Automated Trading

In my old blog, Digital Breakfast, I posted a few times about my desire to build an Automated Trading System (ATS) using Excel. I figured I’d build it in Excel since I know that software the best and conveniently enough, Interactive Brokers offers an API for Excel. Today, I located my old real time ETF Trend Signal system, which is based on statistical performance measures to generate trend signals, and decided to begin additional back end development on it.
I want to explore some ideas I learned over the past few days from C++ Trader and Christian about option neutral trading and even asset mispricings (arbitrage). The more I think about it, what I really want to do is to build an algorithmic trading system first and then an automated trading system. So step one, build an ATS and then step two, build an ATS. 🙂
Update I finally cobbled together an automated trading robot for Forex, not for stocks. It took me 13 years, learning some Python, finding an API, and then building on top of other people’s work. Mind you, this is just a Proof of Concept (POC) robot but I’ve learned a few things over the years.
First, I don’t do active investing anymore except for the occasional Forex trade. I have like a mad money account so when I feel like being a ‘big bad trader daddy’ I make a few trades. For me passive investing is where I make the sick money. An automated trading bot would be the antithesis of my current investing style.
Second, the title of this post was ‘Algorithmic Trading’ which wasn’t what I had in mind as the original topic of the post. As I was learning the ropes of Data Science, Machine Learning and Trading, I often used the wrong definitions and I cringe when I read through my archives.
What I wanted to share was my intent on building an automated trading system or robot. Algorithmic trading is just a subset of that. Automated trading can encompass many differnet algorithms or strategies. From simple trend following, to mean reversion ones, arbitrage, and whatever you can dream up.
Third, coding in python is it’s own reward. It’s a good skill to have and while it’s not fast like C++ it’s a great language for business applications.