Quote from brownegg:
At that point you'll know enough to realize the size of the mountain you're trying to climb. Sorry to be a dick, but asking on a site that is mostly retail investors (nothing wrong with that--there are several posters here who know what they're talking about) about how to "do algo trading" isn't gonna get you anywhere.
Good luck--
I agree, Mizhael, you post similar stuff in wilmott as well. And the honest to god truth is that there is no "secret sauce" here, that you can just learn over a 2 week period, and become an HFT system designer, trader and practitioner.
The reality is that any practical information we have, can only be useful after years of looking at the problem domain, and are familiar with basics theories, only then would we have a basis to have some informed discussion with some common "vocabulary", if you will.
I would also highly recommend looking at the PLAT project by Mike Kearns, it is almost as practical as a platform for algorithmic trading as out there for public consumption. the PLAT platform spurn off a little academic "cottage industry" of using various diff methods in automated trading.
http://www.cis.upenn.edu/~mkearns/projects/plat.html
The project is no longer in maintenance, since Kearns have moved onto diff things (he was at LEH for a while, made a whole bunch of promises that went no where, now he is back in academia).
A lot of ppl seem to be recommending the Almgren and Chriss' paper to you. Personally as a practitioner of HFT, i think they are on a diff track, they are more focused on efficient execution of a portfolio (such as transition, etc), to minimize market impact and TCA. Quite a bit diff from what ppl are doing in HFT, which deals more in market microstructures, flow and order book analysis. And since I know the two of them sort of, I know exactly what problem they are tackling, with Chriss now off running his fund, and Almgren trying to get his startup off the ground.
