1) Can Algo and HFT apply to ETFs or other type of funds?
2) Do these types of trading always involve rules or filter?
3) Besides price changes, what would these rules most likely be based upon?
Thank you!
Hello Zak,
I've attached the basic example algorithm from the help page. You should be able to clone it, and play around.
ETF's are available, and trading can be down to the minute level (technically not HFT).
Trading involves making buy/sell decisions based on rules/filters (e.g. if a condition is met, then buy).
The "rules" are pretty diverse. Perhaps someone can point Zak to a website that talks about the various types of algorithmic trading strategies?
There is a bit of a learning curve to use Quantopian. I suggesting reading through the entire help and API docs, and then start fiddling. Just post questions to the forum.
Grant
Thank you Grant. I'm not looking to create an algorithm at this time though, I'm simply looking to get a better understanding on how they work. This is helpful, thanks.
Hi Zak,
RadioLab did a great overview of HFT that you might enjoy:
Million Dollar Microsecond
Hello All,
There is some really interesting stuff on HFT here: http://www.nanex.net/FlashCrash/OngoingResearch.html
P.
Also, keep in mind that Quantopian isn't good for testing HFT. We're doing algorithmic trading, but not high-frequency. The fastest you can do here is minutely, and HFT is in the milli- and microsecond.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.