It is discussed/dissected here: url

Systematic trading

Computers are already superior in certain areas of trading where speed matters. High frequency trading would not exist without computers running highly optimized trading algorithms. However this has little to do with AI and much to do with ...

AIs vs Human Traders

Your right - I think I misread his first post.

My most recent advancements into machine learning

In-sample or out-of-sample?

My most recent advancements into machine learning

I did some experimenting with NEAT a couple of years ago. I did like the idea behind it, but it is slooow and impossible to use on large data sets (unless you got some serious cluster running it). The general problem with applying concepts from ...

My most recent advancements into machine learning

cOd3, I wouldn't mind getting my hands on these files. However, I don't see them attached anywhere.

High Frequency Trading!

I was unclear in my comment above. What I meant was that if your model is to supply liquidity in an ECN setup where the banks as main suppliers of liquidity has special privileges like last look possibility, then you are at a competitive ...

High Frequency Trading!

This is a major issue and probably one of the reasons why high frequency trading is not as well developed in spot forex as it is in e.g. equities. The only thing you can do is to make sure your simulation environment imitates these behaviours as ...

High Frequency Trading!

Good post hanover. Another issue is that most people (here) performs "backtests" without having a clue about how the backtest engine really works. How can you assume that a test is trustworthy or not if you don't even know how the test is performed?

Another Reason Not to Trust Backtesting

Also, check out this article:

High Frequency Trading!

HFT basically requires 3 things: 1) An edge (like in any other type of trading). 2) Low latency direct market access. 3) A very well developed infrastructure. Especially 3) is beyond reach for the typical retail trader IMO (including the ...

High Frequency Trading!

I signed up for her daily newsletter at Able Markets and I was far from being impressed... But it's gonna be interesting to take a look at the book. As already noted in this thread, books on high frequency trading are not exactly floating around in ...

High Frequency Trading!

I would very much suspect that code to be obfuscated. Their main java client is (don´t ask why I know...).

Historical Options & Order flow Info...

A while back you could access the IFR articles provided by Oanda directly in a web browser. That made it possible to crawl a large amount of articles automatically. Unfortunately it does not seem to work any more.

Historical Options & Order flow Info...

Kudos for having an algo kicked out of an ECN. I know others who had same experience (a few years ago though). When we approached several Currenex brokers some time back and asked them where the servers were placed, some of them immediately started ...

Trading for a living with a Market Maker

Don't forget that pairs are correlated. Your statement above would only make sense if they were completely uncorrelated.

Systematic trading

Yes, but what if this edge can overcome market frictions in one market but not in another.

Systematic trading

Why should a strategy necessarily apply on all majors? Spreads, liquidity, volatility and so on differs a lot.

Systematic trading

This better not be the case (for the sake of MBT). Now, are you really sure about this? EDIT: To be more specific, a stop limit order should be optional to execute at market. A limit order should always be executed at specified price or rejected.

Help choosing an ECN...

It is merely a question of semantics. What is "automated trading"? As you already pointed out we are not talking "EA's" here... High frequency strategies like market making is mostly automated because they are very sensitive to latency and therefore ...

Computers to replace Traders