Tag Archives: order book

NEW Forex bot screener to time pricing with Fibonacci ROCP Order Book Bid Ask

 

I am using simple math really instead of classic technical indicators for properly timing positions on entry and exit opportunity

1. Use Fib levels to time entry vs exit. Not as predictable as crypto currency but definitely doable

2. Rate of change percentage to show pricing speed moves on an hourly basis

3. Order book to show percent of shorts vs longs. A certain number of pairs are only available at the article below

All data comes from Oanda forex broker

This took less than 6 hours to develop since I mastered my Python Infrastructure framework you can learn about here. Price goes very soon!!!

Python Algo Trading Infrastructure with Crypto Currency

All these entry/exit signals you will see will be part of my Analytics service. This monthly pricing will definitely be doubling as this proves its value!

Quant Analytics

Forex pairs available for Oanda REST Python API

 

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What is Best open source order book simulator

What is Best open source order book simulator

Someone sent me this but I think there is a better simulator out there

 

https://quantivity.wordpress.com/2010/01/12/limit-book-simulation/

http://sourceforge.net/projects/fixagora/
http://sourceforge.net/projects/fixpusher/

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HFT Order book and Interactive Brokers ?

HFT Order book and Interactive Brokers ?

This combo is not possible but you could design an order with potential HFT in mind. I explain this in the video

 

 

Helpful links and research papers:

https://www.interactivebrokers.ca/download/JavaAPIGettingStarted.pdf

http://web.stanford.edu/class/msande444/2009/2009Projects/2009-2/MSE444.pdf

https://www.math.nyu.edu/faculty/avellane/HighFrequencyTrading.pdf

http://quant.stackexchange.com/questions/1685/why-do-high-frequency-traders-use-rapidly-cancelled-limit-orders

I mentioned this already: https://quantlabs.net/blog/2015/10/fast-c-implementation-for-order-book-hft/

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Fast C++ implementation for order book HFT

Fast C++ implementation for order book HFT

This is a decent article on applying the order book in an efficient C++ implementation. The authors does the same with calling Matlab charts as well. I may explore this blog further

Limit Order Book Implementation for Low Latency Trading (in C++)

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Software to analyse order book Level 2 market data

Software to analyse order book Level 2 market data

As I hinted in my video below, this is topic rarely covered. Even the words from a highly accomplished trader on my newsletter said:

really think is the most important way to assess the demand in the market.
Keywords order flow, order book, etc…If you could see how these guys trade with the order flow then “backtesting” gets a completely different meaning…
http://quant.stackexchange.com/questions/1865/what-tools-exist-for-order-book-analysis-and-visualization/17426#17426
I wish I had more time to study these but honestly, there is no need as I am quite confident Matlab has the features to be able to accomplish many of these. It is just getting it done is always the hard part.
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For order book and backtest: how to capture real time data to be integrated into your Matlab quant trading script and DotNet Csharp

This came in from a member:

Hey Pal,

In the past month I have been analyzing HFT data from the Brazilian Markets. I'm still on the 
backtesting phase and I'm facing some complications.

Have you ever tried to recreate the Market for a given security tick-by-tick? I'm trying to 
do that from scratch In Matlab and let me say that I'm have some good results. I'm not 100% 
satisfied because I find weird behavior in the processed data. 

Do you have anything that might help?

Many thanks
This one is kind of easy I guess. If you are using Matlab and with something like .NET and C#, 
check out this out with Matlab Build NE toolbox option.

ALso:
> Great I'll take a look. > 
> Any idea of latency for that? How fast we have to be in order to be
> competitive analyzing the market depth?

If you use Matlab Builder NE, you will definitely get latency of a few seconds. The other option
is to code generate to C++ or C for native calls using Matlab Coder toolbox. This is the option 
I am going with. The only condition is you need to make sure that your Matlab code generate 
lgo/script can be keep up with the incoming ticks otherwise to you need to handle with a 
slower frequency like minute bars.  

http://www.youtube.com/user/quantlabs/search?query=matlab+builde+ne 

You could integrate it into something like tin the video below.
Note source code is available for this for my QuantLabs.net Premium Members
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Best quant book for direct market access and stock market exchange order book understanding?

Best quant book for direct market access and stock market exchange order book understanding?
This was from a visitor on my Youtube channel at youtube.com/quantlabs
hi quantlabs, can you recommend any good literature or tutorials or anything that explains in detail how the order book works? So things like how trading the order book in an aggressive or passive manner works? How your order is placed in the order book depending on what you do? I basically am really interested in learning how the order book works when you interact with it as a trader of any sort.

 

Answer

Algorithmic Trading and DMA: An introduction to direct access trading strategies

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Quant book suggestion for how stock trading order book works

Quant book suggestion for how stock trading order book works

hi quantlabs, can you recommend any good literature or tutorials or anything that explains in detail how the order book works? So things like how trading the order book in an aggressive or passive manner works? How your order is placed in the order book depending on what you do? I basically am really interested in learning how the order book works when you interact with it as a trader of any sort.

I recommend:

Algorithmic Trading and DMA: An introduction to direct access trading strategies

http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

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More Java open source trading platforms including important real time strategy building with order book. Neat!

More Java open source trading platforms including important real time strategy building with order book. Neat!

Note the comment of from:  http://www.elitetrader.com/vb/showthread.php?threadid=163414
Why the choice of C++? How about Java?

You can see an open source ATS written in Java for the IB API at http://code.google.com/p/jsystemtrader/

With JSystemTrader it is rather straightforward to modify an existing strategy or write a new strategy, backtest it and run it in realtime.

If you want to work with the order book there is JBookTrader http://code.google.com/p/jbooktrader/

JBookTrader looks quite good but I question JSystemTraders as do others on Source Forge

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Quant analytics: continuous time markov chains as applied to asset pricing (order book). Any knowledge/experience?

Quant analytics: continuous time markov chains as applied to asset pricing (order book). Any knowledge/experience?

Starting to look at continuous time markov chains as applied to asset pricing (order book). Does anyone have any knowledge/experience in this area?
==

I was recently exploring this:
This paper merges the literature on technical trading rules with the literature on Markovswitching to develop economically useful trading rules. The Markovmodels’ out-of-sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample. A portfolio of Markov and standard technical rules outperforms either set individually, on a risk-adjusted basis. The Markov rules’ high excess returns contrast with mixed performance on statistical tests of forecast accuracy. There is no clear source for the trends, but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns.
http://www.sciencedirect.com/science/article/pii/S037842660600166X
Don’t buy the article. Google the title.
On a side note, aren’t candlestick patterns Markov chains as their current state influences the probability of the next state?
If you consider, for example a 3 bar moving-window as a single state, then there are known 3 bar patterns with fixed probabilities for predicting the next state.

 

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