Category Archives: HFT High Frequency Trading

Story of Jim Simons of Renaissance Technologies: The World’s Most Successful Investor

Here is another Jim Simons of Renaissance Technologies video with a description of:

Renaissance Technologies has earned a reported 39% on average per year since 1988 and has made over $104 B of trading profits. Led by famous mathematician, Jim Simons, Renaissance technologies has risen from obscurity into the panoply of top fund managers.

Does Jim Simons deserve the crown as the best ever? We go through his life that led to the founding of Renaissance. We also compare Simons to other fund managers. Finally, we try to guess the secretive strategies of Renaissance Technologies.
Let us know in the comments what you think is the top firm of all time.

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How Renaissance beat trading the markets with Machine Learning

I just wanted to do a potential banter for those who watch or are admired by all things Jim Simons and RenTech with their machine learning techniques.

Check out my video here or watch below

NEW LIVE ALGO TRADING WORKSHOP?

Would you be interested in an online learning LIVE workshop that will show MotiveWave live trading and Python trading bots. This will cover both forex and crypto asset classes. It will be an expansion of the DVD I have put out:

dvd

Please let me know as soon as possible because I want to launch it live as soon as possible. I will also include weekly live chat sessions to ask me all the questions you want as well as part of the learning.

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How Renaissance beat the markets with Machine Learning

I just wanted to do a potential banter for those who watch or are admired by all things Jim Simons and RenTech with their machine learning techniques.

. Get some free trading tech books https://quantlabs.net/book/

Are you wanting to learn algo trading? Try this 3 hour course https://quantlabs.net/dvd/

dvd

https://towardsdatascience.com/how-renaissance-beat-the-markets-with-machine-learning-606b17577797

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Secrets of the Greatest Hedge Fund of All Time started by Jim Simons

My questions is why would Jim Simons talk to a Wall Street Journal reporter for so long? Then he begs him not to a book. I don’t get it. Can some one explain this?

Here is the video response:

…we had Greg Zuckerman of the Wall Street Journal up at the Compound to talk about his new book, The Man Who Solved the Market – the first ever deep dive into Jim Simons and his legendary firm Renaissance Technology. Renaissance has pulled over $100 billion in trading profits out of the markets since its founding decades ago, in a highly secretive approach that combines mathematical equations with cutting edge technology. Zuckerman conducted over 400 interviews with current and former employees of the firm and even spent a few days with Simons himself – despite the fact that he didn’t want this story told or the book written….

See the video here

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High Frequency Trading Explained via an exchange only

I love the amateurs (unless you are directly on an exchange) who try to explain what this is (anything for clicks and views) .

New York stock exchange, the largest and most liquid securities market in the world, Here is where a good portion of the world largest companies have their stocks traded amongst millions of investors worldwide ranging from small individual investors, to major banks and financial institutions and even entire countries. This is not the only exchange, there are hundreds of similar exchanges around the world that work to raise capital for productive corporations that will design and build the products of the future. Classic imagery of load bombastic traders in bright uniforms tend to be the images that come to mind when we think of these kinds of exchanges, but the reality today is that most of the action on wall street looks like this.

From the video description

The concept of HFT died a long ago. I have not posted about in a long time. Only the retail trader using some of these techniques will do well for themselves. It is hard to say you do HFT via a retail broker. Pls remember that unless you are on exchange directly like the CME. Until then, you ain’t doing HFT no matter what you think.

Like these type of topics? What free trading book?

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Renaissance Technologies: You Can’t Just Call Loans Options

It looks like Renaissance Technologies and Jim Simons is a tax dispute with the United States Internal Revenue Agency. They made some controversial call options in a basket. Here is one quote:

In the Tax Court case, Weiss argues that the options had business purposes beyond tax savings: They offered more leverage than was available in a typical brokerage arrangement, while at the same time limiting the firm’s risk of loss. … Renaissance has made similar arguments in defense of its transactions.


This article can be found here:

https://www.bloomberg.com/amp/opinion/articles/2019-11-13/you-can-t-just-call-loans-options

Do understand this could be similar to my ELITE program which is available for 2 years.

Let me know what you think

Bryan

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Did this research paper kick off Renaissance Technologies?

From the research paper authored by Peter Brown and Robert Mercer while at the IBM Watson Research Center in the early 90s.

http://www.naxa.com/downloads/J93-2003.pdf

Interested in this type of topic? Check this out

Screen software topics
Learn how to build custom trading bots here

It seems the initial 5 models are based on Bayes Theorem for probability analysis.  They use a series of analysis to compare one against another (.e.g French vs English) to find patterns to see how connection relate with each other. This is for translation purposes.

P

Pg 7: We generally follow the common convention of using uppercase letters to denote random variables and the corresponding lowercase letters to denote specific values that the random variables may take. We have already used I and m to represent the lengths of the strings e and L and so we use L and M to denote the corresponding random variables.

As stated here by James Baker, https://www.quora.com/What-are-the-investment-strategies-of-James-Simons-Renaissance-Technologies-I-understand-he-employs-complex-mathematical-models-along-with-statistical-analyses-to-predict-non-equilibrium-changes

We need to understand the corresponding random variables. There is mention of Lagrange multipliers and normalizing predictive data.

Auxiliary functions are used as well to generate desirable parameters using extrema/maxima analysis. Conditional probabilities are used as well. On pg 276 there are translation, distortion and fertility probabilities.


Page 282: Model 5 is a powerful but unwieldy ally in the battle to align translations. It must be led to the battlefield by its weaker but more agile brethren Models 2, 3, and 4. In fact, this is the raison d’etre of these models. To keep them aware of the lay of the land, we adjust their parameters as we carry out iterations of the EM algorithm for Model 5. That is, we collect counts for Models 2, 3, and 4 by summing over alignments as determined by the abbreviated S described above, using Model 5 to compute Pr(ale, f). Although this appears to increase the storage necessary for maintaining counts as we proceed through the training data, the extra burden is small because the overwhelming majority of the storage is devoted to counts for t(fle ), and these are the same for Models 2, 3, 4, and 5.

Page 283 shows the number of translations done which goes into the millions to determine a small subset of useful words. EM algo used with maximum likelihood.

Pg 283 Although the entire t array has 2,437, 020,096 entries, and we need to store it twice, once as probabilities and once as counts, it is clear from the preceeding remarks that we need never deal with more than about 25 million counts or about 12 million probabilities. We store these two arrays using standard sparse matrix techniques. We 283 Computational Linguistics Volume 19, Number 2 keep counts as pairs of bytes, but allow for overflow into 4 bytes if necessary. In this way, it is possible to run the training program in less than 100 megabytes of memory. While this number would have seemed extravag…

Page 293 speaks of Viterbi algo training:

We have already used this algorithm successfully as a part of a system to assign senses to English and French words on the basis of the context in which they appear (…

Page 297 table of notation

Appendix B has summary of models. Note especially Log-Likelihood Objective Function.

Note page 300 iterative improvement.

In order to apply these algorithms, we need to solve the maximization problems of Steps 2 and 4. For the models that we consider, we can do this explicitly. T

Page 301: Parameter Reestimation Formulae: In order to apply these algorithms, we need to solve the maximization problems of Steps 2 and 4. For the models that we consider, we can do this explicitly.

Equation (73) is useful in computations since it involves only O(lm) arithmetic operations, whereas the original sum over alignments (72) involves 0(I m) operations.

Download entire collection including some old interview with Jim Simons and rare audio speech of Peter Brown and Bob Mercer

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

5 Lessons From the Greatest Traders Jim Simons book

Since the announcement of a book about the Renaissance Technology founder, It is a week about Jim Simons. The thing is that he is easily the most successful trader or investor of our time. Someone went out and wrote about some of the lessons learned  from this book.

Out of all the articles I have seen over the last few weeks, this is easily the most useful.

If you have not been reading these emails, I have done revamped the store to my old reactivated Shopify store. I am sure you are not interested in the benefits, so I will just post the the highlighted links:





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Thanks Bryan

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

LAST CHANCE! Quant ELITE 3 YR algo trading Reduced to 2 Yr

We are coming down to the wire. I will be reducing this ELITE trading membership from 3 year to 2 year. It will end on Monday Nov 11 as the last day! Benefits include:

  1. Lifetime access to the private/anonymous chat server
  2. A potentially winning bot for crypto exchange Binance. I plan to duplicate the same trading rules in Binance US markets which is fiat. This is testing with live money which will reported on CoinTracking.info for credibility.
  3. Moving into Emini Micros which is a poor man’s gateway to the futures market on the regulated CME. No more unregulated FX retail bucket shop brokers!
  4. There are many courses in this membership as described in the video to help you launch your success to the world of automated trading to secure your future!
  5. This was NOT mentioned in the video for non programmers. This will include access to the Quant Analytics and live signals for bot trading!
  6. There are so many benefits when you watch this video.

If you are interested, click the link below.

Time is definitely running out. 24 hours left before the lowest price you will! e.g. $333 x 3.

Thanks

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

HFT bot with C++ and fix protocol protocol reality check

I just had another Facebook messenger conversation with someone on their perspective of HFT. It seems those that talk to others need some of a reality check which is quite unfortunate. It is not a road to riches based on marketing hype.

Like this topic? Learn more by getting some books https://quantlabs.net/book/

Mr X

Sure!

QuantLabsNet

Great

Mr X

Currently relearning C++ after a break.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

What should I be focusing on for HFT?

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Hi if you are doing C++,what are you trying to do with HFT?

Mr X

Basically I am a quant since 10 years but more on the risk and derivatives side.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

I would like to move to algo trading and HFT hence C++.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

so are you wanting infrastructure or research for a model?

Mr X

Started research via quantopian. But at some point I will have to pick up infrastructure side of things.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

I dont think I can rely on Python alone.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

same questions to answer

Mr X

Ok say research then

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

for what asset class?

Mr X

Equities and FX

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

Maybe Futures at some point

QuantLabsNet

what broker?

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

Not sure about broker yet.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

it matters to do HFT so you need to tell me. if it is retail, you ain’t doing HFT

Mr X

Not it will not be retail.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

I will basically help in a fund.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

so what spot market?

Mr X

Not sure yet

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

Cant tell much about the fund sorry

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

well you need to focus on on high speed framework for your model calculations. if you use a 3rd party, HFT will be useless as you call it

also are you using fix?

Mr X

Ok I see.

QuantLabsNet

Sorry, I’m just a bot, but someone real will be right with you!

Mr X

Not using FIX protocol but want to learn it

QuantLabsNet

are you using FIX?

Sorry, I’m just a bot, but someone real will be right with you!

basically, nof fix no HFT in you what you seek

Mr X

Basically need to learn everything needed to be able to perform in a high freq to med freq setting

QuantLabsNet

any decent fix library will cost you at least 2k/month

you need to understand that term HFT

Mr X

Ok I see

There must be a way to get familiar with FIX protocol

QuantLabsNet

there is but good luck in learning it

Mr X

I guess my questions is 1/ what skills I need? 2/ how to learn them?

QuantLabsNet

i just basically told you

Mr X

Given im already a quant with very good maths / stats/ ML / python and picking up C++ again

QuantLabsNet

ML libraries will overload your caculating techniques (I would think)

Mr X

I think you right

I was told that by an experienced HFT trader

Need to stay simple.

QuantLabsNet

so go python

Mr X

Ok got you

QuantLabsNet

you are trying to kill a fly with a sledge hammer

Mr X

Got it!

Makes a lot of sense

QuantLabsNet

does your pal work at an HFT firm?

Mr X

He used to

He left

QuantLabsNet

was it making over $500M ?

Mr X

sorry I cant say anything about that.

Thanks for understanding.

Those firms are very secretive.

Myself I dont knoe

know much*

QuantLabsNet

if so, just remember they probably spend millions to build the sort of infrastructure you are trying to replicate. that woould be next impossible to do on your own

Mr X

Yes agreed.

But my objective is to get in one of those firms

Hence my questions

QuantLabsNet

i see. well you better be the top. the questions in interviews are very very tough. esp puzzle type with math

Mr X

Very difficult to get there and Im a quant since 10 years and constantly learning online untio now…

Thanks for the advice. Just found your website. Gonna spend time reading and going through it.

QuantLabsNet

understood. i think the game has radically changed over the years. i know domeyard used tensorflow but what is implemented live is another story

ok understood thanks for visiting

Mr X

Back to the skills needed Im sure C++ must be one of them. Those guys expect people to be able to deal with low latency and also hardware aspects…

In terms of math I think Graph theory is used in some cases.

QuantLabsNet

i am learning facebook API, that is all they use via their graph search and objects

Mr X

That is great.

Definitely worth it

Btw is it Bryan Downing?

I just added you on linkedin

QuantLabsNet

goldman all uses graph for their risk management system. it seems they are rewriting in python. thanks for the add

Mr X

Ok great.

Happy to continue to share ideas around this topic

Appreciate the chat

QuantLabsNet

no sweat

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!