Algorithmic Trading for Individual Investors - a Survey for My Course Paper

[audreybrine_mba 10]

Hi Friends,

 

I am an MBA student who is preparing a paper on "Algorithmic Trading for individual investors". I need to get a pulse on the popular tools, platforms, strategies etc. so that I understand what resources are available to an individual investor today. For this I have prepared a survey of a maximum of 13 questions (all multiple choice questions) and would be really grateful if you guys could participate in it. The survey is anonymous since the intention is just to understand what is available today for the average investor to jump into the algorithmic trading space.

 

Please click on the survey at https://www.surveymonkey.com/s/WQBLG3Z Thank you in advance.

 

Cheers!

Audrey

[bergerhl 10]

Will you be sharing the results with respondents?

 

Howard

[MightyMouse 11]

"Algorithmic Trading for Dummies" should be a good starting point.

[onesmith 10]

This survey is an inappropriate solicitation. I was spammed with an email notification of it's existence because I automate strategies and chose to subscribe to the Automated Trading subsection of this forum. Here's how I score our moderator's choice to leave this topic up.

 

+ Eyeballs viewing this spam contribute to revenue while spam remains.

 

- Sincere topics and replies vanish because I choose quality.

[stock_analyst_n 10]

Well its a brilliant concept , there has been a lot of talk about algorithmic trading and i think aiming at designing something for an individual looks like an interesting and profitable topic.

[MadMarketScientist 11]

This survey is an inappropriate solicitation. I was spammed with an email notification of it's existence because I automate strategies and chose to subscribe to the Automated Trading subsection of this forum. Here's how I score our moderator's choice to leave this topic up.

 

+ Eyeballs viewing this spam contribute to revenue while spam remains.

 

- Sincere topics and replies vanish because I choose quality.

 

Hi onesmith,

 

This is a community and everyone is entitled to their opinions and preferences. And there might be some people who would like to help a student out and take his survey. No harm done is there? If you don't want to take the survey just ignore the thread.

 

thanks,

MMS

[audreybrine_mba 10]

Will you be sharing the results with respondents?

 

Howard

 

Hi Howard,

 

Yes, I will surely share my findings on the sites where I have posted this survey. I am aiming for around 500+ hits to get a feel of the "real" world which is interested in algo trading.

 

Right now I have got about 100 results, and the most striking point I found so far is that despite the fact that quite a few people are interested in algo trading, there are not too many dedicated platforms for algo trading. For example, so far about 85% of the respondents say they build their own platforms via own database, historical data subscriptions etc. Most of the popular trading platforms do not focus as such on algo trading; they are just general trading platforms with support for a specialist who would like to do algo trading. A one stop shop is missing!

 

I will keep you updated with the detailed results. And thanks to all those who filled out the survey so far.

 

Cheers,

Audrey

[audreybrine_mba 10]

"Algorithmic Trading for Dummies" should be a good starting point.

 

Hi, is this a book? I tried searching in Amazon. Btw, my info so far is by browsing the net and reading the documentation on various trading platform support sites ...

[BlueHorseshoe 10]

Hi Audrey,

 

It might be helpful if you could define what you mean by 'algorithmic trading'. Technically, anything that involves a specific series of sequential steps could be considered 'algorithmic', such as starting my car, or making my favourite cocktail, but the term has generally become synonymous with High Frequency Trading.

 

Assuming that you have the latter in mind, you may wish to reconsider the topic of you thesis. HFT is dependent upon a distinct technological advantage that costs tens of millions of dollars. The maintanence of such a system, let alone its development, requires the input of dozens and dozens of people with world-class specialist experience and skills. In short, it's not something you can do in the back of your garage on a laptop, and the notion of an 'individual algorithmic trader' is nonsense.

 

I hope that this post comes across as constructive and is not just dismissive of your request.

[mickro 10]

Hi Audrey,

 

Assuming that you have the latter in mind, you may wish to reconsider the topic of you thesis. HFT is dependent upon a distinct technological advantage that costs tens of millions of dollars. The maintanence of such a system, let alone its development, requires the input of dozens and dozens of people with world-class specialist experience and skills. In short, it's not something you can do in the back of your garage on a laptop, and the notion of an 'individual algorithmic trader' is nonsense.

 

I hope that this post comes across as constructive and is not just dismissive of your request.

 

You should start with that quote.... I suppose it depends on definition. Check the SEC definition of HFT and you will be starkly suprised. I was suprised to find out that a system that I designed is considered a HFT system. And I designed it by myself, on X_86 gear. A $500 system that I now make a living off of. Preparing the paperwork now for a fund launch, so it is possible. I designed it in a garage, with a server running in a closet. lol

 

Check out Tradebot Systems in KC Missouri, they pocket $50k a day. Their solo designer started in a basement (no BS) with a $10k investment.

 

I think the big reason that individuals can do this now is solely because of technology. We have access to brokers and DMI. The Primes are still tough, but the small primes and mini primes all offer apis to connect. I think they all offer market data and pretty effecient order routing. Obviously, the primes have the the best algo's but you can't get an account with them without $1B(I think, it's up there) in assets. Government got this one right with reg NMS that actually helped out the little guy.

[BlueHorseshoe 10]

You should start with that quote.... I suppose it depends on definition. Check the SEC definition of HFT and you will be starkly suprised. I was suprised to find out that a system that I designed is considered a HFT system. And I designed it by myself, on X_86 gear. A $500 system that I now make a living off of. Preparing the paperwork now for a fund launch, so it is possible. I designed it in a garage, with a server running in a closet. lol

 

 

If what you're saying is true, then it would appear that I stand corrected! However, I'm assuming that you'd agree that you're in a very small minority of those who posess anything like the skill base to do so. To save me trecking away to read the SEC's definition, would you provide a summary? And, if you're willing to divulge the information, with what frequency your own system trades, and what type of instruments?

 

I'm guessing the paperwork involved in setting up a fund is as much hassle as setting up an HFT system, isn't it?

[mickro 10]

a very small minority of those who posess anything like the skill base to do so.

 

Thats the thing too, languages are getting easier. And you can use easier higher level languages anymore. I bet the trend continues. I've seen people using excel to trade, or a matlab, or an R plugin, that's a lot easier to learn than c++.

 

To save me trecking away to read the SEC's definition, would you provide a summary?

Well, it keeps changing... lol. One of the best reads and a must for anybody who hasn't read it is the concept release from the sec "concept release on equity market structure"

(1) the

use of extraordinarily high-speed and sophisticated computer programs for generating, routing,and executing orders; (2) use of co-location services and individual data feeds offered by exchanges and others to minimize network and other types of latencies; (3) very short time-frames for establishing and liquidating positions; (4) the submission of numerous orders that are cancelled shortly after submission; and (5) ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions over-night).

 

 

And, if you're willing to divulge the information, with what frequency your own system trades, and what type of instruments?

I don't do a lot of fancy. I do a portfolio, which is different from a lot of the HFT guys. But I can still do a couple hundred trades a day.

 

I'm guessing the paperwork involved in setting up a fund is as much hassle as setting up an HFT system, isn't it?

Hassle is other peoples money. It's a regulated industry, so you have to pull your pants down in front of Barack to invest for other people... up to a certain point. I'm going the RIA route now.

 

Getting started you can trade a retail account which is easy to set up, but day trading restrictions are a gotcha.

[BlueHorseshoe 10]

Thats the thing too, languages are getting easier. And you can use easier higher level languages anymore. I bet the trend continues. I've seen people using excel to trade, or a matlab, or an R plugin, that's a lot easier to learn than c++.

 

Thanks for the resonse. I disagree with you about the languages aspect - I'm a perfectly proficient programmer in several languages, and pretty confident that I could teach myself C++ if I wanted. But I think the main barriers to HFT are broader technical issues - for example, I wouldn't have a clue about how to go about obtaining the low latency order routing that the HFTs enjoy. And I think that most people at the large HFT firms would be equally ignorant - it's my understanding that they tend to be made up of specialist teams, each of which only really understand their own job.

 

Anyway, as I said before, its impressive that you've managed to get such a system off the ground single-handedly, so good luck for the future and for your capital management enterprise!

[Predictor 11]

Algorithmic is not HFT. Traders have been trading algorithmically for years and thats been available to retailers for probably since the computer came out. As stated, HFT is distinguished by requirement for co-location,automation, and speed.

 

Some of the early definitions that came out originally wanted to say anyone who was a day trader was an HFT trader but that misses point completely.