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HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 29th, 2011, 7:24 pm
by tagoma
did anyone here read the I Aldridge's book "HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems" ???has it been helpful?what about the (unfortunately very few) example codes and data accompanying the book and available at http://www.hftradingbook.com ?did you take advantage of them ? how?do you know other books accompanied by c++ code snippets ?- thank you -

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 29th, 2011, 7:53 pm
by Hansi
Aldridge is a hack ignore all her stuff.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 29th, 2011, 7:58 pm
by tagoma
QuoteOriginally posted by: HansiAldridge is a hack ignore all her stuff.OH! I didn't expect that kind of reply.Would you be kind to argue ? and, then Which books/authors do you recomment in the HFT field ?thanks hansi

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 30th, 2011, 6:07 am
by ktang
QuoteOriginally posted by: edouarddid anyone here read the I Aldridge's book "HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems" ???has it been helpful?what about the (unfortunately very few) example codes and data accompanying the book and available at http://www.hftradingbook.com ?did you take advantage of them ? how?- thank you -For a first step into this field it is not bad. Easy to read and follow. Less math and no code.>> do you know other books accompanied by c++ code snippets ?It depends what you really want to see. Are you interested more in the strategy itself or more in the dma ( order routing) ?Furthermore for research or fast prototyping c++ is not a very good choice. I would prefer more matlab or R .

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 30th, 2011, 7:48 am
by tagoma
QuoteOriginally posted by: ktangFor a first step into this field it is not bad. Easy to read and follow. Less math and no code.>> do you know other books accompanied by c++ code snippets ?It depends what you really want to see. Are you interested more in the strategy itself or more in the dma ( order routing) ?Furthermore for research or fast prototyping c++ is not a very good choice. I would prefer more matlab or R .i'm interested in both strategy and dma. you're might be right using Matlab or R at early stage. I would use R.At the same I'd like to see how do professional take advantage of C++, as i'm not in the field.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 30th, 2011, 2:26 pm
by mit
review= useless

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 6:15 am
by ktang
>> review = uselessCare to elaborate ?

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 7:34 am
by Hansi
Maybe he means that the Aamazon reviews are a clear indicator that it's useless.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 10:01 am
by endian675
It's a reasonable introduction, gives some basic stuff to stimulate thoughts for your own strategies.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 10:03 am
by DominicConnor
I'm not sure there is a decent book on this subject, would love to find one for my recommended reading list.Tried contacting Ms. Aldridge about reviewing her book, got a frosty reply.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 11:28 am
by yuryr
HFT is an iceberg. 95% of finance population is almost completely illiterate on the subject as well as on order execution in general (!!!). If you go for academic references on HFT the situation is even more abysmal. Almost all the books so far are useles. Literature on Market Microstructure is no exception - full of mathematical models that, perhaps, are highly acclaimed in academia and not a single one is applied by HFT shops in their trading.And besides, HFT is changing - if somebody writes a decent book on the subject - it'll be as good as a BW photo taken 2 centuries ago....

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 12:19 pm
by tagoma
where does my question come from ...as an agri analyst/trade adviser i don't think at all in terms of automated-trading (lato sensu) terms.btw i dig in that area at nightime and i found out that simple but profitable entry/exit rules can found out for agri futures.now i'd like to know what does a professional HFT strategy looks like, i mean what's their "advancedness" if i can say.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: May 31st, 2011, 3:44 pm
by DominicConnor
yuryr, you may well be right that all HFT books are crap, but we can't know that for a fact yet.

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: June 1st, 2011, 5:23 am
by ktang
QuoteOriginally posted by: edouardwhere does my question come from ...as an agri analyst/trade adviser i don't think at all in terms of automated-trading (lato sensu) terms.btw i dig in that area at nightime and i found out that simple but profitable entry/exit rules can found out for agri futures.now i'd like to know what does a professional HFT strategy looks like, i mean what's their "advancedness" if i can say.Neural network, support vector machine, optimal control, machine learning,...

HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems

Posted: June 1st, 2011, 6:38 am
by Rufus
How about Algorithmic Trading and DMA, Barry JohnsonSelf published, so lacks a bit of polish but content seems good.Previews available on the website: algo-dma.com