Talk:Algorithmic trading

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This article should be expanded to include various strategies and techniques used to implement algorithmic trading, i. AT has really taken off in the past few years and there's a lot to talk about. Any one feel like they know enough to tackle these? Dear all, I was dissatisfied with the previous article and have followed the precept be bold WP: All input, corrections, etc.

The article cited to the Iran Daily I moved it to footnote number 2 looks very good - but I guess the source is incomplete - maybe it orginally came from Bloomberg? Does anybody know the original source? I added a new section on communicatons standards for algo order types. This is a timely area as algorighmic trading goes more clever traden mit system 20 pdf and the whole business becomes more standarizeds.

I demoted the following to an External Link, but may remove it entirely - since I couldn't find any podcasts. It looks like a good idea, no advertising to speak of, but if I can't figure out where the content is Podcasts and audio resources for the visually impaired A series of spoken interviews with experts on Algo Trading from the major banks, free to access. Please note the above kheper link is no longer authorative per se. But is kept onsite for old times.

However, the following is the most authorative on TFE. I never heard of TradeMiracle. In fact there is a profound difference between algorithmic trading from buy side i. Black box trading can be attributed to buy side trading. Yet I also see conversions of both, when some sell side algorithms are trying to access dark pools, they are in fact also working as black boxes. Blackbox trading does not automatically mean market forecasting.

It only means that the trading rules are not fully known by the trader. I'm a headhunter, and clients share with me the skills used in this area. Due to both confidentiality and the wikipedia "no original research" rule, Clever traden mit system 20 pdf can't use these conversations, but I can point to job ads that show for instance that signal processing, filtering techniques like Kalman, etc are important.

But this begs the question of whether job ads are good enough sources? In the introductory passage there is a sentence One of the main issues regarding high frequency trading is the difficulty in clever traden mit system 20 pdf just how profitable it is. What does it mean? Well, I can understand that it may be difficult to determine the profitability of high frequency trading, by why is it a main issue? Note also that this is an article on algorithmic trading generally, not specifically high frequency clever traden mit system 20 pdf.

Furthermore, this confusing sentence is followed by another one about the income generated by some hedge funds and other participants. I have no idea what to say about this amount is it a lot of money or not. Also anyway, if we have this number available, then why is it a difficulty to determine the profitability of HFT? If you read the article's themselves they are not claiming HFT or even the algorithm caused the flash crash that day but that the trader at Waddell chose to unload the 4.

The fact he used an algorithm at all is entirely irrelevant, almost all trades of all frequencies are not computer AKA algorithm executed. If it was a floor broker selling 4.

Here is a quote from one of the articles: The report details how a similar-size trade earlier in took five hours to execute, but in this case, the Waddell trade clever traden mit system 20 pdf on the market in just 20 minutes. They use titles like algorithms gone awry but the algorithm it's self wasn't the culprit, and no where in the articles to they explicitly claim that an algorithm is the cause, also they never state the trade was an error or accident, it acted exactly as the trader intended it to, the issue was the selling of a massive order in a short period of time, which of course had huge market impact.

So to clever traden mit system 20 pdf regulators implicated High-frequency traders, or algorithms as the cause is a massive twisting of what is actually being said clever traden mit system 20 pdf what happened. I'm guessing the person who stated that was the conclusion has some sort of axe to grind regardless of NPOV or factual accuracy. I encourage anyone interested in the validity of the claims HFT was the cause of the crash, or even curious as to wither a single article linked to as a reference contains anything stating HFT is the explicit cause of the crash to look for yourselves, because the references are not stating that.

I encourage any user that cares about the article's factual accuracy to start cleaning it up. All this tough talk has spooked clever traden mit system 20 pdf traders and the exchanges that rely on their liquidity and volumes.

T agency brokerage and alternative venue operator, said winding back the clock is a mistake. It was pure, simple supply and demand within a regulatory regime that the SEC had created.

I question the validity of this statement. I believe that the overall market clever traden mit system 20 pdf many other days in which the market "crashed" by larger numbers and percentages. Remember, this is "point drop" - not percentage drop.

So for example in the crash the Dow was down by a larger percentage but not by a larger point drop because the DJIA itself was much smaller in It is a bit misleading and I will try to clarify it.

There are a number of elements in this article which are redundant with the High-frequency trading article, e. I think the argument can be made that High-Frequency Trading is a form of Algorithmic Trading, so I would suggest the two articles clever traden mit system 20 pdf merged and cleaned up globally. I will apply the merge tag now, and look forward to the discussions.

Would very much disagree - here's why. Algo orders are very different. Many algo orders are filled out by humans. They travel many thousands of miles over the Internet. There is no concern whatsoever with speed of the algo order entry, nor is there one iota of concern that order will take 50ms to arrive at the broker who will execute.

All that human trader wanted to do is fill out a screen full of algo parameters and send it on its way. The trader was delegating "hand work" to the algos. It was never part of a clever traden mit system 20 pdf speed arbitrage strategy. The person entering the algo order may have been a long term fundamental investor. Imagine a "buy and hold" forever trust portfolio, where the manager is informed one day it all must be liquidated because the heir is now of age and desires cash.

He's held the same positions for decades add that up in microseconds and only now wants to "unload". Since some of the positions are beefy he selects an algo to "meter the sells" into the market in the least disruptive time frame, taking perhaps weeks to execute.

Again, not exactly HFT. All HF trades are driven by algos, its true. Humans are not that quick. But the converse is not. All Algos are not necessarily paired with HFT for execution. HFT is certainly a subset of algorithmic trading, but an important one and deserving of its own page. The term clever traden mit system 20 pdf widely known in the industry and is becoming known to the public at large, is a significant branch of algorithmic trading with relatively unique group characteristics, and in many instances has very distinct sets of - and, at times, opposing sets of - practitioners, critics, and regulatory implications.

I agree with MarketsGuy. The Merge Proposal flag dshould be removed and the HTF page should be edited to reflect it's position as a subset of Algo Trading, but it should remain on it's own page. Also agree with MarketsGuy. HFT and Low latency trading are specific types of algorithmic trading, and should not be clever traden mit system 20 pdf with it, there are algorithm that are clearly clever traden mit system 20 pdf high frequency nor low latencybut instead the articles re-written to highlight the differences.

Yet another voice agreeing that HFT and algorithmic trading are quite distinct kinds of trading. A previous post correctly emphasized the importance of specific technology issues co-location, optimized hardware, etc.

I would like to emphasize the economic distinction: I agree that the articles should stay separate. It would be fine if redundant content in the articles were removed. Bayle Shanks talk The connection between HFT, algo, and automated trading is all wrong on Wikipedia. Just because a strategy uses 'algorithms' doesn't mean it is algorithmic trading. I think its a large misconception among people. Algorithmic trading involves splitting a trade into multiple orders in order to reduce visibility and market impact, but the decision to take the main trade might or might not be automated.

These should really all be under Quantitative Trading. It looks like people see quantitative trading and algorithmic trading as synonymous. Quantitative Trading - Trading strategies based on quantitative analysis which rely on mathematical computations and number crunching to identify trading opportunities.

Price and volume are two of the more common data inputs used in quantitative analysis as the main inputs to mathematical models. Automated trading - is the complete automation of the trading process in clever traden mit system 20 pdf case quantitative trading. Thus, automated trading must encapsulate: In brief, an automated trading model determines whether to place a trade, while an algorithmic trading model determines how to place it.

HFT - High-frequency trading uses complex algorithms to analyze multiple markets and execute orders based on market conditions. An advantage in network speed and computational algorithmic processing allows HFT firms to jump clever traden mit system 20 pdf front of trades from slower market participants. Algorithmic trading - most commonly used by large institutional investors due to the large amount of shares they purchase everyday.

Complex algorithms allow these investors to obtain the best possible price without significantly affecting the stock's price and increasing purchasing costs. Large blocks of shares are usually purchased by dividing the large share block into smaller lots and allowing the complex algorithms to decide when the smaller blocks are to be purchased. I'm working in this area and I don't quite agree with some of the view clever traden mit system 20 pdf.

It's some attribute of the way people trade.

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