I want to learn about algorithmic trading. How much of the information online is up to date/state of the art? Do any of the funds who do algorithmic trading share how they do it online or keep it all to themselves? Can anyone who works at the big funds (Citadel, TwoSigma, Jane street, etc..) give me some advice on where to start? TC Β£250k London (Facebook E5, started at 170k but stock appreciation + refreshers pushed me higher)
I would assume large trading volumes and low latency are the key differentiators, and would matter more than the model. But looking forward to being wrong on this.
Large volumes make it more difficult not easier.
Large amount of capital?
Get a graduate degree in math/stats/physics from a top 10 private school Honestly no one gives a shit if your personal crypto bot produces a Sharpe of 5 over 2-3 years on $50K
How does the tax for algo trading work? Do you mail out like 1000 pages of transaction record to IRS? π
Maybe that why no individuals do it
Your broker mails everything. You just fill out one line of profit and loss
If everyone shared how they did it online then it wouldn't be profitable. You need a competitive advantage against other firms
My advice on how to start: read up on market microstructure, common stat-arb strategies, and data analysis. Once you're comfortable with that, get together a team of a few quantitative researchers, spend a few hundred grand on buying the very basic data feeds that you'll need, then another few mil to set up colos near the exchanges to avoid getting front-run on everything that you try. After that, raise a minimum of ten mil in capital or so to justify the setup costs and eek out a bare minimum of a living at two and twenty fee structure. Then after you trade for a year or two you'll know whether it was worth it or not. Good luck!
So is there nothing such as amateur algotrading?
It's doable, but hard. You won't find much documentation about it. The best way to learn is to allocate some small amount like $10-20k to it and try playing around. You might lose all of it but by the end you'll have a much better idea of what works and what doesn't.
Bankroll management and risk management are important too. Even the best algorithms can fail with improper position sizing and risk mgt. For starters, look up kelly criterion
Do you apply Kelly criteria in real world ? Can you give an example of where it could or have been used
Yes. After youβve found a statistical edge (via win/loss rate, average win amount, and average loss amount), then kelly criterion tells you how much to bet each time you encounter your desired trade setup, for optimal growth
r/algotrading