traK6Dcm

7 ms·

1.
by traK6Dcm 6y ago
HFT may not, but trading itself definitely provides positive value. People's utility function is not purely monetary over an infinite time horizon. Trading allows you to trade off price and risk over multiple time horizons. For example
2.
by traK6Dcm 6y ago
Yeah, fair enough. The truth is that I'm just a little frustrated by people touting the horn of "making the world a better place" when in reality most end up doing nothing of the sort but then criticize people working in Fina
3.
by traK6Dcm 6y ago
Some people argue that HFT provides liquidity for retail investors, but it's debatable whether that liquidity is real or not since it'll be gone during black swan events. At the same time HFT profit from uninformed/retail flo
4.
by traK6Dcm 6y ago
I think he means smart as in "how long your model prediction takes". If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to make a prediction that'll lock you out of a whole lot of tradin
5.
by traK6Dcm 6y ago
> I understand they are not making the world a better place, but are they making it worse? Most people would argue that they are not directly making the world a worse place, but rather that they are sucking in talent that could have us
6.
by traK6Dcm 6y ago
Even if that was true (it's difficult to prove either way since there is little data on black swan events), the fact that they provide liquidity during stable times can make up for not providing liquidity during black swans. The impa
7.
by traK6Dcm 6y ago
It hasn't really, at least not in production. Academics are now publishing a lot of papers using Deep Learning or RL, but you won't usually see those in live systems. In live systems, latency is usually more important than a &quot
8.
by traK6Dcm 6y ago
I can recommend this [0] book. It's focused on financial time series and trading, but the techniques covered in the book are generic enough to apply to all kinds of time series, you can just ignore the finance parts. If you search hard
9.
by traK6Dcm 6y ago
What people are complaining about is not the overfitting, but the unrealistic assumptions in the backtest. In the real world there is slippage, latencies/jitter, special market open regimes, hidden orders, market impact, front-running,
10.
by traK6Dcm 6y ago
Data distribution shift. The market changes over time and your current data does not come from the same distribution as old data. That limits the amount of data you can use for training and testing. You need to be very careful not to overfi
11.
by traK6Dcm 6y ago
I don't think daily OHLCV data is a good data source. First of all, it's too little because of the data distribution shift over time. It's also driven significantly by outliers and events outside of the data (news, etc). Th
12.
by traK6Dcm 6y ago
Is 200-500k still true? It used to be, but I think it has decreased significantly over the last decade. I'd say most junior people in this field are making about the same or less than software engineers these days. But like you said, t
13.
by traK6Dcm 6y ago
In this simple example, yes, but you are assuming that monetary value = utility. That's not always the case. People have all kinds of different incentives for participating in the markets. Let's say I am a market maker offering to
14.
by traK6Dcm 6y ago
You make a good point. I've also gotten into trading because I enjoy the algorithmic and mathematical aspects, and I would love to share more of what has been working for me and write extensively about it. And there are probably more
15.
by traK6Dcm 6y ago
Yup, it's probably just the output of an optimizer and then tested on held-out future data. Not overfitting is the key here and what's really hard. You need to be careful about the number of parameters and the amount of validation
16.
by traK6Dcm 6y ago
Why do you think it's a weird subject of study, but games like Chess, Go, and Starcraft are not considered weird? Aren't both studied for purely their benchmark potential as opposed to the problem itself? Why are games widely acce
17.
by traK6Dcm 6y ago
That's overly simplistic. While the overall system may be zero-system over an infinitely long time horizon, this doesn't typically matter in practice. It can be positive sum for participants over some time horizon they care about.
18.
by traK6Dcm 6y ago
I don't claim that all the science that isn't actively being applied yet is BS, but this kind of science typically happens within trading firms, tested on real-world data, and is not being published on arXiv. As a side note, what
19.
by traK6Dcm 6y ago
I actually believe that trading is an interesting problem that should be studied more in Academia and Machine Learning. It has many aspects (sparse rewards, long-time horizons, simulation-to-real-world transfer, non-stationary data distribu
20.
by traK6Dcm 6y ago
In general, books are a much better source of information than papers or blog posts when it comes to trading. I haven't read the one you posted, but a few I can recommend: [0] is okay. I disagree with a lot in there, but it's pret
21.
by traK6Dcm 6y ago
I don't think it necessarily has to be true. I also built a profitable system and wrote about it, but I didn't share all the details. Not even close. There are just too many small details that must be "just right" that t
22.
by traK6Dcm 6y ago
As someone who has written about this previously [0], worked briefly in HFT before, and read dozens of papers on the subject, I can say with very high confidence that the results are not to be trusted. This paper, just like pretty much any
23.
by traK6Dcm 6y ago
If someone wants to buy at $100 and someone else wants to sell at $90 it depends on who came first. To really answer this question, you need to understand the difference between market maker and taker and you need to understand how the limi
24.
by traK6Dcm 6y ago
The short answer: What exactly the "price" shown on the exchange website is depends on the exchange. Typically it's the last trade price or the mid price (average of best bid and offer). There really is no such thing as a sin
25.
Understanding the Limit Order Book (Algo Trading)(tradientblog.com)
3 points by traK6Dcm 7y ago|0 comments
26.
by traK6Dcm 7y ago
Thanks a lot for the detail. I've always wondered what the actual costs look like.
27.
by traK6Dcm 7y ago
Author here. Personally, I just don't. I tried doing it but it was too complicated. So I end up just hiring a tax accountant specializing in crypto, send them all the data I have, and pay a few $k. In case something goes wrong, it&#x27
28.
by traK6Dcm 7y ago
You can't go short but you can still hedge your exposure by going on short on something very correlated - like Bitcoin futures. I do this manually depending on how much capital I'm trading. I actually have no idea what my Sharpe r
29.
by traK6Dcm 7y ago
Or to pay the exchange a large sum to get privileged access :)
30.
by traK6Dcm 7y ago
Many HFT systems provide liquidity. If there is no liquidity, retail investors like you or me cannot buy or sell. Just imagine you want to exchange a currency because you go traveling and the exchange tells you "Sorry, nothing availabl

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