巴打 我對algo trading幾有興趣, 應該點開始?![]()
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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.
睇完你講嘅再上網做左少少research大概清楚兩個嘅分別
如果想自學應該從邊方面入手trading呢樣嘢?![]()
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因為放緊假有三個月時間
試下玩FX. 容易攞Data. 如果玩Techical Analysis,可以容合下CNN 試下睇圖。我都未試過,因為我認為唔會賺錢。但係,當一個project咁做,應該會學到好多野。
仲有,如果想全職做QuantTrade, 比三個月自己,學kdb+. 學完之後,你會發覺所有其他program都好似慢左。。。因為你己經好快。joke aside. Ask me anything about kdb+. It’s tough language to learn but it will earn you another way of problem solving skill. Also 大行會比多啲價如果你kdb+勁。
q 真係好快,ching kx 出黎?