Looking for a partnership for AI algo.

[robthequant]

I have a hard time believing that you have found 50 independent LOB-based features.

List them.

Not everyone here is retail.

This thread begs credulity.

Well, I didn't say the features are independent, there are various ratios, slopes, and velocity and rate of change measurements on the same data - different price levels, aggressiveness of orders, volumes, etc... You can probably extract hundreds of measurements, but of course you have to think about Bellman's "curse of dimensionality" the more features you use the exponentially more data you need to train a model that will generalize.

So my optimization algo is actually reducing the complexity and number of features, so it uses only features it really needs which is probably 20 or so. During training it alternates between complexification and simplification to find the right balance. Feature engineering is bulk of the programming work and part of the secret sauce, so I'm not gonna list everything here. I feel like I told you too much already

P.S. I'm not trying to sell anything, so you don't have to believe anything I say, I just would like to get a contact with someone from a market making/HFT firm in NYC. But now I'm doubting that this kind of people come to this forum

 

[Van_der_Voort_4]

That's because the system does very quick trades when the price is rising in the downtrend.

Is this some kind of joke?This is not going to happen,at best you can be on the sidelines.To make money you need to be on right side of the trend.

Also you said you did work in banking and you don't know who these firms are?I have a hard time believing this,first of all if you really look for such a firm you would know already which appropriate forum to ask.

I have no idea what your motives are other than to find suckers while pretending you really are not looking for them.

 

[beginner66]

I think you are one smart guy Robthequant . I hope you find what you are looking for soon. It will come. all the best , John

 

[robthequant]

Is this some kind of joke?This is not going to happen,at best you can be on the sidelines.To make money you need to be on right side of the trend.

Your retail experience and things "gurus" told you indicate that making money with long trades in downtrend is not possible, I understand. They usually say things like "don't try to catch a falling knife", I would not attempt to do this with manual trading. Let me remind you this is a bot that monitors every tick and makes decisions every second, has been trained on tens of millions of data points... It doesn't measure or care about trends rather it cares about order book imbalances.

Also you said you did work in banking and you don't know who these firms are?I have a hard time believing this,first of all if you really look for such a firm you would know already which appropriate forum to ask.

I worked in corporate investment banking 10 years ago before I started my own business. Big bank with closed minded corporate people, not the agile trading company I'm looking for.

I have no idea what your motives are other than to find suckers while pretending you really are not looking for them.

Admin, can you please delete this whole thread and close my account? I'm tired of these people

 

[robthequant]

I think you are one smart guy Robthequant . I hope you find what you are looking for soon. It will come. all the best , John

Thank you John! Finally I found one person not attacking me on this forum

 

[Van_der_Voort_4]

Thank you John! Finally I found one person not attacking me on this forum

First and foremost if you had "the goodies" you would not care about anyone's opinion,not one bit,criticism or prize would mean nothing with such results.But you don't and we both know it.

You will not make money long in a downtrend doesn't matter how you spin it.It's plain math and i done many tests,that includes curve fitted tests in order to know how bad is it.
You can't fool all the people,you trade order book in order to be close to average 50% so you would look believable.

I will not reply again to this thread,case closed.

 

[qlai]

Nobody is attacking you, but you are giving us theoretical promises which most likely will not translate into reality. Are you examining a single book or are you building a consolidated one? Which exchange (s) are trading on?

 

[robthequant]

Here's live trading on a real account. If you refresh this page, this image will update itself. 2077 trades right now over 5 days. I asked the admin to delete this thread. Case closed.