Can someone recommend a book or course aimed at programmers?
I'm looking for the SICP of algo trading: does such a thing exist?
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
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"
Algorithmic Trading & DMA by Johnson
Both are dated now but still good foundational books.