Check out the Best Porn Sites for an ad-free browsing experience!

Algorithmic Trading

15,373 subscribers a community for 5 years, 2 months

last post today [+]

A place for redditors/serious people to discuss quantitative trading, statistical methods, econometrics, programming, implementation, automated strategies and bounce ideas off each other for constructive criticism, feel free to submit papers/links of things you find interesting.

* THIS DOES NOT CONSTITUTE INVESTMENT ADVICE, USE AT OWN RISK,**

* SEARCH THE SUB/GOOGLE/STACK OVERFLOW BEFORE ASKING QUESTIONS FOUND ON THE FRONTPAGE OF THE ABOVE WILL BE REMOVED *

Good places to start with code examples:

STRATEGY

Big-Intro to quantstrat and trading systems

R & quanstrat video tutorial

portfolio optimization

Great blog with more advanced code and ideas from the "systematic investor" note: code here does not follow standard R conventions

Blog here with strategy examples from Ilya Kipnis

quantivity paper feed

How to learn algortihmic trading

[Strategy books thread] (http://www.reddit.com/r/algotrading/comments/v8h6j/must_read_books_for_qa_algo_trading/)

[Quantopian Lecture Series] (https://www.quantopian.com/lectures)

How to get data

intraday fx

grebfar's post on how to dl free tick data

Math/Stats/Machine Learning

Introduction to Statistical Learning with applications in R

Elements of Statistical Learning

Production Systems

aleph-null: open source python ib

quick-fix

node.js to ib api

subreddit thread on systems

Paper Feeds

daily ssrn paper feed

Quant news feed

Quantocracy blog feed

IRC : irc.freenode.net / ##traders #r-finance

Do's:

  • Submit Interesting papers, blog postings
  • Code/packages we love these!
  • strategies (even if they don't work a negative result is still useful)
  • Read the sidebar (intro to quantmod/quantstrat) will answer questions on how to download data, chart, build test and validate strategies.
  • Have a technical informative discussion
  • Submit business links and questions (e.g. contractual issues,licensing etc)
  • Submit tax optimization links and questions
  • Submit infrastructure links and questions
  • Submit compliance/regulatory links and questions

Don'ts:

  • Submit paysites for indicators/software/systems/whatever
  • Submit things without methodology or at least some guidance
  • Flame on other users, we're all here to learn so be constructive in your criticism
  • Downvote without posting why, Give your constructive criticism or don't critique at all
  • Post asking how to get started without viewing the links on the sidebar, or reviewing previous posts in the subreddit
  • Ask for career advice there is /r/financialcareers for that
  • Ask for educational advice, as each case is special and your thread has no value for practitioners, there are rankings of quant programs, computational finance, machine learning and stats out there
  • Submit software that is proprietary and not open source
  • Submit links/posts that are for the sole purpose of generating referrals/sales/$$, if it is not informative and useful then it does not belong here, shilling your products is not appreciated.
  • Submit posts that are summaries of other posts without additional content

FAQ's:

  • Q: "Hi guys im new how do I get started?"
  • A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask here.

  • Q: I am a student and want to know what courses to study to get into algo trading?

  • A: Algotrading is at the intersection of statistics/computer science/machine learning/mathematics/finance/economics.

  • Q: Where should I apply for a job?

  • A: /r/financialcareers for that

  • Q: I have bug ABC with language XYZ ?

  • A: http://quant.stackexchange.com/ or http://http://stackoverflow.com/ If you get spam filtered, send me a pm and i'll unblock it.

no tags added yet, be the first

keeping track of 1,090,829 reddits

about

help

links