Ask HN: Getting started with automated trading? | Hacker News Reader

Ask HN: Getting started with automated trading?

3 pointsjhuckestein6 comments

I want to get into automated trading (individually) to validate a few ideas about markets. I read Larry Harris' book Trading and Exchanges and am confident that I could write a computer program that trades on my behalf. Now I have a whole bunch of technical questions:

1) Which platform should I use for trading? I need a solution that allows me to backtest my algorithms and executes trades quickly. Ideally I'd not have to install anything and I'd like to write trading strategies in whatever programming language I like. A platform with an API sounds best.

2) What are other features to consider when choosing a platform?

3) Is there any way to get into high-frequency trading as an individual investor? How fast can a trade be executed using any automated trading platform?

4) Are there any good communities around this topic?

5) Is there anything else I should know?

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Forget HFT by yourself, at least until you've done some things and learned what it really requires. The barriers to entry are multiple and substantial, and you can't figure out how to eliminate one unless you're really good with the others.

Like any substantial / difficult / well-rewarded pursuit, plan on this taking 12+ months to be even minimally viable.

Minimum viable product = Interactive Brokers account, automated via one of their API wrappers, with custom logic. This will get you to where you can modify orders ~ 10x per second, which is often enough that you're going to learn so much you don't even know what the questions are yet....

If you do all that and want to press forward, usually the next correct step (again assuming you're writing ALL the logic, risk handling, etc.) is something like Lime.

"backtest my algorithms"... historical data isn't free, nor is any decent source of it

"execute trades quickly"... what's the definition of quickly? there are systems currently active that can process an execution and have a response on the wire in less than 25us... that's 25 millionths of a second for wire-to-wire processing...

Realize this: you are expressing a desire to play one of the most difficult games on the planet. In this game you do not get to choose your opponents. However, you can know that it's very, very unlikely that you know or can do anything they don't or can't.

Thanks. I'm willing to invest well over 12 months into this. If it is one of the most difficult games to play, then I want to play it. Perhaps you can't do anything nobody else is doing, but I'll be damned if you can't do it better.

You are not nearly the only one trying this - I wouldn't recommend it. You'll also need a big chunk of money to get started - HFT (which is a subset of automated trading) relies on low latency, and therefore you can't just use any old hosting. You'll also want to write it in a language with low and predictable latency (usually C++).

Thanks. Can you elaborate on why you wouldn't recommend it?

brownegg has a good response, but I'll also point out that you're not the only one trying to start such a business, and you're more-or-less chasing the same opportunities as everyone else. There's a lot of money to be made, and thus a lot of highly-qualified people working on this. And you need to be better than them to make money.

Secondly, you'll need a lot of money to trade with.

Finally, you're asking rather basic questions - you have a lot to learn, and asking for help (on HN or elsewhere) won't get you far.

Check this forum http://www.elitetrader.com/vb/forumdisplay.php?s=&forumi...

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