[Coding_Cat]

Would you happen to know some good reads (either on- or off-line) for someone interested in computer trading with a technical background (currently doing a Msc. In Computational Science != Computer Science)?

I have been interested in doing a bit of electronic trading as a hobby (and hopefully a small profit, but I know better than to hope for now) and possibly a back-up career path. But while I've found enough information about trading in general I found it rather hard to find anything dealing with automated trading specifically beyond very simple models.

[walterbell]

Try this blog and book, a rare mix of practical code and market analysis, http://qoppac.blogspot.com/p/systematic-trading-start-here.h...

[Coding_Cat]

Thanks, seems to be some useful stuff in there.

[SEJeff]

Unfortunately I'm not a great person to ask about that. It is a bit ironic, but I keep my head out of finance and don't much care for it. Now the technical problems presented in a low latency financial environment... Absolutely fascinating to me.

[Coding_Cat]

Ha, yeah. My own approach has also been to mostly keep out of finance myself, but lacking a team of geniusses I have to do the whole 'stack' myself. I tried some demo-forex trading manually, just to test the waters, and while it worked quite frankly after just a week or two it just became busywork.

But now the translation from data->model->strategy that's something else, and highly relevant to my interests (the quant+technical side). But it seems like most traders don't much care for the technical side (nor brokers with their lack of api). Either that or the smart ones know to not make their fancy modeling and tricks public :P.