My question and answer part 2 on Strategies for those without servers at the exchanges
More answers for my Youtube viewer on this:
When you say mid to low frequency, what time period would you define those as? Tradebot Systems was quoted in 2008 stating that their average hold time was 11 seconds which I would consider high frequency. Are you talking minutes, hours, or days?
–> I am talking subsecond like in tick data
What do you mean when you say stay away from platforms as they are limited to one data connection? If someone is trading an automated system using a datafeed like IQFeed or Nanex wouldn’t they be inputting the data into their trading platform via the databroker API, processing it and then sending the order to the broker via the broker API? What is the disadvantage of having only one data connection?
–> I will focus on multiple execution order routing services like LMAX, IB, etc. If you have a multi amount of execution choices within your platform, you can develop a way to get access to the broker’s order book to build more intelligence execution for your orders. Popular platforms like Metatrader or Tradestation cannot do this. Commercial black boxes fail as well. As for data, focus on better providers like Bloomberg or Reuters but they are pricey. I only use IQFeeds for now as they are affordable.
What specific strategies is your site focusing on (statistical arbitrage, pairs trading, technical analysis, fundamental analysis, event trading)? Ernie Chan’s Quantitative Finance book advocated running Matlab before the market opens and screening for setups using statistical arbitrage. He may have been using pairs trading (like GLD vs GDX) or basket trading and was using significant leverage via a proprietary trading firm.
Jane Cralle who wrote An Introduction to Algorithmic Trading recommended streaming tick data into excel on your home computer and trading based off of that. Her optimal algo target is 8 out of 10 winners with 2 stopped out at 40 basis points and her profit target was 25-50 basis points net of commission per trade.
–> See my survey to see what is popular. I will be focusing on those with propietary custom ones extended of the ones I focus. As those prove to be more profitable, I will be raising the membership rates exponentially because of this.
http://quantlabs.net/surveys/2012/06/29/what-financial-forecasting-model-type-do-you-focus-on-within-r-or-other-statistical-tool/FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!