Quantitative Trading
by Earnest P. Chan
> WARNING: Physics Envy May Be Hazardous To Your Wealth!
by Andrew Lo and Mark Mueller
> Evaluation and Optimization of Trading Strategies
by Robert Pardo

Accept now that you won't find a winning strategy in a book. These books provide tools and the mindset you'll need to figure some out. It's a lot of trial and error at first, but eventually you start getting an intuition for it.

>>969307
You wouldn't believe me if I told you. Let's just leave it at that.

>>969326
Thanks for the recommendations. I do realise I'll have to do the heavy lifting but I needed a base. My biggest asset is time since I'm young and I have time to explore. Thanks again.

>>969326
>You wouldn't believe me if I told you. Let's just leave it at that.
Let me rephrase it then.

Enough to live off?
Enough to live comfortably off?

Also:
How much time do you spent a day / week on improving or maintaining it?

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>>969343
Very much so, yes.

> How much time do you spend on it?
It's all that I think about. I live and breath it. Everything in my life revolves around it.

I'm deeply obsessed and I pride myself on constant improvement.

For example, since this thread was started I've thought-up, built and deployed an entirely new risk management model which increased the profitability of an entire class of strategies by nearly 300%.

I live for this shit.

>>969365
do you consider trading opm, prop route?

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>>969387
>opm
I loved the movie and I've put a great deal of thought into it, but it simply isn't worth my time to trade opm. Algo Trading doesn't scale-up like traditional investing, profits are not proportional to the bankroll.

>prop
I am my own prop. Why would I ever want to go work for someone else?

>>969365
Do you have any degrees?

>>969434
if you are on your own, do you take directional risk?

>>969365
>I've thought-up, built and deployed an entirely new risk management model which increased the profitability of an entire class of strategies by nearly 300%.
So, you don't trade on 3 days of the week?

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>>969435
None applicable to this work.

>>969461
No, I don't do anything longer than a few minutes and I damn sure don't hold anything overnight.

>>969483
No, you misunderstand. Don't worry about it. Take a load off, Guy. Put your feet up.

>>969556
thanks for being unusually helpful. you should trip.

>>969556
So I want to learn to arb (in all forms), where do I start?

>>969556
Thanks for all the info, man. I've seen you in other algo threads and you're always helpful.

Did you do any trading before you started your algo stuff? I'm interested in whether you had a discretionary system that you used as a basis for any of your algorithms.

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>>969569
Tried tripping when /biz/ was young. It doesn't help me be helpful.

>>969576
The first step is to collect data. Then try your ideas against the data until something sticks.

For Arb I'd suggest starting with GOOG and GOOGL. Both are Google(Alphabit). One is voting-stock, the other isn't, and both trade on the Nasdaq simultaneously. I can't think of a better case study for Arb.

>>969578
It's nice to be noticed. More so to be remembered.

I did a bit of traditional trading on ScotTrade long before I got into algo, but the '08 recession hit me really hard. My long-term trades got squashed like a bug and I barely got out of dodge with my dick in hand.

After a nasty bit of "real life" in 2010 I realized that my programming skills gave me a huge advantage in the stock game and I've been walking the path ever since. It was a few years of monastic poverty before the pay off, but it was never really about the money. It's about exploiting the existence of the Matrix to forever be free of it.

I said that I don't have any applicable degrees, but I was a science major. Discretionary isn't repeatable and thus never held any validity in my mind because it doesn't conform to the Scientific Method.

>>969615
more along the lines of people will recognize your trip and ask you for input. although i understand if that would annoy you.

>>969624
I know what you mean, but consider the following:

Every tripfag on every board is treated with disdain because of the implicit ego behind it.

I briefly went by "Mr Obligatory" only to find screenshots of my trading software on a fraudulent kickstarter and 20 anons attacking everything I posted.

And also, as you said, it's annoying to be an authority on anything.

But, it's a safe bet that if you started an Algo Trading thread on /biz/ I'll be lurking promptly.

PS~ Recaptcha thinks "One Way" is a Street Name sign. God help us all.

>>969638
i hope you stick around. knowledgeable and profitable traders are rare. even rarer, those willing to help.

first i'll see how i do trading my system. if that works, i'll have to grow to an account large enough to algo trade. in the mean time, i'll start reading. cheers.

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>>969647

>>965523
> learning to write flawless code on the fly
> debugging code on the fly
> better understanding of the dynamics of the market
> great for your resume if you're a software engineer

>>969663
Yes, exactly this.

You've out-smarted the market? Surely you're smart enough to work for <insert fortune 500 company here>.

>>969668
How do you deal with signal delays?
Is it even important on your scale?

>>968177
quantopian probably fits the requirements of the poster who asked...

>>969143
it isn't necessarily, it depends what you want to do - the other poster wanted a site where he got to play with 'monopoly money' - it is fine for that.... obviously it isn't going to be fine for some high frequency system but that wasn't what was asked

>>969615
Doubt you're still here, but how did you manage that "monastic poverty"? Were you making any money at all off of your initial algo attempts or did you have an outside source of income?

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>>970979
Initial attempts where rare, done very carefully, and not a source of income.

I have another source of income that only consumes a few hours a month.

>>971241
Interesting. Any hints as to what your other source is?

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>>971271
Before this, I built business software by contract. Some of it is still used to this day and those businesses pay me a reasonable monthly retainer for tech support.

>>971283
Sweet setup. Congratulations on winning life, my friend.

>>971283
So, I trade stock the old fashion way... with a keyboard and mouse. I have a few primitive strategies.

1. What programming language do I need to look into? I hear Python?
2. If I want to do some trial and error for my strategies, what would be the best way to go about that?

Awesome contributions to this thread, btw.

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>>971664
You're are a brave man. What's your resting BPM while trading by hand? I'd rather talk-down a hostage taker than manage positions manually.

If you have the stock data and a firm logic for your strategy then any programming language will work for straightforward testing. Even Excel can do that much with its fubar scripting.

If you're trading on anything between 1m and 1d bars, you can get that data for a very low price from EoDdata dot com. 1d data is completely free. I love those guys.

Python is perfect for quick and dirty stuff. If you just want to know some stats for your strategy over time, that'll do just fine. Find yourself a copy of that Robert Pardo book I mentioned in an earlier post, checkout the chapters on Optimization. [wink-wink, nudge-nudge].

I hate the idea of having one program to do backtesting and another program to do actual trading, but if you're trading that strategy manually then this isn't an issue and a few days playing with Python will give you the answers you're seeking.

The most important thing I could tell you about backtesting is that "filled if touched/passed" isn't realistic. If you've been trading manually, then you know what I'm talking about. Stops are imaginary until submitted, sufficient buying volume needs to happen above what you're selling at, and vice versa.

Thanks, btw.

>>970401
You're absolutely right. I let my personal bias get in the way of what was best for the poster who asked. Quantopian is perfectly fine if you just want something to play with right away.

>>971644
I haven't won yet, but I'll consider this a good start. Pic Related.
If you like my setup, you'll love this: youtu.be/ShdmErv5jvs

>>971719
>What's your resting BPM while trading by hand?
Lmao. It probably fluctuates at an unhealthy rate at times. I also don't blink much. In general I am able to remain calm but very attentive.

EoDd looks very competitive with their pricing. I use Equity Feed for real-time data at the moment; however, they don't offer the kind of in-depth historical data that EoDd does.

>"filled if touched/passed"
Yes, I very much understand why that's a facade.
I'll look into that book, thanks.

Do you incorporate Level 2 data into your strategies?

>>971761
LvL2? Hell no. Even the lamest brokers let people run Iceberg orders these days. LvL2 is useless.

>>971836
How do you come up with new ideas for strategies? Do you just throw a bunch of stuff at a wall and see what sticks?

>>971952
>>969615
>The first step is to collect data. Then try your ideas against the data until something sticks.

>>971836
Good to know. I sometimes enter a trade just because I like the way the L2 is setting up. It usually works out.

>>971836
>>972037
What is lvl2 data?

>>972086
It's basically a deeper look into the market.

Therein you can identify which Market Makers are facilitating buy and sell orders on the Bid and Ask throughout the entire price range.

Typically you'll see a Market Maker ID: NITE
You'll see a size: 10000 (shares).
A time when the market maker's order was last modified.
A regular time and sales.
And sometimes a histogram illustrating the dollar volume sitting on the Bid and Ask throughout the price ranges.

Investopedia says: A trading service consisting of real-time access to the quotations of individual market makers registered in every Nasdaq listed security, as well as market makers' quotes in OTC Bulletin Board securities.

>>971836
L2 is super valuable if you are trading more than like 100 shares at a time -- helps to gauge your market impact and lets you know if you can fill all your shares at the nbbo

>>972163
i think that's only true on lower volume stocks.

>mfw watching time and sales for AAPL
>$500 000 to $1mil stock orders print
>market keeps blasting through them

best i could see, the price only moved a few cents each time. such large blocks are rare-ish. but the effect seems to be rather small either way.

What's the probability that you'll actually make enough money for it to be worth your time?

There are literally thousands of high IQ people with graduate degrees and trading experience who spend their time trying to find whatever tiny niche that remains in the hyper-optimized industry that is finance. Look at how much interest there is in algotrading even here, where there is a thread about it at least once a week.

What makes you think you can beat them all?

>>965523
Professional trader reporting in.

Let me ask you back: Are there any upsides to learning neurosurgery as a hobby? Or soliciting as an attorney?

I mean, I love trading, it's my job. But sometimes I have the urge to conduct an operation on a human brain. Nothing serious, more of a hobby with passive income as side effect. Is it worth it? pls biz, I need help.

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>>973343
>>973364

>>973343
>What makes you think you can beat them all?
With that kind of attitude, you will never be a billionaire. You give up before even trying.

>>973364
There wouldn't be any neurosurgeon in the world if they had your pessimistic, defeatist attitude. Giving up before even trying.

>>973364
>https://en.wikipedia.org/wiki/Pierre_de_Fermat
>https://en.wikipedia.org/wiki/Leonardo_da_Vinci
>he's not a renaissance man

>>973364
I'll be the one taking your job five years from now bud.

>>973864

the fact you started a thread on /biz/ very much suggests you actually won't

>>973890
>the fact you started a thread on /biz/
But going by the OP, he didn't start this thread, pal.

>>973890
I'm tired of your shit. Here I am attempting to get ahead in life, and there you are wallowing in your own filth and pessimism. Typing BULLSHIT just to attempt to knock me down a peg. Well too bad fuck face, because it's not working.

I understand that I cannot be POTUS or a brain surgeon; although, if you think being a "professional trader" is as tough to become as a brain surgeon then you're a moron.

Whenever I post my fucking 50,000% 10-yr ROI onto my, "Greatest Pro Trader of All-Time" Wikipedia page while I'm getting my dick sucked in my moon mansion, then just remember your cheeky little comment that your dirtbag self posted on biz.

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>>974220

>>974220
kek

>>974220
lmao

>>974220
>if you think being a "professional trader" is as tough to become as a brain surgeon
Yes, it is. How many professional traders (retail traders who make a living out of trading) can you find? How many brain surgeons?
The vast majority of people fail while attempting to make money in trading, something around 90%.