Sunday, 18 March 2012

New to Algo Trading

This blog represents a way of giving back to all those countless kind and generous souls who bothered to write down what they were doing and wished to share it with others. Much of what you will read in this blog has come from others and has only been poorly regurgitated by me. I have learnt a vast array of information, both in terms of programming and quantitative finance, all because people are kind enough to share - this is my way of giving back and saying thanks.

Firstly, I have to say that I am a novice when it comes to investing. I am not a professional investor trading millions of dollars per day, nor am I an academic seeking to increase the knowledge-base devoted to investing - I am merely an average bloke with an interest in investing and, probably more importantly, an interest in programming.

I suspect it was my interest in programming that first drove me towards algorithmic investing. I do not come from an IT background - strangely I work in food sales and have never been employed in the IT world, although I have nearly always had a passion for programming. The combined love of programming and the desire to see how the stock market ticks has brought me to this point.

What am I seeking - my criteria
As many amateur investors know, especially on my side of the 'pond', it is quite limited and/or expensive to trade on a regular basis in the stock market. I am as yet too unsophisticated to trade futures or derivatives and have therefore sought to limit myself to equities. Additionally, due to the cost limitations of data availability and the time element required for intraday trading, I have limited myself to purely end-of-day trading with data scraped from various free sources. In turn, I have also sought to limit the cost of buying and selling shares by using cheap execution only brokers.

The development of an algo-based system for the amateur investor needs to encompass the following:
  • A cheap/free source of relatively clean end-of-day data
  • The means to easily collect this data
  • A cheap and easy means to place orders
  • A system that works - always a biggy!
  • Preferably make everything as automated as possbile.
In order to achieve these aspects you are going to need to be relatively 'hands-on' on the programming front. I know many algo traders use Matlab and the like to develop their strategies, however, I feel more at home in using the likes of C# or Java to develop my strategies. Additionally, these skills are useful as you are likely to need to build the supporting framework (price downloading, data conversion etc etc) - you could buy these utilities, but they have always been out of my price frame.

Through this blog I aim to show fellow amateur algo traders the tools I have used to build the 'framework' as well as explore some of the indicators I have found useful. In the next installment I will outline some of the techniques I have developed to work on algo trading which I think may prove useful to others.



  1. found this blog from Reddit, added to faves and thanks for this blog. I am currently on the very same journey as yourself, and I really appreciate the blog.


    1. Thanks for the upvote. I started writing the blog as there was so little out there for the amateur. Let me know if there are any particular areas you would like covering.