Category Archives: HFT High Frequency Trading

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

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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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:





Interative Brokers 4.5 hour Workshop Bootcamp

$37.00

https://quantlabs.net/interactivebrokers/

Python Algo Trading Infrastructure with Crypto Currency

$297.00

Quant Analytics 3 months

$297.00

Thanks Bryan

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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

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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!

Real profit and loss trading track record and History webinar notes

Daily transaction track record with latest position real profit & loss (PNL) which is daily. From previous day since midnight to midnight daily in Eastern Standard Time.

Trading History webinar Sep 23/2019

What to Expect with Transparency

All positions in a log are presented as well.

Measure win and loss ratio with Summary of profit (no leverage or margin used) with Rate of Change percentage used of each positions.

ALL trading gurus should show this regardless

Choose 3rd party journaling sites including TrueFx (for forex) or CoinCompare (for crypto currency). Both connect directly into your trading accounts.

When transparency is proven so expect this

Once all steps are demonstrated with track history showing decent/trending equity curves  (e.g. most days trading > 50%) with solid CAGR (compounded annual growth rate), expect to pay VERY HIGH access fees since this type of service is now considered PREMIUM service. Reasonable rates would include $500 0r even $1K/month with mininimum work ethic expected and account balance e.g.$250K NET and LIQUID!

 Essentially not for newbies.

Do Not Fall for from Other Trading Gurus

Those who are bragging about regulatory listings. They still can be scammers with even just a slap on the wrist. Look for above expectations with DAILY track track record with all position log you can match again.

Are they technologist (e.g. coders) who understand the markets in a modern way? Understand over 1/3 of large investment firms like Goldman Sachs are technologist or computer engineers. They only hire these type of folks as coders now. Any other way are complete dodo or dinosaurs teaching useless content that has no relevancy in modern trading. Also, we have not mentioned the future of impact of Machine Learning/AI on today’s trading firms. Just ask Virtu/Jump/Domeyard/Two Sigma

https://www.wallstreetoasis.com/forums/ama-top-quant-firms-first-year-comp-250k-to-400k

Our trading history

Look at Instagram.com/quantlabset or https://www.facebook.com/quantlabsnet/ for the latest

Go here for daily track history in both forex or crypto retail

Instragram posts for last week

Crypto Sep 17 and 18 https://www.instagram.com/p/B2kyS3MA7uN/

Forex Sep 12-18 https://www.instagram.com/p/B2kxJ0iARPS/ ß 43 pips with NO leverage

Most recent

Forex 9/22:

REAL Profit & Loss

sum=0.03683000000000569

rocp=1.3022582894928192e-05

13 Wins out of 26

win loss ratio=0.5

Crypto 9/22 ß take out the BTC -12 trade and it is profitable!

REAL Profit & Loss

sum=-11.771930999997815

rocp=-0.00011666070574634091

10 Wins out of 22

win loss ratio=0.45454545454545453

Still need to fix

Position sizing in crypto since it can skew PNL e.g. BTC or higher valued coin trades

Metatrader 4/MT 4 Expert Advisor

Get latest from Metatrader Youtube.com/quantlabs playlist

Used in conjunction with Quant Analytics with live entry signals

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Coaching and LIVE trading signal service survey

Help us tweak this new service if you are interested in get coaching or live signals

https://www.surveymonkey.com/r/YRXTRVB

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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!

HFT Renaissance Technologies legend James Simons now on Wikipedia

Facebook comments about this person who runs one of the most successfully technologies driven algorithmic based hedge funds

The benchmark of all quants

God of Quantitative Finance

https://en.m.wikipedia.org/wiki/Jim_Simons_(mathematician)

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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!

Where to bet in your asset algo trading video playback

Here is an 1.5+ hour video I hosted earlier today. It seem I covered many topics ranging how CFDs can help you see value in other asset classes to detailing long/short and bid/ask deep analysis for crypto and forex asset classes. It is quite a set of wide ranging topics that cover all product/services I promote.

Do realize I do this live pretty well every week which very few educators do for their customers. This is a typical live session I keep private for all my paying customers. I hope you get some benefit from it.

These are made available for my Quant Elite folks

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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!

Do pivots work for forex trading. How about cryptocurrency?

I will testting out pivots to see if this works as trading timing indicator. Do you think this will work with these red and green dots? Once a position is put, it will wait it out of for red dots after the entry. It will also be combined with the usual rate of change percentage moves and long vs short position on the particular pairs. This will be able to able confirm down moves with all 3 indicators. Do realize these pivots are not 100% accurate but may be useful combined with the other indicators. I may report back to see how this works. If it does, I will apply to the crypto currency bot as well.

Update: You need to ensure the up and down threshholds need to be accurate. One way to do this is use the min and max of rate of change of your time series. This is before calculating your pivots.

 

 

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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!