In his article in the S&C April 2020 issue, Vitali Apirine proposed a modified On Balance Volume indicator (OBVM). The hope was that OBVM crossovers and divergences make great trade signals, especially for stock indices. I got the job to put that to the test.
I was recently hired to code a series of indicators based on monthly articles in the Stocks & Commodities magazine, and to write here about the details of indicator programming. Looking through the magazine, I found many articles useful, some a bit weird, some a bit on the esoteric side. So I hope I won’t have to code Elliott waves or harmonic figures one day. But this first one is a very rational indicator invented by a famous algo trader.
Compared with machine learning or signal processing algorithms of conventional trading strategies, High Frequency Trading systems can be surprisingly simple. They need not attempt to predict future prices. They know the future prices already. Or rather, they know the prices that lie in the future for other, slower market participants. Recently we got some contracts for simulating HFT systems in order to determine their potential profit and maximum latency. This article is about testing HFT systems the hacker’s way. Continue reading “Hacking a HFT system”
Just a quick post in the light of a very recent event. Users of financial functions of R, MatLab, Python, or Zorro got a bad surprise in the last days. Scripts and programs based on historical price data suddenly didn’t work anymore. And our favorite free historical price data provider, Yahoo, now responds on any access to their API in this way:
We’re recently getting more and more contracts for coding binary option strategies. Which gives us a slightly bad conscience, since those options are widely understood as a scheme to separate naive traders from their money. And their brokers make indeed no good impression at first look. Some are regulated in Cyprus under a fake address, others are not regulated at all. They spread fabricated stories about huge profits with robots or EAs. They are said to manipulate their price curves for preventing you from winning. And if you still do, some refuse to pay out, and eventually disappear without a trace (but with your money). That’s the stories you hear about binary options brokers. Are binary options nothing but scam? Or do they offer a hidden opportunity that even their brokers are often not aware of? Continue reading “Binary Options: Scam or Opportunity?”
Whatever software we’re using for automated trading: We all need some broker connection for the algorithm to receive price quotes and place trades. Seemingly a simple task. And almost any broker supports it through a protocol such as FIX, through an automated platform such as MT4™, or through a specific broker API. But if you think you can quickly hook up your trading software to a broker API, you’re up for a bad surprise. Dear brokers – please read this post and try to make hacker’s and coder’s lifes a little easier! Continue reading “Dear Brokers…”
You’re a trader with serious ambitions to use algorithmic methods. You already have an idea to be converted to an algorithm. The problem: You do not know to read or write code. So you hire a contract coder. A guy who’s paid for delivering a script that you can drop in your MT4, Ninja, TradeStation, or Zorro platform. Congratulations, now you’re an algorithmic trader. Just start the script and wait for the money to roll in. – Does this really work? Answer: it depends. Continue reading “I Hired a Contract Coder”
For performing our financial hacking experiments (and for earning the financial fruits of our labor) we need some software machinery for research, testing, training, and live trading financial algorithms. No existing software platform today is really up to all those tasks. So you have no choice but to put together your system from different software packages. Fortunately, two are normally sufficient. I’ll use Zorro and R for most articles on this blog, but will also occasionally look into other tools. Continue reading “Hacker’s Tools”