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8314853 No.8314853 [Reply] [Original]

Algo trader here. Current job: sell side algo trading

Next job: running my own algo/quant strategy trading crypto.

AMA: re finance/banking/trading/quant/risk

>> No.8314881

what do you think about linear regression

>> No.8314884

I have 1300 bucks in crypto, how do I swing trade my way to 10k?

>> No.8314905

>>8314881
what about it? it's a technique learnt during first year comp sci / stats / finance etc

>> No.8314913

>>8314853
how does smegma taste like?

>> No.8314920

>>8314884
don't gamble. real money is made finding an edge and exploiting it. while i haven't got the data, i guess the majority of those trying this will ultimately lose.

>> No.8314974

>>8314920
Yeah your right, so if I have just 1300 cash, how would you flip it to 10k in any discipline?

>> No.8315045

how does your algo work?

>> No.8315073

>>8314974
you will need to get really lucky if you want to do this quickly.

trading is like poker. you can only win big for a short time before someone calls your bluff.

>> No.8315090

>>8314853
What did you study to get into this job? Are you coming from the finance/business side or from the maths/compsci field?

>> No.8315102

>>8315045
write code to buy low sell high

>> No.8315119

>>8314853
Do you deal with HF trading? Is it an integral part of algo trading?

>> No.8315139

>>8315090
maths. studied a mix of pure / applied. my university was / is quite theoretical and so i learn to code only during research and once i started 9-5 work.

>> No.8315181

>>8314853
avg % a day?

>> No.8315201

>>8315119
I presume you mean hft shops like optiver, virtu, kcg, imc etc. banks can't and dont compete in this field here in euroland. not sure about usa/asia.

kinda. there is sub millisecond requirements but they're typically not risk on like they are for the groups mentioned above.

>> No.8315227

>>8315181
enough to entice smart money

>> No.8315255

>>8315227
When they say fake it till you make it, they probably don't mean larping on anonymous imageboards.

>> No.8315270

Taking interns? I'd work for free just to learn

>> No.8315331

>>8314853
for trading/financial models, what do you think is smarter to learn? Python or R?

>> No.8315341

>>8315270
yes. but not from here. just go ask to meet trading desks and shout them a coffee (and do not work for the desks that don't offer to pay for you).

>>8315255
thanks for your enlightening presence here

>> No.8315361

>>8315331
i would suggest either. if you want to be valuable on the engineering/production side java / c++ will be useful too

>> No.8315409

>>8315341
>just go ask to meet trading desks and shout them a coffee
firm handshake tier advice

>>8315331
>Python or R?
Apples and oranges

>>8315361
>java / c++
Apples and oranges

Great thread keep it up OP

>> No.8315425

>>8315341
So you run your own fund? Assume its long/short? Wasnt clear if you do crypto only or other securities. Indication of AUM? And... indication of fund % irr last year ;) . Sell-side IBD here.

>> No.8315450

>>8315409
so apples or oranges?

>> No.8315460

>>8315425
Oops just re-read - sellside. US BB bank?

>> No.8315465

>>8315341
How much math do I need to know if I'm looking for an internship? I'm a programmer but I'm a brainlet in math. But algo trading is really interesting. Also how would I go about finding a trading desk that trades crypto?

>> No.8315507

>>8315465
On the sell side... refer to OP who will know more but think you might struggle... also how can you do programming but be Math brainlet? Math is pretty important for anythign in finance. Indeed, almsot every intership application at a bank requiress a numerical reasoning test, so suggest you focus on boosting that.

>> No.8315513

OP how many bittcorn do I need to make it?

>> No.8315514

>hey guys, cfo of a Fortune 500 company here. We are about to buy a ton of bitcoin and start a mining operation. AMA!

>> No.8315549

>>8315507
Not a total brainlet but get C's in my math courses. Pretty much a bit below average when it comes to math.

>> No.8315626

>>8315450
For your needs: R easymode, Python hardmode, but you'll learn a programming language that's useful beyond math/statistics. If you'll end up wanting to implement your model in the real world, knowing Python will let you alter existing bots like Zenbot(crypto) that's written in Python.

>> No.8315743

>>8315460
>>8315425
to be honest - self funded. through contacts funding/scale isnt an issue, but for the moment it's just a baby. average is astronomical compared to anything we're doing in a day jobs =]

euro bank here. question for you: do you enjoy what you're doing + banking in u.s? i dont see too much a future sell side...

>>8315465
i'm biased. i did math, and i like those that also did math. i also realise i'm not the best programmer, and so i feel like we're 'a man down' when a programmer isn't around. if you're deep already in programming you'll be valuable. as to finding desks that trade crypto? i only know of 1 or 2 and it's very quiet (deliberately i suppose).

i keep my work and my own crypto completely seperate.

>> No.8315791

>>8315626
any resources on beginning learning? complete coding brainlet

>> No.8315869

>>8315791
there are many. a quick google "python/r for finance" should yield a lot.

>> No.8315909
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8315909

>>8315626
>Python hardmode
>ever

>> No.8315935

>>8315626
python is a good all round choice.

i would suggest not using any existing bots/libraries unless you know what they're doing.

>> No.8315973

What type of strategy do you use during downtrends?

>> No.8315993

>>8315909
Compared to R for "trading/financial models" it is

>> No.8316028

Can you NOT tell brainlets about algos? Thanks

>> No.8316199

>>8315973
strategies that don't depend on the price relative to fiat

>> No.8316227

>>8316028
why?

>> No.8316316

>>8316199

That's vague

I'm working with a simple bot and was just looking for ideas besides sell and wait

>> No.8316761
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8316761

>>8314853
Do cryptos you trade have particular requirements? (e.g. you only trade low/high mcaps, volume has to be sufficient, etc.)

>> No.8316957

>>8316761
yes! you'll need enough depth in the market if you want to trade volume.

there is a lot of suspicious activity in crypto space - the recent medium post (don't have link handy) showing the chinese volume / wash trading hapenning.

pick your battles

>> No.8317229

Do you know of any mainstream institutions / hedge funds doing algo trading on crypto?
I feel like they could absolutely crush the opposition, for a while at least.

>> No.8317273

What is bitcoin going to do next?

>> No.8318062

>>8314853
what sorts of returns are you getting, and seeing as it's arbitrage based (statistical arbitrage based, by the sounds of it), do you believe you'll realistically be able to maintain that level of performance as time goes on?

>> No.8318507

>>8315102
>>8316199
So is your strategy directional and not non directional market making, or is your strategy spreads?

>> No.8318652

>>8318507
I'm this anon >>8318062

quantitative approaches aren't usually about any sort of market making, that gets more into high frequency trading

they're often more based around looking for extremely strong relationships, monitoring for any deviations from that relationship, and then taking positions to profit from the return to a normal state for that strong relationship

look into things like pairs trading/statistical arbitrage, and congregation (example for bitcoin:https://megatrader.org/en/poleznaja-informacija-en/19-bitcoin-statistical-arbitrage))

where speed becomes an important factor in quantitative approaches is that other humans eventually find out about the same relationship, and it becomes extremely self-fulling (because everyone ends up doing it), other people will eventually find ways to profit off of the self-fulfilment faster than you - and so the edge inevitably fades away

like all arbitrage opportunities, it's a race to the bottom, given enough time

>> No.8318671

>>8318652
>congregation
*cointegration

>> No.8318724

>>8314853
Have you ever tried evaluating risks for crypto using VaR? Have you tried operating portfolios?
What can you suggest studying in terms of maths (Markov chains... or anything deeper)

>> No.8319200

>>8314853
why do you apply anything more complex than symbolic algebra and linear algebra to the simple subset of information: bid/ask volume open buy/sell, and the order book? isn't that all it would take?

what language do you use? what's your typical gains? how much historical data do you feel is important? do you take into account relationships between all coins, or just a few?

>> No.8320093

>>8318724

How would value at risk calculations benefit a self-funded trader? Isn't the only purpose of VaR to determine whether you have sufficient capital reserves in place to cover losses? If you're self funded it never comes into question.

>> No.8320162

>>8314853
Great thread, thanks for posting. Wish you'd take my email to discuss interning but I don't blame you for not wanting folks from here...they are mostly poison. I'm still not sure if the amount of learning from here is worth it compared to the oh-so-hated Reddit.

Anyways, I studied math, programming, and engineering in college -- I think I have a good technical background for this kind of thing, but I am sadly lacking on the "trading" side of what a bot would do.

Could you link me to some reputable sources that you think do a great job of discussing trading indicators? Specifically, the trading indicators that you yourself use in your bots. There is so much misinformation and quackery out there in the TA realm that I don't know where to turn.

I'd definitely have to get up to speed with the relevant Python libraries and whatnot but the trading side is nearly a blank slate to me. I've learned a good deal about personal finance since being out of college, and I've learned a lot about market basics from crypto and stocks. But when it comes to deeper trading patterns, reliable indicators, and the true economic "science" to a bot I'm lost.

Cheers, and thanks for posting

>> No.8320171

Credit Suisse, UBS, BNP, Deutsche
Who are you and what is your ADV%?

>> No.8320456
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8320456

>>8320162
second this, I'm 90%of the way there but the last 10% takes the longest. Essentially, you don't know what you don't know and short of guessing, paying larping masterminds, or mining the whole internet for answers, some non-larp direction would be great.

>> No.8320481

>>8320093
it's me again>>8318652

this is a good thread, but seems OP left :(

I believe what you're referring to is "Value at Risk", right?

that other anon is talking about something known as Vector Autoregression, it's something different

>> No.8320628

>>8320456
Sigh. Hopefully OP comes back

>> No.8320997

>>8320628
obviously i can't know exactly what OP's talking about, and you are unlikely to be revealed an edge from someone else

but if you look at the comment made here >>8315201
>kinda. there is sub millisecond requirements but they're typically not risk on like they are for the groups mentioned above.

OP seems to be playing statistical arbitrage on very small timescales, faster than humans can pick up on