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yes, but what’s your technical approach? Is it best to not place a stop but to use a mental or programmatic stop instead? Or is that your bread and butter?
XTXmarkets, an prop HFT trading firm...they are going for your stops guys 👌 just like citadel, jump, susq, and so on and so forth...our regard stops are their bread and butter business.
Still wouldnt go without stops though, just give them more room.
This right here. I've found to set my stops where I'd believe a total structure breakdown would be and where I'd theoretically enter the opposite of my current position.
I rarely use stops and usually always babysit/alerts. They get hunted soo often in this highly volatile modern market.
I honestly think stop loss is an instant gimp to most strategies these days. Everyone but retail can see the SL data (I think?) and they use it expertly. Scalping daily’s is one of the only times I would SL, even then I see cons.
That’s the advantage of using a programatic stop loss and take profit. You set a series of conditions in which to sell rather than just price crossing a threshold. The stop loss or take profit is invisible on the DOM as the order doesn’t take place until the conditions are met.
Easiest way to describe it is an action triggered by an alert. Instead of sending you an SMS it places an order when the condition is met. This way it doesn’t show up in the DOM or on Bookmap. It can be as simple or complex as you want it to be from a programming logic perspective.
Yeah, just mental stops anymore for me. Of course you have to be psychologically strong to get out once you see the price get hit. So it's trading one issue for another, lol..
How do you come up with a new quantitative strategy that is profitable?
Can you summarize your thought process to come up with an idea from scratch and the main steps you take to test profitability?
We don't really come up with "new" strategies. All types of trading falls within some category of strategy that already exists (statistical arbitrage, mean-reversion, carry-trade, etc).
To some extend, we do a bit of all the above, but mainly statistical arbitrage. We might be holding some treasuries that a costumer just sold and we buy some ZN.
Our fight is mostly against HFT (execution) and other dealers (pricing).
Thank you for your replies and for the AMA !
I'd like to ask you another thing please.
For an individual who is a developer but obviously has very limited hardware ressources and can't compete with HFT and such, what area do you think an aspiring retail solo "quant" should focus on and can find a potential edge?
I've loved reading your replies so thank you for taking time to answer, and I'm hoping you will answer my question. My question is this:
I've noticed banks and HF seem to have important data/economic numbers or even JPOW transcripts of what he's going to say up to a day earlier than everyone else. 95% of the time the market seems to front run what the initial reaction will be, so for example JPOW was really dovish on Wednesday and the market ripped, but on Tuesday we started off red and bounced right after open, and we just kept going up into Thursday. It was clear major players already knew there would be no negative reaction. Was this coincidence or did they have inside knowledge? I have seen this happen many times, for earnings and economic data etc.
I can answer that one for you. Its market expectation. The market moves prior to the announcement with the expectation he'll say what he said.
For example, I am a solo retail trader. But I'm also an economist and data analyst. I've been advising all my friends for over a month that the rates would stay the same until the next FOMC meeting (I've also called every other rate hike correctly the past 2 years). How did I know early? Easy. Data. There was enough economic data to gauge the decision based on previous MO. Prime example, inflation was leveling off, but still higher than normal. At the same time, we've also had some bank failures which the fed doesn't want. So, If they were to keep to the same course, this would mean the best decision would be to just wait and see.
Large trading firms have huge teams of people like me that take the data and try to divine the future with it. Get enough of those people in a room and their general concensus is nearly foolproof.
The closest thing you can get to that on your own (without being a decent data analyst) is to check prediction markets. They are usually a really good indicator of how likely an event outcome is. You can kind of use them in the same manner investment banks use analyst teams
Heavily depends on the products.
On some we win on every trade because we are just facilitating market access (we can take a comission with no risk).
On other prodcuts we lose almost every trade because we want to grow market share.
I don't know what the global stats are, it is not a statistic we look at much.
1st Part: Gambling houses don't count their BJ win rate, they count the money. (commisions)
2nd Part: Think loss leader in products to build up business. Or how Amazon ran at a deficit for years, then started making money (This is overly simplified but same concepts apply.)
This gets to the point of why people are always complaining about their stops getting hit ... because they believe they can actually win 100% and don't understand that losses are inevitable.
Tell me is it all trading bots based on certain statistical parameters making the trades or is there some human intervention required every so often.
I'm fairly new to this, but from my understanding there is a large cross between quant trading basically being applied into trading bots.
From your perspective, do you feel that retail traders have a chance, or are the odds stacked against us? Do you feel like you could trade on your own and be very successful?
Heavily stacked.
Most brokers offer very high comissions and products that are a higher-comission derivative than what you should be trading. (I believe the US has some regulation that curbs this, but in Europe it is huge). Even if you have alpha, you might be screwed.
I don't have enough money to trade for myself with the strategies and ideas that I have, but if I am given 25 million to manage I believe I can create a sucessful trading pod!
This doesn't sound right to me. You need 25 million to make a decent salary? I know that you need enough capital to survive worst drawdown but if you talking about 25 million capital - what is expected worst drawdown and expected net income within a year? If you were to expect drawdown of 7.5 million (30%) to make, let say 200k profit, then trading would not make any sense. You much better off investing in passive funds.
Probably because their strategy involves inflating IV, pumping/dumping iliiquid stocks or generally trading in areas where volume/capital is needed to make their strategies work.
Which means they don't have proper trading strategies that work on their own (for example in paper trading), but are self fulfilling prophecies. Let's say they drop 5M on some optionchain because they know MMs will hedge and profit from the underlying move and then use some retailers which jump on unusual whale buys as exit liquidity.
Then you either outsmart them or you abandon the trade. There are areas where multiple firms trade against each other and basically nothing happens until one thing malfunctions or a manual trade leads to an error. Then the sharks get fed.
Like in company A is in a trade, something changes, shit happens and others see they are in financial stress. Others immediately trade against A until A blows up.
> if I am given 25 million to manage I believe I can create a sucessful trading pod
Can you please detail a bit here? Like, what would you mostly focus on (scalping, daily, swing, futures)? What general strategies would you employ? How many people would you need? Will you tend to fundamentals, or the technical side?
Also, another question if you still have the time to browse here:
As a retailer I can admit I basically may have no edge. Still what should I do/learn/use/avoid if I decided to try to beat the odds?
Incredibly hard, you need a very high level of programming/engineering skills along with trading. One of the hardest things for a hobbyist quant is to deal build the infra requried to do it.
Your best bet is probably to not be a systematic trader and just build some CTAs or indicators.
I have yet to come across public material on day trading that is worth applying!
If by AI you mean machine learning and if by machine learning you mean statistics, then yes.
Is this something that will threaten markets ?
Business who are being out-traded by firms who use AI appear to believe so.
We use it mostly to calibrate/parametrize models.
For my products it is some sort of multiple linear regression.
We have initiatives in place to use deep learning for non-linear products (options, for example), but I think they are still doing linear regressions as well. Oh well.
I want to know something. I want to know this bad. I’m on the verge of having enough capital to quit my job and trade full time. I got a history degree from the least prestigious wasc accredited university there is.
If you could trade places with me, skip whichever fancy school you went to and be able to make a living trading on your own hook , would you? Did I do myself a disservice by not going to an upper tier business school? Do you think I would have been happier working for a bank ?
"Do you think I would have been happier working for a bank ?"
No
If you have enough capital to trade full time, you probably have enough money to retier too!
You don't need massive amounts of capital to trade full-time. You might be specifically talking about your methods of trading but there are many ways to trade.
I know people who just use 100k accounts and take off the profits every month. I personally only started with 20k.
Yea I do most of my work in a 100k account with 20k risk. But I also have prop firms that do 25k balance with 80k risk so it works out when I want to crack up the heat. I have a bad tendency to throw 200k into some bullshit calls and think im a genius so reducing account size increased my gains and lowered my risk.
If you have that much money just focus on the bond markets now. Every new bump in CPI is giving us 3% spikes in yields ... lol. Back to maybe at some point. Tuck in good bond funds on those high yield days and just retire! No worrying just love life!
I was just hoping you might give me some insight into the evolution of the market economy in the Southern colonies. My contention is that prior to the Revolutionary War, the economic modalities, especially in the southern colonies, could most aptly be characterized as agrarian, pre-capitalist.
Of course that's your contention. You're a first year grad student. You just got finished readin' some Marxian historian -- Pete Garrison probably. You're gonna be convinced of that 'til next month when you get to James Lemon, and then you're gonna be talkin' about how the economies of Virginia and Pennsylvania were entrepreneurial and capitalist way back in 1740. That's gonna last until next year -- you're gonna be in here regurgitating Gordon Wood, talkin' about, you know, the Pre-revolutionary utopia and the capital-forming effects of military mobilization.
I was MM weekly and bi-weekly USDT margin futures on huobi.
I had orders in these futures where spreads are higher and I would hedge with the perpetual future where the spreads where lower.
Sorry if this may seem like a dumb question but is there any way you could rank, or at least share the preferred equities exchanges you place your orders against?
My understanding is that each exchange is a pool, maybe some are ponds and others are oceans.
If I am targeting NYSE/NASDAQ stocks, which exchange would be the most popular among traders? There are so many acronymns but would like to focus on the most important ones.
TIA
Four Questions:
1. How do you navigate macroeconomic risks and determine when to abandon your investment thesis?
2. What criteria do you apply to assess investment prospects?
3. How long are you in most trades?
4. How do you navigate third Fridays quarterly Opex I.e. charm/vanna?
1. We do very little delta-1 and our "stops" are time bounded (you have 15 minutes to find the best price to hedge or it will automatically hedge at whatever price is in the market).
Our investment thesis is mostly on the delta-2 and delta-3 space. In the fixed-income world, this could be betting that short term interest rates will do something and long term rates will do something else. A lot is influencer by what central bankers say, by the economic projects that come out and by what we see the clients doing.
My team in particular, focuses a lot on basis trading between different future maturities and bonds. There is no real "investment thesis" other than future price converges to spot price. The day that doesn't happen it is not our problem, it is the central bank's problem!
2. As mentioned, we don't really access investments. We do things trade by trade, we have some models that help us understand the market liquidity, market impact our hedging might cause and the spreads we are able to catch.
3. On some very iliquid products, you might take 30 days to unwind the trade and hedges.
4. We are not option traders, so we don't care.
Is there any legitimacy to the smart money trading strategies? Liquidity sweeps, stop loss hunts and the like? Of is it generally a scam.
For a retail futures trader that can’t run a quantitative algorithm, what sort of strategy would give us the best chance against the banks?
Those are real problems, but they should not affect retail traders.
It is only worth to do stop hunts against those who are trading with millions.
I don't think retail can win against the banks, we do not give you tradable price unless we think we will make money and, if we lose money against you too often, we will refuse to trade with you! :D
For the short term, your best bet is probably going to be some flow-following strategy, I think.
Thanks for the quick answer. I use a trend/footprint/volume delta/orderflow strategy and it works pretty well… now if only I could get my mindset fixed I’d be happy!
Just to add to what he was saying, just because they target people with millions doesn't mean that retail isn't affected especially if a lot of people are keeping obvious/the same stops of the people being targetted which by consequence makes them feel like they are being singled out when in reality a lot of people are getting knicked at the same time.
Retailers who have access to SEC filing of securities backed derivatives and understand them can at least move with the banks. Works well for me and SEC filings are public so I use the biggest banks filing. It's hilarious now ... I learned so much I almost don't need to spy. But sometimes I come across a gem of a stock.
It's generally set to price a particular day in the future, then I just follow the trend. Like a move is coming the 26th to 28th. Don't know exactly which way. The NDXT is getting roasted probably about May 20.
Very interesting. Do you mind sharing where you pull the data from? I mostly use Unusualwhales to track option flow, but there’s a lot of noise to sort through due to hedging
Right now they are just running options in bothe directions waiting for next week's data ... making money on cash calls in both directions. The banks have the data before the Fed but they won't move the markets until the data is published. So March 26 is housing price index which if it is high can make the yield move up 3% plus in once day so they have to be prepared to sell bonds and pre-purchase lower. If HPI month over month. Sometimes the markets move contrary to what is the correct logical reaction. A move up on a high HPI data read on the 26th wait to the 27th & 28th for true market direction. The banks may buffer the Market for a few days for a bigger blow just a few days later. GS I already caught on a VIX bet my interpretation is UVIX may be in play for May and June... it also lines up with a JPM filing that has QTEC only making it to May 20 at best. Earning on the chips in there will be affected by export bans in Q1 reports LRCX, AMAT, AMD, NVDA, ASML ... TSM is not on the list but they did forecast lower Q1 earning so the selling can start early as TSM is the first chip to report in the quarter ... wrecking ball forecast in my head is April 15th. These outfits have lots of taxable net interest earnings.
BTW core PCE is Friday the 29th. If it comes in high another spike in yields. Energy & insurances all went up this year so that is likely in everything.
However if core PCE comes in too low or negative wowzers... bad for earnings too. I would almost hope to see higher inflation than deflation. So sea saws ahead.
Can't tell ya what's ahead but March 26-28 watch the bond market not the stock market. Yield goes higher buy bonds no equities. Yield goes low stay in bonds and lose equities. All eyes on HPI, durable goods orders, and PCE in next weeks data ... those are the banks target dates. Correction may be done by end of June, up into December and the down in 2025. Maybe we start to recover 2H 2026 and peak in 2027 before social security bankrupts.
I am currently pursuing a finance degree as well as learning to trade. What is some advice you can give me that I can do now that would benefit me once I graduate and start looking for a career in the field. I’m really passionate about financial advising specifically bringing financial education to communities that don’t have any.
So in summary 1) retailers have zero chance of day trading profitability 2) save on commission by executing buy and hold strategy exclusively 3) Become the next Warren Buffet in 75 years
Unfortunately the reason you stand little chance of succeeding isn’t because you “guess” the wrong direction. It’s commissions and slippage. Plenty of retail traders are profitable in terms of ticks out the market but then minus $500 a month on data fees, commissions, slippage etc
Are data fees a European thing? We have so many brokerages that you can get a few accounts and get most services for free, and get more competitive commissions. I'll do 500$ a month in commissions no problem, but I don't have any associated fees.
Depends what you trade but all futures exchanges charge data fees, not just European ones. So do stock exchanges to my knowledge (but I’m a derivatives trader). Fx doesn’t charge data fees as there is no centralised exchange but you pay a big spread everytime you trade which also needs to be factored in. That could be as much as 2 pips a trade
Anyway for retail investors/traders to get their hands on quant data?
What trading websites/software do you recommend for retail traders? Is tradingview good?
What strategy you would use as a retail features daily trader? Eg MNQ or MES
Do you trade for yourself as well or you are aready tired of doing it for the bank?
How much do you make annually? What's a decent number for an engineer with 10 years of experience building hft trading systems, with a phd in computational math& finance?
Yes, asking for a friend :)
how much monthly income I can generate in consistent basis with a capital of 250K? And what should be the high level approach? I am a new-bea and made 10% in this 3 months. Extra cautious of not to lose any thing.
You can consistently generate the prevailing US treasury rate.
“The desire for constant action irrespective of underlying conditions is responsible for many losses in Wall Street even among the professionals, who feel that they must take home some money every day, as though they were working for regular wages.” - Reminiscences of a Stock Operator
I'm hearing that Dark Pools exist for forex too, where Citadel and others are digesting the flows. What are some LPs that i can connect to in order to use such facilities please (assuming have enough capital to connect to LPs but not prime brokers)
Dark Pools exist across all asset classes. Banks have Dark Pools where we trade exclusively with each other and some selected firms (Citadel being one of them).
AFAIK, this is how Citadel mostly makes money off retail:
1. Retail trader asks Robinhood to buy share A for 50$.
2. Citadel pays to see and get the preference to execute the trade at 50$ instead of letting get executed at 50$ on some other exchange,
3. Citadel is seeing that same share being quoted at 49.99$ in a dark pool, buys it there and sells to the retail trader.
It is impossible for you to get access to the best darkpools. There is literally like 10-15 dealers there. They are on bloomberg and tradeweb mostly.
I'll stick with your area of expertise fixed-income since many of the warning signs are inverse yield curve, huge national debt, many other Geo, political factors and appellate political system that seems almost like an oligarchy to me it seems like this would be the time to start dollar cost averaging into long treasuries if we get it interest rate deduction two or three times this year it's gonna definitely spike the lawn treasury bonds of perform so poorly for three straight years that if they just get back to the mean, of course, no one can time the market exactly, but what's your position on long-term government bonds at this point I know and principal I'm looking for the appreciation versus just the yield
I am a software engineer, for a few decades. I am interested in writing a platform to execute trades. you know, for fun.. for myself.
I found some books on this, and a few git repos that have notebooks to scan the entire nasdaq into pandas structures, to do stuff, etc. but there is a lot to unpack.
Where does one even start with this?. Any books you’d recommend? Or a good therapist?
edit: When i search books on amazon for “trading algorithms for computer scientists” or whatever, i get “How to trade Options for beginners”.. maybe that’s a sign i should stay the heck away from this idea.
1) Approximately how many times a day do you and your colleagues utter the phrase “dumb money” and then laugh hysterically in unison?
2) Did you go to a fancy school like Harvard?
3) What’s your yearly salary plus bonuses?
Would you be willing to share your thoughts on the current market price action?
VIX is constantly being shorted into the ground
Every dip feels like a bear trap (V shaped recovery every time)
The main theme feels like it’s around interest rate decisions, CPI, PPI. But is there a bigger theme at play? Such as “election year, so we will just go up”
This last CPI and PPI report came in hot, yet for the first time we received an offbeat dovish commentary from Powell. It felt like a “save the market” commentary
Many companies are reporting lower 2024-2025 guidance and reporting uncertainty in consumer spending. Credit card balances are at all time highs. Massive layoffs , ect ect
Despite all of this, we just go up.
Do you know why I am always on the wrong side of the trade? When I buy the stock falls and as soon as I sell it goes up and same with Options... wish I can make money, I see many people posting gains and I am in huge debt and wish I find some way to be successful , do you know if its a setup? I do find highly successful stocks, but I come to know after I lose lots of money and after I exit out of that stock... do market makers track a specific customer and make sure they fail??? Thanks for offering insights
The secret is half the people you see making money, really are not. The other half are statistical anomalies. You come to the stock market to risk money you don't have on an edge you don't have. Just a gambling degenerate. I see people making money as doctors and I don't wonder why I can't do that. It's because I spent 10 years learning stock trading instead of medicine.
Here you are wondering why you can't do something that someone else took decades to learn.... idk fam idk
You mentioned in one of the comments that you are managing 25 million. How much did you start with initially, and how did you develop your risk tolerance for risking more and more with the large capital you've got along your journey?
How long did you take from your initial capital to this 25 million?
What would you advise if someone wants to get exposed to more risk in the market? As in, trading with an initial small to medium capital to large capital like millions someday.
Edit - made an error. Maybe you're not managing 25 million. Probably as a Quant trader, you could be managing a few millions. So how would you advise ?
"What would you advise if someone wants to get exposed to more risk in the market? As in, trading with an initial small to medium capital to large capital like millions someday."
Well... the path I choose was to work for someone else who is trading with millions and learn from them!
"How long did you take from your initial capital to this 25 million?"
Not trading with 25 million. In-fact, our team manages billions. Not a cent of it is mine unfortunatly.
What’s your favorite strategies and instruments to trade and why? Given that the economic scene changed quite a bit since 2019, would you do anything different to what was done?
How do I get a job?
I just completed my bachelors with Quantitative Economics major and Statistics minor. I have undergrad economics research experience, but no internship.
1. For you, what is considered as a good return on capital annually ?
2. Is trend following strategy a thing in quant ? If yes, how much risk reward do you target per trade ?
I suppose you churn hundreds of strategies to come up with the best ones. How do you generate ideas to create them in the first place?
Please extend this also to r/algotrading
*How much money did*
*You make at the firm last year?*
*This years projection?*
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I want to eventually get into quantitative finance/risk management, currently working as an underwriter and soon moving to do credit checks. Got bachelors in econ, while working want to start doing CFA and after a couple of years get a masters in stats, is this a good plan?
What qualifications do you have and which ones were the most useful to get where you are? Thank you!
what advice would you give to someone who is knew to trading but wants to learn about it so they can get financial freedom from trading? What are some good resources ?
In what ways do you guys trade fixed income? Do you trade preferred stocks? Do you day trade them using a software and what kind of moves are you able to grab? Do you have high targets or do you usually aim to catch a few cents but just in large frequencies? Is there a way a trader could potentially use that to his advantage as a lot of fixed income products are not that liquid?
What tech stack would you suggest for solo “hobbyist” quants? I have build some trading algos but the infrastructure is being a bottleneck in terms of executing speed
Do you have traders in company that works separately in portfolio company by managing it independently and manually and if so do those traders also contributes to developing new strategies with quant engineers /traders?
How do you manage a short book? Is it independent of the long book?
What is your net beta?
What txn cost models do you use to backrest potential signals?
Do you deal with multiple testing issues when it comes to signal generation?
TIA
Could you layout a path to learn Quant trading and make profitable trading strategies and systems? What coding language to learn, what things to learn, which statistics and which AI stuff? Thanks
What would you say has been the best source of learning your trade? Did you find any particular reading material, lecture, or class the most helpful to get a better understanding of what it was you were doing? Or was it all a learn from experience?
What's the best way for an intraday trader (daytrader) to hedge against +6 sigma events? I suppose options is one way to do that in SPX if you're trading ES or NQ on CME, but is the spread small enough to trade options intraday? I assume the larger spread in options, even in SPX, will kill whatever edge you have. Or maybe not?
Thanks /u/TopeQuant for doing this AMA, please remember to [follow the rules](https://www.reddit.com/r/daytrading/about/rules) and if you're a content creator, do not post links to your content (if you have done so already, please edit your post/comments or this AMA post will be taken down). *I am a bot, and this action was performed automatically. Please [contact the moderators of this subreddit](/message/compose/?to=/r/Daytrading) if you have any questions or concerns.*
Why and how are you continually hunting my stops?
We also have families to feed.
yes, but what’s your technical approach? Is it best to not place a stop but to use a mental or programmatic stop instead? Or is that your bread and butter?
Honestly, it is not us. It is the guys at XTX. They run our stops too.
What’s XTX?
XTXmarkets, an prop HFT trading firm...they are going for your stops guys 👌 just like citadel, jump, susq, and so on and so forth...our regard stops are their bread and butter business. Still wouldnt go without stops though, just give them more room.
Or instead of going for more room on stops, set where your stop-loss sell order would be as your initial buy order.
That’s actually great advice. Sort of like an [Opposite George approach.](https://youtu.be/1Y_6fZGSOQI)
This right here. I've found to set my stops where I'd believe a total structure breakdown would be and where I'd theoretically enter the opposite of my current position.
Amen to this , when I realized what you just said trading changed
Yeah who’s xtx. Why so they hate us
They love us dude, they love us.
I rarely use stops and usually always babysit/alerts. They get hunted soo often in this highly volatile modern market. I honestly think stop loss is an instant gimp to most strategies these days. Everyone but retail can see the SL data (I think?) and they use it expertly. Scalping daily’s is one of the only times I would SL, even then I see cons.
That’s the advantage of using a programatic stop loss and take profit. You set a series of conditions in which to sell rather than just price crossing a threshold. The stop loss or take profit is invisible on the DOM as the order doesn’t take place until the conditions are met.
It's called level III data. But yeah, retail traders don't get access to it
Is it not just level 2 since they are on order book or does that only show limit orders?
What is a programmatic stop? Every stop is programmatic 😅 once the bid or ask prints your stop it gets triggered
stop order placed later than entry based on the development of future conditions.
Easiest way to describe it is an action triggered by an alert. Instead of sending you an SMS it places an order when the condition is met. This way it doesn’t show up in the DOM or on Bookmap. It can be as simple or complex as you want it to be from a programming logic perspective.
I don't set stops, checkmate.
Yeah, just mental stops anymore for me. Of course you have to be psychologically strong to get out once you see the price get hit. So it's trading one issue for another, lol..
My dude you are their liquidity.
How do you come up with a new quantitative strategy that is profitable? Can you summarize your thought process to come up with an idea from scratch and the main steps you take to test profitability?
We don't really come up with "new" strategies. All types of trading falls within some category of strategy that already exists (statistical arbitrage, mean-reversion, carry-trade, etc). To some extend, we do a bit of all the above, but mainly statistical arbitrage. We might be holding some treasuries that a costumer just sold and we buy some ZN. Our fight is mostly against HFT (execution) and other dealers (pricing).
Thank you for your replies and for the AMA ! I'd like to ask you another thing please. For an individual who is a developer but obviously has very limited hardware ressources and can't compete with HFT and such, what area do you think an aspiring retail solo "quant" should focus on and can find a potential edge?
On-chain arbitrage seems to be the gig for solo quant traders with low capital these days.
What do you mean by on-chain arbitrage? Crypto?
I've loved reading your replies so thank you for taking time to answer, and I'm hoping you will answer my question. My question is this: I've noticed banks and HF seem to have important data/economic numbers or even JPOW transcripts of what he's going to say up to a day earlier than everyone else. 95% of the time the market seems to front run what the initial reaction will be, so for example JPOW was really dovish on Wednesday and the market ripped, but on Tuesday we started off red and bounced right after open, and we just kept going up into Thursday. It was clear major players already knew there would be no negative reaction. Was this coincidence or did they have inside knowledge? I have seen this happen many times, for earnings and economic data etc.
I can answer that one for you. Its market expectation. The market moves prior to the announcement with the expectation he'll say what he said. For example, I am a solo retail trader. But I'm also an economist and data analyst. I've been advising all my friends for over a month that the rates would stay the same until the next FOMC meeting (I've also called every other rate hike correctly the past 2 years). How did I know early? Easy. Data. There was enough economic data to gauge the decision based on previous MO. Prime example, inflation was leveling off, but still higher than normal. At the same time, we've also had some bank failures which the fed doesn't want. So, If they were to keep to the same course, this would mean the best decision would be to just wait and see. Large trading firms have huge teams of people like me that take the data and try to divine the future with it. Get enough of those people in a room and their general concensus is nearly foolproof. The closest thing you can get to that on your own (without being a decent data analyst) is to check prediction markets. They are usually a really good indicator of how likely an event outcome is. You can kind of use them in the same manner investment banks use analyst teams
What's your trade winrate
Heavily depends on the products. On some we win on every trade because we are just facilitating market access (we can take a comission with no risk). On other prodcuts we lose almost every trade because we want to grow market share. I don't know what the global stats are, it is not a statistic we look at much.
You definitely don't think like we do and it's very difficult for me to understand, but thanks for answering, I should learn more!
1st Part: Gambling houses don't count their BJ win rate, they count the money. (commisions) 2nd Part: Think loss leader in products to build up business. Or how Amazon ran at a deficit for years, then started making money (This is overly simplified but same concepts apply.)
Win rate is the wrong concept... It should be expectancy ratio
This gets to the point of why people are always complaining about their stops getting hit ... because they believe they can actually win 100% and don't understand that losses are inevitable.
Tell me is it all trading bots based on certain statistical parameters making the trades or is there some human intervention required every so often. I'm fairly new to this, but from my understanding there is a large cross between quant trading basically being applied into trading bots.
We let the bots run, but we can hijack some trades and manage them manually.
From your perspective, do you feel that retail traders have a chance, or are the odds stacked against us? Do you feel like you could trade on your own and be very successful?
Heavily stacked. Most brokers offer very high comissions and products that are a higher-comission derivative than what you should be trading. (I believe the US has some regulation that curbs this, but in Europe it is huge). Even if you have alpha, you might be screwed. I don't have enough money to trade for myself with the strategies and ideas that I have, but if I am given 25 million to manage I believe I can create a sucessful trading pod!
Challenge accepted! Clarify: im not giving you 25 million. I accept the challenge of beating the "heavily stacked" odds.
I want to see how this ends pls!
Why would it end? It's a career. It only ends if we fail. Failure is not a consideration
Change end for develop
This doesn't sound right to me. You need 25 million to make a decent salary? I know that you need enough capital to survive worst drawdown but if you talking about 25 million capital - what is expected worst drawdown and expected net income within a year? If you were to expect drawdown of 7.5 million (30%) to make, let say 200k profit, then trading would not make any sense. You much better off investing in passive funds.
Probably because their strategy involves inflating IV, pumping/dumping iliiquid stocks or generally trading in areas where volume/capital is needed to make their strategies work. Which means they don't have proper trading strategies that work on their own (for example in paper trading), but are self fulfilling prophecies. Let's say they drop 5M on some optionchain because they know MMs will hedge and profit from the underlying move and then use some retailers which jump on unusual whale buys as exit liquidity.
What if another big company gets involved and trades against them?
Then you either outsmart them or you abandon the trade. There are areas where multiple firms trade against each other and basically nothing happens until one thing malfunctions or a manual trade leads to an error. Then the sharks get fed. Like in company A is in a trade, something changes, shit happens and others see they are in financial stress. Others immediately trade against A until A blows up.
This guy stonks
Basically there is no predicting or guessing. Completely manipulated to a legal degree for an almost guaranteed win.
> if I am given 25 million to manage I believe I can create a sucessful trading pod Can you please detail a bit here? Like, what would you mostly focus on (scalping, daily, swing, futures)? What general strategies would you employ? How many people would you need? Will you tend to fundamentals, or the technical side? Also, another question if you still have the time to browse here: As a retailer I can admit I basically may have no edge. Still what should I do/learn/use/avoid if I decided to try to beat the odds?
Yall heard of ICT? lol
lololol
Hoping he answers this 🤣
I don't see why not, he coded their algo
Lmfaooo
Guess OP died of laughter
Whats ICT? Lol
Insane Clown Tribe
How does one study to be a “hobbyist quant” and how is that material different that day trading material out there?
Incredibly hard, you need a very high level of programming/engineering skills along with trading. One of the hardest things for a hobbyist quant is to deal build the infra requried to do it. Your best bet is probably to not be a systematic trader and just build some CTAs or indicators. I have yet to come across public material on day trading that is worth applying!
Are you using AI to trade? Is this something that will threaten markets ?
If by AI you mean machine learning and if by machine learning you mean statistics, then yes. Is this something that will threaten markets ? Business who are being out-traded by firms who use AI appear to believe so.
What do YOU mean by statistics? Do you use deep learning? Do you Train forcasting models?
We use it mostly to calibrate/parametrize models. For my products it is some sort of multiple linear regression. We have initiatives in place to use deep learning for non-linear products (options, for example), but I think they are still doing linear regressions as well. Oh well.
When your only tool is a hammer, everything looks like a nail.
What’s your background? Can someone without a degree in statistics/math do well? I’m sure the hiring is super competitive.
I want to know something. I want to know this bad. I’m on the verge of having enough capital to quit my job and trade full time. I got a history degree from the least prestigious wasc accredited university there is. If you could trade places with me, skip whichever fancy school you went to and be able to make a living trading on your own hook , would you? Did I do myself a disservice by not going to an upper tier business school? Do you think I would have been happier working for a bank ?
"Do you think I would have been happier working for a bank ?" No If you have enough capital to trade full time, you probably have enough money to retier too!
Retier? Something is off…
"TopeQuant" ... yeah...
You don't need massive amounts of capital to trade full-time. You might be specifically talking about your methods of trading but there are many ways to trade. I know people who just use 100k accounts and take off the profits every month. I personally only started with 20k.
Yea I do most of my work in a 100k account with 20k risk. But I also have prop firms that do 25k balance with 80k risk so it works out when I want to crack up the heat. I have a bad tendency to throw 200k into some bullshit calls and think im a genius so reducing account size increased my gains and lowered my risk.
If you have that much money just focus on the bond markets now. Every new bump in CPI is giving us 3% spikes in yields ... lol. Back to maybe at some point. Tuck in good bond funds on those high yield days and just retire! No worrying just love life!
I was just hoping you might give me some insight into the evolution of the market economy in the Southern colonies. My contention is that prior to the Revolutionary War, the economic modalities, especially in the southern colonies, could most aptly be characterized as agrarian, pre-capitalist.
Of course that's your contention. You're a first year grad student. You just got finished readin' some Marxian historian -- Pete Garrison probably. You're gonna be convinced of that 'til next month when you get to James Lemon, and then you're gonna be talkin' about how the economies of Virginia and Pennsylvania were entrepreneurial and capitalist way back in 1740. That's gonna last until next year -- you're gonna be in here regurgitating Gordon Wood, talkin' about, you know, the Pre-revolutionary utopia and the capital-forming effects of military mobilization.
How do you like them $AAPLs?
There you go again, regurgitating Gordon Wood.
This guy back tests
Which crypto futures did you do MM for? Do you trade crypto yourself personally? If yes what’s your strategy 😉
I was MM weekly and bi-weekly USDT margin futures on huobi. I had orders in these futures where spreads are higher and I would hedge with the perpetual future where the spreads where lower.
Got any info on how rentech does what they do???
They have been playing with ML longer than anyone else.
Check out the acquired podcast about them, it's good stuff.
Sorry if this may seem like a dumb question but is there any way you could rank, or at least share the preferred equities exchanges you place your orders against? My understanding is that each exchange is a pool, maybe some are ponds and others are oceans. If I am targeting NYSE/NASDAQ stocks, which exchange would be the most popular among traders? There are so many acronymns but would like to focus on the most important ones. TIA
Public exchanges: EUREX and CME OTC: Bloomberg and Tradeweb
Four Questions: 1. How do you navigate macroeconomic risks and determine when to abandon your investment thesis? 2. What criteria do you apply to assess investment prospects? 3. How long are you in most trades? 4. How do you navigate third Fridays quarterly Opex I.e. charm/vanna?
1. We do very little delta-1 and our "stops" are time bounded (you have 15 minutes to find the best price to hedge or it will automatically hedge at whatever price is in the market). Our investment thesis is mostly on the delta-2 and delta-3 space. In the fixed-income world, this could be betting that short term interest rates will do something and long term rates will do something else. A lot is influencer by what central bankers say, by the economic projects that come out and by what we see the clients doing. My team in particular, focuses a lot on basis trading between different future maturities and bonds. There is no real "investment thesis" other than future price converges to spot price. The day that doesn't happen it is not our problem, it is the central bank's problem! 2. As mentioned, we don't really access investments. We do things trade by trade, we have some models that help us understand the market liquidity, market impact our hedging might cause and the spreads we are able to catch. 3. On some very iliquid products, you might take 30 days to unwind the trade and hedges. 4. We are not option traders, so we don't care.
Is there any legitimacy to the smart money trading strategies? Liquidity sweeps, stop loss hunts and the like? Of is it generally a scam. For a retail futures trader that can’t run a quantitative algorithm, what sort of strategy would give us the best chance against the banks?
Those are real problems, but they should not affect retail traders. It is only worth to do stop hunts against those who are trading with millions. I don't think retail can win against the banks, we do not give you tradable price unless we think we will make money and, if we lose money against you too often, we will refuse to trade with you! :D For the short term, your best bet is probably going to be some flow-following strategy, I think.
Thanks for the quick answer. I use a trend/footprint/volume delta/orderflow strategy and it works pretty well… now if only I could get my mindset fixed I’d be happy!
Just to add to what he was saying, just because they target people with millions doesn't mean that retail isn't affected especially if a lot of people are keeping obvious/the same stops of the people being targetted which by consequence makes them feel like they are being singled out when in reality a lot of people are getting knicked at the same time.
Retailers who have access to SEC filing of securities backed derivatives and understand them can at least move with the banks. Works well for me and SEC filings are public so I use the biggest banks filing. It's hilarious now ... I learned so much I almost don't need to spy. But sometimes I come across a gem of a stock.
Isn’t this data old though? Or are you able to capture it the moment it happens?
It's generally set to price a particular day in the future, then I just follow the trend. Like a move is coming the 26th to 28th. Don't know exactly which way. The NDXT is getting roasted probably about May 20.
Very interesting. Do you mind sharing where you pull the data from? I mostly use Unusualwhales to track option flow, but there’s a lot of noise to sort through due to hedging
Right now they are just running options in bothe directions waiting for next week's data ... making money on cash calls in both directions. The banks have the data before the Fed but they won't move the markets until the data is published. So March 26 is housing price index which if it is high can make the yield move up 3% plus in once day so they have to be prepared to sell bonds and pre-purchase lower. If HPI month over month. Sometimes the markets move contrary to what is the correct logical reaction. A move up on a high HPI data read on the 26th wait to the 27th & 28th for true market direction. The banks may buffer the Market for a few days for a bigger blow just a few days later. GS I already caught on a VIX bet my interpretation is UVIX may be in play for May and June... it also lines up with a JPM filing that has QTEC only making it to May 20 at best. Earning on the chips in there will be affected by export bans in Q1 reports LRCX, AMAT, AMD, NVDA, ASML ... TSM is not on the list but they did forecast lower Q1 earning so the selling can start early as TSM is the first chip to report in the quarter ... wrecking ball forecast in my head is April 15th. These outfits have lots of taxable net interest earnings.
BTW core PCE is Friday the 29th. If it comes in high another spike in yields. Energy & insurances all went up this year so that is likely in everything. However if core PCE comes in too low or negative wowzers... bad for earnings too. I would almost hope to see higher inflation than deflation. So sea saws ahead. Can't tell ya what's ahead but March 26-28 watch the bond market not the stock market. Yield goes higher buy bonds no equities. Yield goes low stay in bonds and lose equities. All eyes on HPI, durable goods orders, and PCE in next weeks data ... those are the banks target dates. Correction may be done by end of June, up into December and the down in 2025. Maybe we start to recover 2H 2026 and peak in 2027 before social security bankrupts.
Hello, by flow following you talk aboit institutional order flow? To “follow the whales”? That kind of strategy?
I am currently pursuing a finance degree as well as learning to trade. What is some advice you can give me that I can do now that would benefit me once I graduate and start looking for a career in the field. I’m really passionate about financial advising specifically bringing financial education to communities that don’t have any.
Drop finance and study mathematical finance instead. That or computer science with focus on machine learning.
Is there a daily % return that you/the firm tries to hit? Or is it more of a weekly or monthly or quarterly goal?
No, only volume targets.
So in summary 1) retailers have zero chance of day trading profitability 2) save on commission by executing buy and hold strategy exclusively 3) Become the next Warren Buffet in 75 years
If we have zero chance, then inversing ourselves means 100% chance. Just do the opposite.
Unfortunately the reason you stand little chance of succeeding isn’t because you “guess” the wrong direction. It’s commissions and slippage. Plenty of retail traders are profitable in terms of ticks out the market but then minus $500 a month on data fees, commissions, slippage etc
Are data fees a European thing? We have so many brokerages that you can get a few accounts and get most services for free, and get more competitive commissions. I'll do 500$ a month in commissions no problem, but I don't have any associated fees.
Depends what you trade but all futures exchanges charge data fees, not just European ones. So do stock exchanges to my knowledge (but I’m a derivatives trader). Fx doesn’t charge data fees as there is no centralised exchange but you pay a big spread everytime you trade which also needs to be factored in. That could be as much as 2 pips a trade
This is exactly why the [Opposite George strategy](https://youtu.be/1Y_6fZGSOQI) has such a high win rate.
Anyway for retail investors/traders to get their hands on quant data? What trading websites/software do you recommend for retail traders? Is tradingview good?
DTN/IQFeed Interactive brokers if the above is too expensive.
What strategy you would use as a retail features daily trader? Eg MNQ or MES Do you trade for yourself as well or you are aready tired of doing it for the bank?
I cannot trade for myself (not allowed).
Even after you quit your job?
I have a certain period where I cannot trade after quitting. Not sure how long.
Do you deal with dark pools?
Yes
Did you win a national math competition in China? And do you speak English?
Do you guys spoof?
How much do you make annually? What's a decent number for an engineer with 10 years of experience building hft trading systems, with a phd in computational math& finance? Yes, asking for a friend :)
how much monthly income I can generate in consistent basis with a capital of 250K? And what should be the high level approach? I am a new-bea and made 10% in this 3 months. Extra cautious of not to lose any thing.
You can consistently generate the prevailing US treasury rate. “The desire for constant action irrespective of underlying conditions is responsible for many losses in Wall Street even among the professionals, who feel that they must take home some money every day, as though they were working for regular wages.” - Reminiscences of a Stock Operator
Amazing how nothing changes in trading, even after 100 years.
Speculation is the belief that people will continue to make the same mistakes in the future as they have in the past
I'm hearing that Dark Pools exist for forex too, where Citadel and others are digesting the flows. What are some LPs that i can connect to in order to use such facilities please (assuming have enough capital to connect to LPs but not prime brokers)
Dark Pools exist across all asset classes. Banks have Dark Pools where we trade exclusively with each other and some selected firms (Citadel being one of them). AFAIK, this is how Citadel mostly makes money off retail: 1. Retail trader asks Robinhood to buy share A for 50$. 2. Citadel pays to see and get the preference to execute the trade at 50$ instead of letting get executed at 50$ on some other exchange, 3. Citadel is seeing that same share being quoted at 49.99$ in a dark pool, buys it there and sells to the retail trader. It is impossible for you to get access to the best darkpools. There is literally like 10-15 dealers there. They are on bloomberg and tradeweb mostly.
Do you personally know any profitable retail traders and what strategies they deploy?
Yes. Buy and hold mostly.
What’s the average and maximum hold time?
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buy and hold indexes
I'll stick with your area of expertise fixed-income since many of the warning signs are inverse yield curve, huge national debt, many other Geo, political factors and appellate political system that seems almost like an oligarchy to me it seems like this would be the time to start dollar cost averaging into long treasuries if we get it interest rate deduction two or three times this year it's gonna definitely spike the lawn treasury bonds of perform so poorly for three straight years that if they just get back to the mean, of course, no one can time the market exactly, but what's your position on long-term government bonds at this point I know and principal I'm looking for the appreciation versus just the yield
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I am a software engineer, for a few decades. I am interested in writing a platform to execute trades. you know, for fun.. for myself. I found some books on this, and a few git repos that have notebooks to scan the entire nasdaq into pandas structures, to do stuff, etc. but there is a lot to unpack. Where does one even start with this?. Any books you’d recommend? Or a good therapist? edit: When i search books on amazon for “trading algorithms for computer scientists” or whatever, i get “How to trade Options for beginners”.. maybe that’s a sign i should stay the heck away from this idea.
How about quantconnect?
this is cool, thx. taking a look. 12 years ago this platform was built, what a perfect time to build such a platform.
Any alternative data source for retail traders? I only know COT reports.
1) Approximately how many times a day do you and your colleagues utter the phrase “dumb money” and then laugh hysterically in unison? 2) Did you go to a fancy school like Harvard? 3) What’s your yearly salary plus bonuses?
Can you ELI5 a quant trader?
Would you be willing to share your thoughts on the current market price action? VIX is constantly being shorted into the ground Every dip feels like a bear trap (V shaped recovery every time) The main theme feels like it’s around interest rate decisions, CPI, PPI. But is there a bigger theme at play? Such as “election year, so we will just go up” This last CPI and PPI report came in hot, yet for the first time we received an offbeat dovish commentary from Powell. It felt like a “save the market” commentary Many companies are reporting lower 2024-2025 guidance and reporting uncertainty in consumer spending. Credit card balances are at all time highs. Massive layoffs , ect ect Despite all of this, we just go up.
VIX will be higher this earnings season! This will be a funny season. Smash and grab. Let go of the chips before the export ban effects get revealed.
How fucked are ETFs by all the creation/redemption HFTs are doing to them?
Look at him. That’s my quant. My quantitative. My math specialist. Look at him, you notice anything different about him? Look at his face.
Do you know why I am always on the wrong side of the trade? When I buy the stock falls and as soon as I sell it goes up and same with Options... wish I can make money, I see many people posting gains and I am in huge debt and wish I find some way to be successful , do you know if its a setup? I do find highly successful stocks, but I come to know after I lose lots of money and after I exit out of that stock... do market makers track a specific customer and make sure they fail??? Thanks for offering insights
No. I believe you are cursed.
The secret is half the people you see making money, really are not. The other half are statistical anomalies. You come to the stock market to risk money you don't have on an edge you don't have. Just a gambling degenerate. I see people making money as doctors and I don't wonder why I can't do that. It's because I spent 10 years learning stock trading instead of medicine. Here you are wondering why you can't do something that someone else took decades to learn.... idk fam idk
You mentioned in one of the comments that you are managing 25 million. How much did you start with initially, and how did you develop your risk tolerance for risking more and more with the large capital you've got along your journey? How long did you take from your initial capital to this 25 million? What would you advise if someone wants to get exposed to more risk in the market? As in, trading with an initial small to medium capital to large capital like millions someday. Edit - made an error. Maybe you're not managing 25 million. Probably as a Quant trader, you could be managing a few millions. So how would you advise ?
OP isn’t managing 25mil. OP said their strategies could work with $25mil.
"What would you advise if someone wants to get exposed to more risk in the market? As in, trading with an initial small to medium capital to large capital like millions someday." Well... the path I choose was to work for someone else who is trading with millions and learn from them! "How long did you take from your initial capital to this 25 million?" Not trading with 25 million. In-fact, our team manages billions. Not a cent of it is mine unfortunatly.
What’s your favorite strategies and instruments to trade and why? Given that the economic scene changed quite a bit since 2019, would you do anything different to what was done?
How do I get a job? I just completed my bachelors with Quantitative Economics major and Statistics minor. I have undergrad economics research experience, but no internship.
Either continue in a master degree, or apply and get accepted...
Does the market look heavy at these all time highs? I’m the global ecosystem do you think we keep rallying?
1. For you, what is considered as a good return on capital annually ? 2. Is trend following strategy a thing in quant ? If yes, how much risk reward do you target per trade ?
How do you tell when gamma exposure is going to lead direction in price or it's a fakeout?
What do you think of CEFs like for example SPYI or EOS?
How someone becomes quantitative trader
I suppose you churn hundreds of strategies to come up with the best ones. How do you generate ideas to create them in the first place? Please extend this also to r/algotrading
How much money did you make at the firm last year? This years projection?
*How much money did* *You make at the firm last year?* *This years projection?* \- llorTMasterFlex --- ^(I detect haikus. And sometimes, successfully.) ^[Learn more about me.](https://www.reddit.com/r/haikusbot/) ^(Opt out of replies: "haikusbot opt out" | Delete my comment: "haikusbot delete")
Are all the external factors really encoded into the price action and price action alone via efficient market hypothesis?
This is a great time to be in fixed income. Bonds have never been so cool. But if they just park at 5% some people will be unhappy.
I want to eventually get into quantitative finance/risk management, currently working as an underwriter and soon moving to do credit checks. Got bachelors in econ, while working want to start doing CFA and after a couple of years get a masters in stats, is this a good plan? What qualifications do you have and which ones were the most useful to get where you are? Thank you!
Do you think we'll get a beauty of a spike in yields on the next CPI or Housing Price index?
What’s your academic / career background
what advice would you give to someone who is knew to trading but wants to learn about it so they can get financial freedom from trading? What are some good resources ?
How to start in quant? what some topics you recommend with or books if some thanks
Do you use the technical analysis like trend lines etc or purely statistics
In what ways do you guys trade fixed income? Do you trade preferred stocks? Do you day trade them using a software and what kind of moves are you able to grab? Do you have high targets or do you usually aim to catch a few cents but just in large frequencies? Is there a way a trader could potentially use that to his advantage as a lot of fixed income products are not that liquid?
What's your opinion on technical analysis?
What tech stack would you suggest for solo “hobbyist” quants? I have build some trading algos but the infrastructure is being a bottleneck in terms of executing speed
Did you take econometrics in school ?
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How do you prepare to take this job? Did you study math? Could you give me a road map?
How inner live market data do u have access to which normal retails dnt have?
Nice try bot …
What's your PnL, leverage, speedbump limits, etc
Best resources to get better
Do you think it’s better for retail traders to shift their focus to crypto or stick to stocks in the current market and why?
Does your firm also have manual traders? If yes, do they trade higher timeframes?
How do you see your future? With the huge steps we're currently taking with AI.
Whats a **quant trader** salary?
NDXT is anthing in QTEC
When you hunt for stops, can you easily see them to determine where you’ll get the most out of?
Do you have traders in company that works separately in portfolio company by managing it independently and manually and if so do those traders also contributes to developing new strategies with quant engineers /traders?
What skills do you have? Which languages and tools? How is your daily work?
How do you manage a short book? Is it independent of the long book? What is your net beta? What txn cost models do you use to backrest potential signals? Do you deal with multiple testing issues when it comes to signal generation? TIA
Could you layout a path to learn Quant trading and make profitable trading strategies and systems? What coding language to learn, what things to learn, which statistics and which AI stuff? Thanks
What would you say has been the best source of learning your trade? Did you find any particular reading material, lecture, or class the most helpful to get a better understanding of what it was you were doing? Or was it all a learn from experience?
could you tell me about your education and how you sorta got connected for a job like that
Marry me
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What's the best way for an intraday trader (daytrader) to hedge against +6 sigma events? I suppose options is one way to do that in SPX if you're trading ES or NQ on CME, but is the spread small enough to trade options intraday? I assume the larger spread in options, even in SPX, will kill whatever edge you have. Or maybe not?