Reddit reviews Algorithmic Trading and DMA: An introduction to direct access trading strategies

> Can you recommend any books on coding quant strategies?

http://www.quantstart.com/articles/quantitative-finance-reading-list

Favorites I've read so far:

• Inside the Black Box (if you're totally new to the concept)
  
  
• Quantitative Trading (the second book, Algorithmic trading goes deeper into implementing strategies, also good)
  
  
• Trading Systems (a GREAT book on implementation and the process of testing a strategy)
  
  
• Active Portfolio Management (Kind of a classic, more theory than implementation, requires some fundamental understanding of MPT, CAPM and related concepts. Good chapter on multi-factor risk models)
  
  Also
  
  
• Algorithmic Trading and DMA (Still on my bookshelf, haven't gotten around to reading it yet, but it's supposed to be the book on market microstructure, so if you'er interested in HFT or level-2 algos, this is a good starting point)
  
  Edit: Be prepared to spend about 3 months just randomly browsing Investopedia to crack through all the jargon :)
  
  Also, these guys have some pretty rockin' videos on on everything finance, from "WTF is an ETF?" to "WTF is a European Call Option?" to "How do I manage my pension?", especially useful if you're in the UK. The videos helped me a lot when I was getting started at my current job.
  
  https://www.youtube.com/user/MoneyWeekVideos/videos

Learn as much as you can about FIX.

There are some books that might be worth checking out, as well.

All that being said, focus on being a good programmer first and foremost. If you can show that you have researched stuff like FIX, exchange connectivity etc, that shows passion, and that's what gets you the job.

If you really want to learn about HFT and current US market structure, I would start by reading:

1. the SEC Concept Release on Equity Market Structure (Jan 21, 2010),
   
2. the SEC Equity Market Structure Literature Review Part II: High Frequency Trading (Mar 18, 2014)
   
   All of the papers reviewed in #2 can be found at http://papers.ssrn.com/
   
   I would also highly recommend:
   
   
3. Trading and Exchanges: Market Microstructure for Practitioners by Harris
   
   
4. Algorithmic Trading and DMA: An introduction to direct access trading strategies by Johnson
   
   When reading any type of material remember how to critically evaluate information sources.
   
   

Not sure if this book covers all of your requests, but surely a good place to start.

Algorithmic Trading and DMA: An introduction to direct access trading strategies https://www.amazon.com/dp/0956399207/ref=cm_sw_r_cp_api_i_r4TBCb4THD9C8

Algorithmic Trading: Winning Strategies and Their Rationale by Ernie Chan
Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris
Algorithmic Trading and DMA: An introduction to direct access trading strategies by Barry Johnson

https://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

Main problem with that is that it's kinda dated. The market's changed somewhat and newer execution algos are more sophisticated.

Take a look at Algorithmic trading and DMA which is an OK overview book of both the technical (high level) and strategy sides. It's not great but I'm not aware of any better book out there.

This book is language agnostic, but contains most if not all of the fundamentals for understanding and building algorithmic trading systems:

https://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

Personally I just search for papers. There are lots of good academic papers on market microstructure, specific strategies, I just had some pulled up too but I lost them, if I find any I'll post them


Just to make sure these are the books that are considered too old, because I still think they have a lot of good information:

Trading and Exchanges

Algorithmic Trading & DMA

The programming languages really depend a lot. If you're looking to work in low-latency, more than likely, you'll want to have pretty much expert knowledge in C++. Many other firms use Java, Python, or Matlab to develop their strategies.

What I've found is knowing either Python or R is really useful as well for those really quick calculations/ideas.

As for math, knowing linear algebra and probability (extends to stochastic calculus) is a must in any case at all. Having a reasonable knowledge in Calculus is also really helpful. Most of the intense math lie in the derivative markets. If you're working with pure equities, you can usually get away with a lesser knowledge of math in favor of better technical skills (i.e. market microstructure).

There's a lot you can read, but to start off, I would say Dan Stephanica's financial engineering book is a must if you're going into derivatives:
http://www.amazon.com/Mathematics-Financial-Engineering-Advanced-Background

If you're looking into DMA, I highly recommend Algorithmic Trading and DMA:
http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

What you'll notice going into the field is that you can't be just an expert in one thing: you need to be well-rounded and an expert in several topics.

Trading and Exchanges

Options, Futures, and Other Derivatives

Option Volatility & Pricing

Option Market Making

Trading Spreads and Seasonals

Algorithmic Trading and DMA

There are more advanced and quantitative resources out there but you will need to wrap your head around these concepts before you go further. I should mention that reading these things won't guarantee to make you a profitable trader but you will "get a better understanding of the field."

Online resources:

Investopedia

Elitetrader (most popular trading forum, lots of posters... mostly bad)

Nuclearphynance (smaller but more advanced community)

http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207 discusses how the computers talk to the market.

After reading Lewis' book, reading different blogs, ordering this book, and grasping for answers here, your reply has answered more questions than all of the above combined. I'm going to look into the information available from the exchanges -- just googling some of the exchange-specific order type names has turned up a wealth of info.

Thanks so much for the reply; I may have more questions later but I should do some reading first.

finance is not super easy to understand, and algo trading was even more difficult, especially at the time, since you needed a thorough knowledge of the exchange and trading landscape that was changing tremendously at the time- the state of the art was being moved with every code push.

Your input is a parent order, market data, and a whole slew of derived marketdata/statistical data. Your output is a bunch of child slice orders, but when exactly do they get sliced out? At what price? How do they react to fills, the market gyrating up and down (making the order marketable or unmarketable). What if one of the say 10 potential parameters on the parameter is changed while the order is out?

Understanding all of the pieces is not so easy. Later books came out on it, but until 2010 (https://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207) this was all very opaque and the only way to learn it was to be in the trenches. The books were generally outdated or at least overly simplistic by the time they came out anyway.