[kylebrown]

> We (I work for Quantopian) will surely support other order types when we support live trading.

I suspect they won't be true limit orders, but stop orders (true limit orders wouldn't slip). Also, for a passive trading algorithm its important to have level II data (the order book), or the algorithm is flying blind.

Re 1, its not the size of the data set which prevents overfitting (larger data sets actually make it more likely), but the use of it when developing/training the algorithm. Repeated testing and tweaking the algorithm will overfit, unless one is careful to maintain the complexity of the algorithm.

Anyway, best of luck to your users! But they should be warned that active trading on signals (price prediction) is the hard way to algorithmic profit. That's why market making and arbitrage is the bread and butter of the pros, not signal trading.[1]

1. said as much here somewhere in the first 20:00 http://www.youtube.com/watch?v=hKcOkWzj0_s

[echion]

In that video the quotes to which I guess you are referring are "[investing] is almost entirely a non-professional role" (08:40), "[Market-making] is a highly professionalized role" (09:13), and "[an arbitrageur is a] highly professional role" (11:22).

I thought the video had something in support of your "price prediction is the hard way to algorithmic profit" statement, but I can't find anything very explicitly in support of that (what I thought was your implication). He kind of implies something like that at 15:00 when he says "we have no idea how [price prediction] works [at longer then a few days in the future", but that's not really very strong.

When you said "active trading on signals [...] is the hard way", did you mean active trading at minute-to-day or greater holding periods? That seems a) right :); but b) slightly at odds with your "it's important to have level II data", since I would have thought that is less important at a hourly-to-day or greater holding period.