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Looking for partners to work on non-price based algo trading


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Looking for partners to work on non-price based algo trading

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  #1 (permalink)
Warsaw, Poland
 
Experience: Intermediate
Platform: Investor/RT
Trading: Emini ES, German Bund
 
Posts: 50 since Apr 2020
Thanks: 12 given, 11 received

Hi

I'm senior software developer with background in real-time telecom systems.

Some time ago I dropped by job and started working on algorithmic trading.

After spending some time developing price action based strategies like this from attached image I decided to try do something completely different and focus on order flow and market micro-structure

I'm looking for developers who'd like to cooperate, exchange ideas and join efforts in the research area

Key topics of interest is: non-price based trading

Focus on:
- order book dynamics
- cross-market correlations
- detecting/reacting to market making and HFT activities
- tick rate/price response
- implementing market-making strategies
- queue positioning
- MBO / icebergs

Tools I currently use:
- Bookmap
- QuantPrint
- Sceeto
- Sierra

I found this to be a complete niche in the field of retail-grade trading with little to no of quality content accessible on-line. That make things especially interesting, if you know what I mean

I have gathered some content regarding market micro structure from Nicolas, creator of QuantPrint. I have also training materials about market-making and DOM based manual queue working from discretionary traders. I can share the most essential parts from that materials

Current main goal is to setup a backtesting platform (probably by adding some features to one of the platforms mentioned above) & prepare research plan. I have some observations taken from hours of staring into Bookmap & QuantPrint, but still struggling with quantifying my observations, implementing them and backtesting

There is a lot of stuff to test and a lot of data to work with, so anyone interested in joining efforts is welcome

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  #2 (permalink)
Portland, ME
 
Experience: Beginner
Platform: Jigsaw, TOS, Firetip
Trading: YM, MYM, stocks, options
 
Posts: 32 since Feb 2020
Thanks: 6 given, 39 received


matzero View Post
Hi

I'm senior software developer with background in real-time telecom systems.

Some time ago I dropped by job and started working on algorithmic trading.

After spending some time developing price action based strategies like this from attached image I decided to try do something completely different and focus on order flow and market micro-structure

I'm looking for developers who'd like to cooperate, exchange ideas and join efforts in the research area

Key topics of interest is: non-price based trading

Focus on:
- order book dynamics
- cross-market correlations
- detecting/reacting to market making and HFT activities
- tick rate/price response
- implementing market-making strategies
- queue positioning
- MBO / icebergs

Tools I currently use:
- Bookmap
- QuantPrint
- Sceeto
- Sierra

I found this to be a complete niche in the field of retail-grade trading with little to no of quality content accessible on-line. That make things especially interesting, if you know what I mean

I have gathered some content regarding market micro structure from Nicolas, creator of QuantPrint. I have also training materials about market-making and DOM based manual queue working from discretionary traders. I can share the most essential parts from that materials

Current main goal is to setup a backtesting platform (probably by adding some features to one of the platforms mentioned above) & prepare research plan. I have some observations taken from hours of staring into Bookmap & QuantPrint, but still struggling with quantifying my observations, implementing them and backtesting

There is a lot of stuff to test and a lot of data to work with, so anyone interested in joining efforts is welcome


How helpful is Sceeto bots? I've never looked at it before, so I'm taking a look online.

I'm interested, but I don't know how to code. I am also interested in iceberg detection, MBO, divergences in cumulative delta, momentum on the tape, reversals on the tape, patterns of larger transactions and how much "splash" they create.
For me, I use Jigsaw software and I'm 100% discretionary. Some days I'm trading pullbacks, and most of the time revision to the mean or finding reversals. I trade mostly Dow, which isn't liquid, and "resting limit orders" aren't really visible due to hidden orders or market if touched orders/icebergs. So that makes it interesting I'd say.

The market can be a tricky beast, which makes it hard to quantify your observations. My human brain is my algo, and I turn off/on the strategies as needed and then I deal with emotions and personality flaws as the wild card, which also makes it hard.

Also, you've probably noticed the USA market indexes are heavily moved by headlines. Any little vaccine news can send it flying. Which brings me to another Algo related topic... Computers are now using AI/automation to rank twitter/headlines as bearish/bullish and they are able to "gauge" this headline sentiment quickly and all via a program.
I find that I do best in my trading to find the "bias" or direction as my day begins and using headlines can give me clues, such as when a vaccine trial is haulted or whatever.

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  #3 (permalink)
chennai
 
 
Posts: 2 since Sep 2020
Thanks: 0 given, 0 received


Hello there

I'd be interested and love to collaborate. I have just started looking into order book (after giving up purely price/volume etc based algos). I write custom code in python and have data from DTN. Let me know how best we could colloborate, if you are interested. Cheers!

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  #4 (permalink)
tampa florida
 
 
Posts: 29 since Sep 2020
Thanks: 1 given, 11 received

you gave up on actual price and volume studies but now are going to focus on not real volume? the order book????? wow.
move on to anther idea entirerly. this is exactly what the hft spend billions on to make sure you never understand the order book no matter how fancy you get with it
thats like saying i am going to go watch the trading pits and make trades off of what i see yet you have no idea what is going on with all of it

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  #5 (permalink)
chennai
 
 
Posts: 2 since Sep 2020
Thanks: 0 given, 0 received


jamrock View Post
you gave up on actual price and volume studies but now are going to focus on not real volume? the order book????? wow.
move on to anther idea entirerly. this is exactly what the hft spend billions on to make sure you never understand the order book no matter how fancy you get with it
thats like saying i am going to go watch the trading pits and make trades off of what i see yet you have no idea what is going on with all of it

I should first clarify (along with admitting I don't know what moves the market because the more I think the more it feels random). My research has not shown any predictive power in just using past price and volume data (rather I have not been able to find). My system was intra-day (but not HFT) and still the net-net with out of sample data has not been great. Will order book/flow augmented with historical price/volume show any predictive power, I dont know for sure.

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  #6 (permalink)
tampa florida
 
 
Posts: 29 since Sep 2020
Thanks: 1 given, 11 received

the book and previous volumes give you predictive power on what your slippage will be under the same typical conditions but thats about it in my opinion and all of this is just my opinion. I would look to trade a different market that has a trend without so much going on as the stock indexes that is what i would do.
'
soybeans corn grains softs lumber just ran up huge i mean everyone sticks to saying oh yeah i trade trend then they just buy stock indexes and when it sells they dont do anything anyway!

it is true. trend is about the only predictive power we retail have to go on these days.

hint. you cannot get trend without someone buying higher or someone selling lower it is that simple.
imn long nq now tonight and have been

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September 20, 2020


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