巴打 我對algo trading幾有興趣, 應該點開始?
大學讀過基本Python, major Finance 依加讀緊網上Udemy既 Python for Financial Analysis and Algorithmic Trading

首先,AlgoTrading , PropQuantTrade 係好唔同。好多人都以為係一樣。
AlgoTrading mainly means using algothrim to help facilitate trading orders. I.e. Vwap Twap Iceberg 之類。賺嘅錢係睇吓你 execution cost 個slippage. 跟住就係charge client 的commission. 所有order都係initiated by clients.
PropQuantTrade 就自由啲。即係啲人所講嘅Blackbox trading. All orders are generated by the strategy ( we don’t call this algorithm ). 賺嘅錢係你嘅PNL.
回歸正題,AlgoTrading ML 嘅 input 係clients orders details and time stamp , output 係 cost saving.
因為clients orders 都好有pattern , 無乜noise , ML 可以設計出一款可以減低成本嘅execution algorithm.
PropTrade 就難一啲。Input 係market data , output 係 pnl. ML 要設計一款strategy maximize pnl and sharpe.
We can discuss more if you are interested in trading; I try to share as much as I could.