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algo trading

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  #1 (permalink)
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how many of you have algo s running during the RTH and are green ever day like the big banks

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No algos running. Not green every day either...lol. Sorry to disappoint.

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I have one algo running in sim trading Eurodollar, possibly going live next week with one contract. It has been mostly green, but definitely not every day. Also, it doesn't trade every day, only on signals. You can read more in my latest journal: Attack of the Robots - An Algo Journal.

It does take signals before market open (trading 400 to 1600 ET), though it could as easily run only during RTH.

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Legendary Market Wizard
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If your 'green every day' or at least most days, then your most likely not just running 'algos' but specifically running some form of medium to high frequency latency arbitrage, price arbitrage or market making algo's which aren't typically the algos run by retail/smaller traders

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SMCJB View Post
If your 'green every day' or at least most days, then your most likely not just running 'algos' but specifically running some form of medium to high frequency latency arbitrage, price arbitrage or market making algo's which aren't typically the algos run by retail/smaller traders

Point.

If you or I write an algo-type trading system, we are probably trying to exploit the opportunities that we have as retail traders, just do it better -- with fewer user errors, or without human emotional weakness, or with quicker decision-making, or with crunching more/better data faster, etc. We are trying to become super retail traders. This effort can be taken a certain distance, but no further, because a retail trader is a retail trader, no matter what their computer does for them.

The firms that are usually called "algo" traders, and who are doing the things mentioned by @SMCJB, have intrinsic edges due to their niches in the market, and we don't get to exploit them.

I think it's important to recognize this distinction.

Bob.

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Legendary Market Hack
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SMCJB View Post
If your 'green every day' or at least most days, then your most likely not just running 'algos' but specifically running some form of medium to high frequency latency arbitrage, price arbitrage or market making algo's which aren't typically the algos run by retail/smaller traders

We aren't retail, but we are professional small fry and definitely not at the scale of the larger trading firms and market makers.

One of our strategies (TradeStation term for an algo) running on Eurodollar, it is low frequency, trading signals on a 60 minute timeframe. For example, last week it had five trades, one each day, up four days, down one day. That is not a typical week, but the win rate for this one is between 50-70%, with about 50% green days in the third quarter 2019. That is pure algo, no human intervention involved.

I do have another strategy that is currently incubating, which trades a 5 minute timeframe, but we may average 4 trades per day and average time in a trade is about 50 minutes. Not exactly high frequency either, just based on the

I wouldn't trust our current platform (software, broker, data, etc.) with any sort of high frequency trading, though we do have at least one strategy with that capability if we want to explore it.

~vmodus

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Legendary Market Hack
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bobwest View Post
Point.

If you or I write an algo-type trading system, we are probably trying to exploit the opportunities that we have as retail traders, just do it better -- with fewer user errors, or without human emotional weakness, or with quicker decision-making, or with crunching more/better data faster, etc. We are trying to become super retail traders. This effort can be taken a certain distance, but no further, because a retail trader is a retail trader, no matter what their computer does for them.

The firms that are usually called "algo" traders, and who are doing the things mentioned by @SMCJB, have intrinsic edges due to their niches in the market, and we don't get to exploit them.

I think it's important to recognize this distinction.

Bob.

Yep. I think it comes down to ambiguity in how the term algo (algorithmic trading, et. al) is used these days, myself included (my journal has 'algo' in the title ). Being a technologist by trade, algorithmic trading means something very specific in how I approach the development, testing and implementation of a strategy. What I believe @SMCJB refers to is the purest and probably most correct definition of algo trading.

As @bobwest notes, we fall into that category of using our algorithms to exploit opportunities mechanically. There are numerous vendors selling 'algo trading' platforms, packages, and whatnot.

This is an interesting explanation of algorithmic versus automated trading from a group in India, which helped me clarify my thinking around this: What is Algo Trading or Automated Trading.

~vmodus

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