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Some highly recommended books


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Some highly recommended books

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  #511 (permalink)
 Sandpaddict 
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corpraider View Post
New book on HFT out on Amazon yesterday, called Trading at the Speed of Light. Written by an academic guy, so I bought the audiobook immediately hoping he'd approach it from less of a "pop finance" perspective as many of these books tend to do. However, he's a social science guy so he keeps going on these tirades tying HFT to all of these social science concepts and it's weird. Still good listening because he actually interviewed actual HFT shops and isn't trying to stretch a book out by referencing Bloomberg articles like many do.

I've listened to 40 audiobooks so far in 2021 and my general assumption is that 99% of books that are also published as audiobooks are mostly fluff. Especially in finance, so many of them are "pop finance," and go over the same Kahneman/Traversky findings over and over again at the most basic level, etc. One that has stood out from the pack is Drobny's The Invisible Hands, a book of interviews with global macro traders. Touches a lot on how 2008 changed the "real money" world (pension funds, endowments) and whatnot. Another is Scott Paterson's Dark Pools. So good that I've read it twice.

Thank you for those recommendations. It's so hard to find good books these days. You are right... moslty just old rehashed ideas.

Reading "Noise" by Daniel Kahneman and even it kinda goes over old ground too. But no too bad.

Another great groundbreaking book is "The Trading Game by Jared Tendler. Simply brilliant.

We've all heard Douglas and Steinburger for years. It's already IN the collective consciousness.

Reading Mandelbrot's Misbehavior of Markets again too.

Thanks again.


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  #512 (permalink)
 SMCJB 
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The World For Sale: Money, Power, and the Traders Who Barter the Earth's Resources
https://www.amazon.com/World-Sale-Javier-Blas/dp/0190078952

This isn't about trading in terms of futures, charts & indicators but about the massive Commodity Trading Houses (ADM, Cargill, Glencore, Marc Rich, Trafigura, Vitol etc) trading the underlying physical commodities. Details the massive risks they took in developing countries to develop relationships that then went on to make them fortunes!

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  #513 (permalink)
 corpraider 
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Sandpaddict View Post
Thank you for those recommendations. It's so hard to find good books these days. You are right... moslty just old rehashed ideas.

Reading "Noise" by Daniel Kahneman and even it kinda goes over old ground too. But no too bad.

Another great groundbreaking book is "The Trading Game by Jared Tendler. Simply brilliant.

We've all heard Douglas and Steinburger for years. It's already IN the collective consciousness.

Reading Mandelbrot's Misbehavior of Markets again too.

Thanks again.


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Currently reading Tendler's new book The Mental Game of Trading. Agree, that Tendler with his poker background has a fresh outlook compared to Douglas and Steenbab.

Finished Trading at the Speed of Light. Pretty good book. Guy did a ton of primary research for the book and really respect the effort. He talked to tons of people in the industry and he's been researching HFT/electronic trading for like 20 years. Gets deeply into the fight for latency and how far these firms will go. What I liked most is how rooted in reality the book was. HFT isn't a great business. Most HFT firms fail, contrary to what the Flash Boys readers will tell you, getting the right infrastructure in place is not a license to print money, far from it. Even the best firms have pretty unimpressive stats relative to you'd think.

Of course, being an interviewer, he wasn't given too much insight into the more advanced strategies that modern HFT firms use, but he concluded that much of the edge that these firms have is the same as it was 20 years ago; front running upticks in ES futures on less active equities, picking off stale quotes, and writing algos that are really good at reading the order book to spot orders to lean on. Really no different than what the hyper-active prop traders did in the 1990s.

Tons of good info in the book, but light on narrative. It felt like a long essay or blog post, just a big info dump. I think the book would have best seller status had the author collaborated with a writer that can spice everything up and make it interesting. Maybe that's my fault for looking for something fun, rather than raw info, but my instinct is that very few people have a practical reason for reading this book outside of pure interest in what the secretive HFT firms really do.


SMCJB View Post
The World For Sale: Money, Power, and the Traders Who Barter the Earth's Resources
https://www.amazon.com/World-Sale-Javier-Blas/dp/0190078952

This isn't about trading in terms of futures, charts & indicators but about the massive Commodity Trading Houses (ADM, Cargill, Glencore, Marc Rich, Trafigura, Vitol etc) trading the underlying physical commodities. Details the massive risks they took in developing countries to develop relationships that then went on to make them fortunes!

I like reading the Wall Street Oasis forums to see what the high finance world is up to. Lots of the guys in Sales & Trading are looking into these physical shops nowadays because S&T is kind of a dying industry in the delta-one space. Apparently this is where a lot of traders are making the big money. I don't speak from experience or knowledge, though, just reading forums. It seems to be the space all those guys are interested in right now. Lots of inefficiencies to exploit.

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  #514 (permalink)
 SMCJB 
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corpraider View Post
It seems to be the space all those guys are interested in right now. Lots of inefficiencies to exploit.

Inefficiencies that exist because they are very difficult and labor intensive inefficiencies to capture. There's a reason companies like Glencore and Vitol have offices in 40* odd countries around the world.

*https://en.wikipedia.org/wiki/Vitol.

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  #515 (permalink)
nikto
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Wyckoff 2.0: Structures, Volume Profile and Order Flow

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  #516 (permalink)
 Fluid Fox 
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SBtrader82 View Post
Finally someone that has the same opinion I have. Mark Douglas stopped trading to make money selling books and doing seminars, so all his psychological material is not backed by any results. Also his all theory about "anything can happen in the market" and the way he talks about probabilities is plain wrong from a math perspective.
To me he brought nothing useful, actually when I adopted the mindset that anything can happen I started to do stupid trades and lost an awful lot of money.

He was good to sell seminars but he never made any money trading (he said because he devoted to teaching and writing)....he could just take 3 trades per day and prove to the world how good he was, but he had zero time, though he wrote on 300 pages in his entire life.

If you want to read something about psychology read Steenbarger or Gary Dayton.

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It doesn't make sense to evaluate the effectiveness of his psychological material on his performance alone. However, it does make sense to judge the material based on the concrete results of traders he impacted. Although I am not consistently profitable yet, I did improve drastically after really listening to his advice. Compare my performance before and after I listened to Douglas- it's all in my journal (month-by-month stats, I frequently mentioned Douglas' as well).

When you refer to "anything can happen in the market," you're referring to what he considers to be the mindset of a consistently profitable trader. Here's a quote from Trading in the Zone:

“A probabilistic mind-set pertaining to trading consists of five fundamental truths. 1. Anything can happen. 2. You don’t need to know what is going to happen next in order to make money. 3. There is a random distribution between wins and losses for any given set of variables that define an edge. 4. An edge is nothing more than an indication of a higher probability of one thing happening over another. 5. Every moment in the market is unique.”

What are the implications of believing that anything can happen in the market?

Functionally- assuming that anything can happen- you couldn't reasonably predict what will happen. If you can't predict what will happen and you know you can't.. You start thinking in probabilities. The core of this belief of "anything can happen in the market" is to get the trader to start thinking in probabilities, and it's not to suggest that likelihoods don't exist.

Other than that and to your point, Douglas did talk some woo when he was alive and I can see how one could see he's overrated or full of it. Despite that little stuff, he's been a net positive for me, especially his content on how beliefs can affect discretionary, subjective traders.


I mostly wanted to rebut this comment, but if I had to choose a book to share other than a Douglas' book.. It would be: "The Art and Science of Technical Analysis: Market Structure, Price Action, and Trading Strategies" by Adam Grimes.

There's nothing to think about.

- Mark Douglas
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  #517 (permalink)
wBobby
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I'm surprized that no-one has mentioned Trading Systems and Methods by Perry Kaufman.

It may not be a coffee table book (although actually it is on my coffee table!) but it's a treasure trove of research and data and gives you lots of springboards for new strategies and ideas to test.

You can literally open it anywhere and find useful insight.

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meow forever
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Machine Trading: Deploying Computer Algorithms to Conquer the Markets (Wiley Trading) by Ernie Chan

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  #519 (permalink)
 corpraider 
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Not too long ago I read this great book called Street Freak by Jared Dillian. Tells the story of a Lehman trader battling some mental demons while trying to conquer markets.

The book took place in the few years leading up to the GFC at Lehman and it's really interesting the way these guys approached trading. Nearly all of them had a massive structural edge being at a bank when markets were less efficient so throwing anything at the wall was likely to print money over time. They'd make random trades of random size based on hunches. So it's not super informing from the perspective of trying to improve your trading, but this is just a very well-written book, definitely the most entertaining finance book I've read. The author is still around, writes a newsletter and shows up on Real Vision from time to time, he's pretty sharp nowadays.

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  #520 (permalink)
 RADO 
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These are both great books:


Flash Crash by Liam Vaughan (based on the story of Navinder Singh Sarao)

Unkown Market Wizards by Jack D Schwager

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