Imported from previous forum
As I see, Algo Trading is using methematical algorithms to do trading.
For instance for equities:
Algorithms normaly extract a trend from historical data (i.e. past quotes and trades happenned ) and advise humans/system to trade.
I can also analyze its own decisions from past and provides a comprehensive picture.
It can ‘predict’ market movement and probabilty of getting a desired price for specified size of an order.
It can create few important statistical information (like expected mkt impact as soon as a specified size of order enters the mkt based on past trends) which can help us in trading.
Is it OK to use a few quotes from this thread? It’s been a VERY interesting discussion!
We are working up a site for Open Source, Freely Licensed (GPL or LGPL) coders working on Investment and Trading Systems DOCumentation at http://ITSdoc.org We have quite a bit of discussion about existing and emerging standards but still have a ways to go.
Some of our best programmers don’t have a trading background so we have to start several levels below the discussion you have here on the Fix boards.
Still, we whipped up a page on Algorithmic Trading. Feel free to check it out, edit or alter it as you see fit. The site works just like WikiPedia:
See: http://www.itsdoc.org/tiki/tiki-index.php?page=Algorithmic%20Trading
BTW – are there any “no frills” discount brokers that will provide a FIX interface? We are looking at one but the minimum annual commissions are $1200 per year which is very pricy for some of our emerging Java programmers. Surely there must be other good brokers or gateways?
Rick Labs