Algorithmic trading (need advice)

Hi all, I am a computer science student at university college of london and I am very interested in the interaction of technology and trading… I plan to develop an algorithmic trading program to beat the market, as my thesis.

Does anyone have any advice on where I can start my journey? I have questions in my mind such as… how much math is involved in predicting the movements of the market? what outside factors are there and how can their effect on the market be quantified. I would greatly appreciate some advice!
Thanks :slight_smile:

Google MetaTrader4. It is a trading platform that comes with it’s own built in language. Then you can find some trading strategies to “beat the market” and program them in.

That wouldn’t help as I want to develop my own program rather than program strategies into another program. The reason is that I need to cover all knowledge gained from my course and that includes a lot more than just programming strategies… theres a lot of computational complexity analysis, programming (java/c++), statistical analysis, etc etc… kinda long winded hehe.

Try to find a broker that has their own api. I am sure there are many if you search. Then you can use any language you like.

Would it be very difficult for me to develop my own program from scratch?

I don’t see why it would. Just learn the brokers api library.
If you have to program indicators from scratch just learn the formulas for those indicators through searching. You might need historical price data to feed these formulas. Maybe the brokers api can give these. If not, you may have to pay some firm for the historical data. I haven’t seen these offered for free anywhere.

Aha and what about the trading itself? Can there be a mathematical approach to ‘beating the market’ or is there a lot of speculation involved? Im not trying to make a program that makes millions, just one that can use a clear mathematical approach to sustain even very small proffits.

What is the current value of a currency based on? How does the historical data have an effect? And moreover, can I not just feed in the data from somewhere else?

You seem to be a great programmer but need to learn the markets. You can first start here at the Babypips school. You may write a program that uses the formulas from known indicators or make your own custom formulas and indicators. Looking to make that one indicator or system that can always beat the market is biting off more than you can chew. Your goal is to do well with your professor. If so, you are well on your way. If your goal is to find the holy grail of automated systems, well get in line:D

Good luck with your research.

Here’s an article on someone who “beat the market” with his own program which was based on a neural network.

News - Automated Trading Championship 2007

Hope that helps a bit :slight_smile:

Thanks for the article Sweet Pip. It was a nice read.

I am having a problem with a so called neural network vs. binary system. I guess a neural network can be compared to ai like they try to develop in robots at MIT. I don’t think any software can go beyond formulas and reactions to the calculations of the programmer. A binary might be considered only one set or a few parameters vs. a very complex system of parameters in a neural network. Either way the software is just doing the calculation fed by data and making a decision. No matter what you call it, it is all the same.

After years and years of research at MIT in ai, all they have to show is a robot doing a slinky trick. Did the robot learn this or was it programmed in?