Algorithmic trading & DMA

What Hacker News says

1. maxbondJul 2023
   I don't know very much about HFT, and these books are old, so take this with a cow lick of salt, but I've seen these mentioned on a blog I found here on HN (by 'yummyfajitas), and I found them illuminating:

   Algorithmic Trading & DMA by Barry Johnson

   Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris

   You might also be interested in 'yummyfajitas blog:

   https://www.chrisstucchio.com/blog/2012/hft_apology.html

   If people have up to date replacements for these books, I'd be super interested.

   If you keep asking around, people are gunnuh recommend Reminiscences of a Stock Operator, and it's an enjoyable book but keep in mind that it's basically the fictionalized biography of a problem gambler who happened to operate in the stock market, he traded recklessly and died destitute (by suicide - when you reread it, you start to notice how he never mentions enjoying anything, or talks about the people in his life in more than passing). Don't take it too seriously.

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2. maestFeb 2023
   The best book that I've read on order execution was "Algorithmic Trading and DMA". [0]

   The book is kind of old now, but it was written by Barry Johnson, who worked at Morgan Stanley on their algo trading team.

   The book is kind of dry, but very thorough and clear on its concepts. It reads more like a university text book than anything else. It just goes through concepts one by one, chapter by chapter.

   [0]: https://www.amazon.co.uk/Algorithmic-Trading-DMA-introductio...

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3. wjJan 2021
   Two books that I might recommend for others that are interested are:

   Trading and Exchanges: Market Microstructure for Practitioners (cost of this on Amazon seems to have more than doubled since I bought it 11 years ago)

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

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4. kevstevOct 2018
   Generally low level C++ will do it. I have been out of the game for about 5 years now, but when I left the game was all about speed speed speed. We weren't trading smarter anymore, it was just about trading fast. If you are faster, you don't just put an order out there with an opinion that the market will move in your favor, you get an immediate risk free return (risk free assuming operationally everything works as expected). I also worked on the "benchmark strategy" side- VWAP/TWAP type algos, when they were very new, and there was some statistics involved but the math was fairly simple. I haven't kept up with that side of the space, I am sure they have added complexity, but fundamentally you are looking at how a particular security has traded in the past- IE how much volume does it tend to trade at 10am vs 10:30 vs 11am, compare that with market statistics for the current day- is it high or low volume, is volatility higher- and apply some heuristics about what % of a parent order to put in the market at any given time.

   This is a bit separate from the actual execution in the market, which is called smart order routing, and that just focuses on speed.

   The best book on this still seems to be the now almost 10 year old "Algorithmic Trading and DMA" by Barry Johnson. If you want to get a feel for the strategies involved, this is your best bet: https://www.amazon.com/Algorithmic-Trading-DMA-introduction-...

   As for job titles, they tend to be generic like "infrastructure developer, strategist" but look for key words like "Smart Order Router, Algorithmic Trading, Index Arb (itrage), statistical arbitrage, market making, dark pool. I put two of those in Morgan Stanley's site and got a bunch of relevant hits. Posting numbers 3119617 3120636 are actual jobs in this space.

   A better bet is to just look at job openings for the companies who specialize in this stuff- Virtu, Jump, Hudson River Trading, Citadel Securities, etc...

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5. dsaccoJun 2017
   This is utterly the wrong way to learn finance for quantitative trading. That would be an unproductive use of time.

   Read Options, Futures and Other Derivatives and Algorithmic Trading and DMA and you basically know everything you'll get from public sources that could be meaningful for trading.

   If he knows how to code and is looking for "mathematics of finance" he should start with those, not the CFA.

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6. kasey_junkMar 2016
   Trading & Exchanges by Harris

   Algorithmic Trading & DMA by Johnson

   Both are dated now but still good foundational books.

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