Recommend Books for building trading algorithms | Hacker News Reader

Recommend Books for building trading algorithms

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Show HN is not for posts like this. Please see the rules: https://news.ycombinator.com/showhn.html.

There are on average a dozen submits a day that are just lists of affiliate links, most of them even violating the rules of Amazon affiliate agreements. Why aren't the repeat offenders banned? A handful of far more innocuous sites are banned.

There are two different issues: what's on topic for HN generally, and what is a fit for the "Show HN" category, which is much more specific. I was talking about the latter. Is that distinction clear?

I wasn't talking about banning anyone, just removing "Show HN" from the title of posts that don't fit that subsection.

Word of caution here: You lose money every time you buy and sell stocks even when there is no explicit fees. In addition, you're playing against very sophisticated systems that have access to both faster and denser data. Playing with algorithms with real money at this level is not different than gambling.

What's interesting to consider is whether the results would differ:

- if one bought the book and built the trading algorithms against historical data as programming exercise,

- then tried them in a real-world context.

Restated: is the math really that magical, or is it a question of scale/volume, or is the fairness of the market a mirage?

Neither, it’s a question of inside, or semi-inside information.

And is the SEC part of the problem, or the solution?

An alternative perspective: there are other markets besides the big obvious ones, and they don't necessarily have the same level of very sophisticated players already entrenched.

But still reasonable advice. Start small, without real money for a while.

Zero (“without”) money - zero learning.

Algorithmic trading does not equal high frequency trading, most of your post implies the opposite to justify your conclusion of folly.

An algorithm can swing trade at the same time frames a human is interested in, it can create complex order types faster than humans can, it can adjust chains or orders triggered by one order being filled or canceled, it can adjust which exchanges an order can go to....

Order and position management is a more important piece of algorithms than actually getting filled faster and analyzing data faster.

That’s not true. High frequency trading is the reason why the spread between buying and selling is so low. They compete to get your order. But you do loose money to these traders each trade you do. Even if that’s actually play in your favor.

That's _if_ HFT will allow you to lift their offers: http://www.nanex.net/aqck2/4661.html

Algorithmic trading does not equal high frequency trading.

What isn't true about that.

High frequency trading is a subset of algorithmic trading, not the other way around. why do you want to die on this hill?

It’s not what I am saying. I am saying high frequency trading will take most orders (including yours, mine, automated or not) from all exchanges no matter what, so you lose money on every trade. So having a bot that trades a lot will just make lose money for sure.

so you thought I was replying to that, got it.

we've all read flash boys

I was saying it isn't an applicable caution if you don't know what the person is trying to do with automated order creation and management. If they just want to set limit orders to their dynamic screener and ride them for two quarters, successfully, then the worse fills from the presence of HFT is no different than the worse fills that a human would get because everyone gets worse fills from HFTs if you don't route orders to the closest exchange exclusively.

Therefore saving that comment for a thread about trading algorithm isn't really any more relevant than saying it in any thread about trading.

I will just link to my old comment: https://news.ycombinator.com/item?id=22709906

One of the LEAST productive uses of your time as an investor.

Just buy a high growth ETF and be done with it.

You will burn. Just don't.

Don’t

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