Learn To Code: Traditional Bond Traders Now Being Overrun By Programming Quants

[wintermute0]

Can someone may tell me any other marketplace for fin. algorithms than mql5?!
There seems to be none...

Collective2 is one. But why would you want to rent a strategy in the first place? There’s no alpha there and the entire algo-selling industry is a big scam. I can guarantee you they will not provide better risk adjusted returns than the market after renting fees.

 

[WealthSignals]

Can someone may tell me any other marketplace for fin. algorithms than mql5?!

WealthSignals.com is such marketplace that connects strategy publishers with paid subscribers. Publishing signals is free for system authors. We have integrations with Wealth-Lab and Quantacula software and have plans to open our API to other software products. -Eugene

 

[guru]

I work as a quantitative developer and honestly, retail traders shouldn’t be using algo trading in the first place. It’s simply too time-consuming and difficult to do. As a retail trader, constructing actual alpha factors appropriate for retail is almost impossible.

Many retail traders could (and do) come up with alpha factors that would be profitable for institutional investors though. Retail investors can’t get enough leverage or capital to make any of these strategies viable for themselves though.

If you really want to, you can use Alpaca[1] to trade on the IEX with no commissions. They have APIs in Python and C# I believe. If you just want to come up with some alpha factors, you could try quantopian[2]. You can win between $5-$50 per day by entering their contest. Also, they can select you for capital allocation if you’re really good. Keep in mind that there’s a bunch of constraints though:

Equity only, no ETFs
Must be market neutral (absolute difference between long/short exposure no more than 10%)
Must use their risk model
Beta exposure must be less than like 30%
Some sector and style exposure limits I can’t remember right now
5%-65% average daily turnover
And some other stuff

Very few people on this forum even have any discretionary alpha, even fewer would have any algo alpba. And the access to data sources for retail is extremely limited. Good luck affording anything besides vanilla minute price data.

The only alpha left for 99% of all retail is trading on news, and even that is getting eaten by institutional quants nowadays. In short, don’t algo trade in retail, it’s a waste of time.

[1] https://alpaca.markets/
[2] https://www.quantopian.com/

Nice to see a little different point of view and a bit of actual quant knowledge.
I mostly agree that not many people can produce any alpha, though you may also be missing some points. For example if a trader trading from home has access to real-time tick data on all stocks, futures and forex then are they no longer a retail trader?
Though I’m genuinely curious about your view on the difference between using algos vs ”alpha factors that would be profitable for institutional investors”, basically not sure of the difference.
Ninja and Meta Trader are thriving companies (?) with thousands of users and there are plenty of other traders writing all types of algos/scripts, with many that could possibly be applied to larger capacity/scale funds and investments. So were you mostly referring to higher frequency, math-heavy, pair, correlation and arbitrage type algos with minimal risk that retail traders cannot touch? Or you also don’t see any room for retail traders to generate alpha with slower algos, say based on 1-minute or longer time frames and with more statistical/chance/momentum/reversion based trading (vs arbitrage, pairs, correlations, etc) And do quants cover all those types of algos?
Finally, what’s the prognosis for hedge funds with alpha becoming more scarce due to competition, erosion of opportunities, regulation, risk limits, etc?

 

[guru]

Collective2 is one. But why would you want to rent a strategy in the first place? There’s no alpha there and the entire algo-selling industry is a big scam. I can guarantee you they will not provide better risk adjusted returns than the market after renting fees.

I did like at least one strategy on C2 that had clear alpha, selling naked puts on vol spikes. And I believe the guy runs a hedge fund and employs many people, so C2 may be more of a marketing venue for him.
While I’ve seen a few more C2 strats discussed on C2 and ET that others liked. Alpha indeed is scarce, but if any retail or semi-pro trader generates alpha then it may end up on C2 because there aren’t many other places where they can be monetized or at least displayed for building track record. At least they may show up there until later moved to a hedge fund.

 

[WiktorK]

C#, Python, C++, Java. These are used by quants so you cannot compete with quants using some scripts. Algo scripting platforms like Ninjatrader and MetaTrader are also coded using these languages, doing just some backend work for you while limiting your ability to compete with serious algo traders, including retail.
Being retail trader doesn’t make a difference because quants are just as human as retail traders, with retail traders being less restricted and paying less for various data subscriptions. And you can write the same program using C# as using any script within Ninja or Meta Trader, just being less limited with C#.
You’ll have to spend more time to implement your own code for gathering and summarizing data, saving it, submitting orders, etc - but this is not more difficult than writing algos, just takes more time and is small price to pay to be able to compete. And once done then you’ll have as much power as quants, basically becoming one. Quants also do some advanced math, but it’s just an extension of algos and not always necessary, or you can use some external math functions created by mathematicians and other quants. Pro quants also reuse various functions just like you do in Ninja and MT. You can find various open source trading frameworks and pieces of code to help you get started.

Sooner or later you will find FIX (Financial Exchange Protocol).There are few brokers that allow using this with small funds, yet there are some.
FIX is language agnostic, allows trading on many exchanges/brokers simultaneously, lets you combine algo with ML or anything you wish. Basically this is a big guys standard, but this does not mean only they are able to use it.

 

[guru]

Sooner or later you will find FIX (Financial Exchange Protocol).There are few brokers that allow using this with small funds, yet there are some.
FIX is language agnostic, allows trading on many exchanges/brokers simultaneously, lets you combine algo with ML or anything you wish. Basically this is a big guys standard, but this does not mean only they are able to use it.

Which one do you know of or would recommend?

 

[WiktorK]

Which one do you know of or would recommend?

It depends...
Easiest way is to use Ctrader FIX API, which is offered by many brokers (e.g.
ICM, Pepperstone). This is not fully functional FIX so it is not the best way, but the easiest to start.
If you are looking for low minimum requirements with ECN/STP access I strongly suggest LMAX (10k USD) needed, they have great spreads and executions.
Lowest entry point (500 USD) is offered by FXPIG which is an awesome broker (very underrated for some reason). FXPIG does also offer FIX demo which is very rare and very useful when learning how to FIX.
IB does also offer FIX, but they do not support price/quote connection so it close to useless IMO.