More tips on data market feeds and how to start building an algo auto trading system

(Last Updated On: May 24, 2010)

Here is a conversation on reddit.com which pretty well inspired me tostart thinking about blending my knowledge of technology and financial investment. This was pretty inspiring where an indie software engineer launched his own business. He is now clearing millions. Source is http://www.reddit.com/r/IAmA/comments/9s9d7/iama_100_automated_independent_retail_trader_i/

whatswith_this 1 point2 points3 points 6 months ago[+] (3 children)

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bolln 1 point2 points3 points 6 months ago[+] (1 child)

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locktight 0 points1 point2 points 6 months ago[+] (5 children)

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slaughters 0 points1 point2 points 6 months ago* [+] (1 child)

slaughters 0 points1 point2 points 6 months ago* [-]

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I’m a mathematician/statistician who has some finance experience, and thinking hard about this route. A couple cost questions for you if you feel like it:

(1) At what volume and approximate capital do the commissions get small enough that 2 cents/trade is profitable? eg. IB looks to charge a $1 commission per order minimum. I guess you mean 2 cents/share?

(2) How much does the colo run and at what point in your trajectory did you start using it? Did you start with local machines only?

(3) What do you think the minimum cost outlays on data feeds, colo, etc to not get killed on speed are?

Thanks!

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mejalx [S] 0 points1 point2 points 6 months ago[+] (0 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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  1. Checkout the unbundled commission structures.
  2. I started colo’ing within the first few weeks of running as I needed full redundancy.
  3. You can get away with under a grand per month.

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cookiecaper 0 points1 point2 points 6 months ago* [+] (1 child)

cookiecaper 0 points1 point2 points 6 months ago* [-]

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Do you ever do normal and/or longer-term trades separate from the automatic model just because you want to own stock in something?

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mejalx [S] 0 points1 point2 points 6 months ago* [+] (0 children)

mejalx [S] 0 points1 point2 points 6 months ago* [-]

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Yes, I occasionally do trade manually, but it’s totally separate from my main business. I have a couple of speculative trades I put on every month which usually end up as swing trades or short position trades.

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cookiecaper 0 points1 point2 points 6 months ago[+] (1 child)

cookiecaper 0 points1 point2 points 6 months ago[-]

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Thanks for this AMA, it’s been interesting.

I’ve been developing software for a long time. This sounds like something I should do because I have a large portion of the skillset needed. However, I have no formal mathematics training. How necessary is that? Are your models formalized?

Thanks again. : )

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mejalx [S] 0 points1 point2 points 6 months ago[+] (0 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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I utilize a variety of robust mathematical methods, so an understanding of statistics I would say has been a good part of my success.

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nash3q 0 points1 point2 points 6 months ago[+] (3 children)

nash3q 0 points1 point2 points 6 months ago[-]

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is there any way to play the game “for fun” or “practice” without much capital? i don’t know anything about real markets since my training is in continuous time macro (solving PDE/ODEs, dynamic programming, etc). however, i’d like to learn the real thing in my spare time. i’m ok with control theory and machine learning. i build models and algos for a living and take stem classes in my spare time. i’d like to test my ability using the “best” metric in life – money.

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mejalx [S] 0 points1 point2 points 6 months ago[+] (2 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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You could subscribe to a real-time market feed and just simulate your trading. Alternatively a couple of brokers offer paper trading accounts.

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nash3q 0 points1 point2 points 6 months ago[+] (1 child)

nash3q 0 points1 point2 points 6 months ago[-]

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are either of these pay to play or free?

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mejalx [S] 0 points1 point2 points 6 months ago[+] (0 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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There’s various simulators you can get for free. A real-time paper trading account requires you to only open an account with a broker, IB for example has an account minimum of $10k.

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wharmass 0 points1 point2 points 6 months ago[+] (1 child)

wharmass 0 points1 point2 points 6 months ago[-]

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I’m a high school senior applying to college, and I’m interested in doing something similar to your current situation.

What do you recommend majoring in? Computer Science, Finance?

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mejalx [S] 0 points1 point2 points 6 months ago[+] (0 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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CS, engineering, or one of the sciences

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs