Professional Automated Trading: Theory and Practice (Wiley Trading) 1st Edition, Kindle Edition

by Eugene A. Durenard (Author) Format: Kindle Edition

17 ratings

Part of: Wiley Trading (277 books)

Flip to back Flip to front

Audible Sample Playing... Paused You are listening to a sample of the Audible narration for this Kindle book.
Learn more

ISBN-13: 978-1118129852

ISBN-10: 1118129857

Why is ISBN important?

Share <Embed>

Other Sellers

from

Other Sellers

See all 3 versions

Buy

$57.00

eBook features:

Highlight, take notes, and search in the book
Length: 384 pages
Word Wise: Enabled
Enhanced Typesetting: Enabled
Page Flip: Enabled

Read with the free Kindle apps (available on iOS, Android, PC & Mac), Kindle E-readers and on Fire Tablet devices. See all supported devices

Sold by: JOHN WILEY AND SONS INC

Price set by seller.

Enter a promotion code or Gift Card

An insider's view of how to develop and operate an automated proprietary trading network

Reflecting author Eugene Durenard's extensive experience in this field, Professional Automated Trading offers valuable insights you won't find anywhere else. It reveals how a series of concepts and techniques coming from current research in artificial life and modern control theory can be applied to the design of effective trading systems that outperform the majority of published trading systems. It also skillfully provides you with essential information on the practical coding and implementation of a scalable systematic trading architecture.

Based on years of practical experience in building successful research and infrastructure processes for purpose of trading at several frequencies, this book is designed to be a comprehensive guide for understanding the theory of design and the practice of implementation of an automated systematic trading process at an institutional scale.

Discusses several classical strategies and covers the design of efficient simulation engines for back and forward testing
Provides insights on effectively implementing a series of distributed processes that should form the core of a robust and fault-tolerant automated systematic trading architecture
Addresses trade execution optimization by studying market-pressure models and minimization of costs via applications of execution algorithms
Introduces a series of novel concepts from artificial life and modern control theory that enhance robustness of the systematic decision making—focusing on various aspects of adaptation and dynamic optimal model choice

Engaging and informative, Proprietary Automated Trading covers the most important aspects of this endeavor and will put you in a better position to excel at it.

Jason Carson
7
Kindle Edition
1 offer from $9.99
Laurens Bensdorp
102
Kindle Edition
1 offer from $8.99

Editorial Reviews

From the Inside Flap

Trading is a science based on a variety of fields, from mathematics to physics. It is also an art based on knowing and respecting the markets and, equally important, knowing oneself. But most of all, trading is a business that hinges on a carefully understood discipline and process of seeking reward in the face of risk.

No one is more familiar with this than author Eugene Durenard. A recognized expert in automated trading—who has long incorporated aspects of artificial life and robotics systems research into his trading—he knows what it takes to create systematic trading strategies that are adaptive and opportunistic. Now, with this new book, he shares those valuable insights with you. Whether you're part of a professional prop trading desk or an ambitious individual trader, this practical guide will put you in a better position to successfully navigate today's competitive markets.

Divided into four comprehensive parts, Professional Automated Trading: Theory and Practice opens with an introductory chapter that sets the stage for modern systematic trading. It critically examines the merits of systematic trading from a philosophical and psychological perspective, as well as focuses on it as a business activity.

With this information in hand, Durenard moves on to skillfully cover the theory, practice, and technologies needed to excel at this endeavor.

Part I introduces the basic conceptual and programmatic framework for the design of trading strategies as trading agents—exploring data representation, indicators, basic model types, and techniques to test them
Part II introduces innovative concepts designed to tackle adaptation of trading strategies to changing market conditions. Those include Swarm Systems that help navigate the higher complexity of the markets at lower timescales
Part III focuses on the important aspect of trading costs and slippage—discussing the analysis of the intraday bid-offer and volume seasonality in major markets and detailing several algorithmic execution strategies designed to help reduce market impact
Part IV presents the practical implementation of a real-time, low-latency automated trading infrastructure designed to support a Swarm of Trading Agents operating on a collection of Electronic Commerce Networks (ECNs)

Engaging and accessible, Professional Automated Trading contains the information you need to make the most of automated trading in free markets.

--This text refers to the hardcover edition.

From the Back Cover

With this information in hand, Durenard moves on to skillfully cover the theory, practice, and technologies needed to excel at this endeavor.

Part I introduces the basic conceptual and programmatic framework for the design of trading strategies as trading agents—exploring data representation, indicators, basic model types, and techniques to test them
Part II introduces innovative concepts designed to tackle adaptation of trading strategies to changing market conditions. Those include Swarm Systems that help navigate the higher complexity of the markets at lower timescales
Part III focuses on the important aspect of trading costs and slippage—discussing the analysis of the intraday bid-offer and volume seasonality in major markets and detailing several algorithmic execution strategies designed to help reduce market impact
Part IV presents the practical implementation of a real-time, low-latency automated trading infrastructure designed to support a Swarm of Trading Agents operating on a collection of Electronic Commerce Networks (ECNs)

Engaging and accessible, Professional Automated Trading contains the information you need to make the most of automated trading in free markets.

--This text refers to the hardcover edition.

ASIN ‏ : ‎ B00FO4WZFA
Publisher ‏ : ‎ Wiley; 1st edition (October 4, 2013)
Publication date ‏ : ‎ October 4, 2013
Language ‏ : ‎ English
File size ‏ : ‎ 6861 KB
Text-to-Speech ‏ : ‎ Enabled
Screen Reader ‏ : ‎ Supported
Enhanced typesetting ‏ : ‎ Enabled
X-Ray ‏ : ‎ Not Enabled
Word Wise ‏ : ‎ Enabled
Print length ‏ : ‎ 384 pages
Lending ‏ : ‎ Enabled

Best Sellers Rank: #1,677,234 in Kindle Store (See Top 100 in Kindle Store)
- #4,766 in Finance (Kindle Store)
- #6,150 in Investing (Kindle Store)
- #14,900 in Finance (Books)

Customer Reviews:
17 ratings

About the author

Follow authors to get new release updates, plus improved recommendations.

Eugene A. Durenard

Brief content visible, double tap to read full content.

Full content visible, double tap to read brief content.

Discover more of the author’s books, see similar authors, read author blogs and more

Customer reviews

5 star		55%
4 star		21%
3 star		15%
2 star		9%
1 star 0% (0%)		0%

How customer reviews and ratings work

Top reviews from the United States

There was a problem filtering reviews right now. Please try again later.

Julian Cook

Proprietary Automated Trading

Reviewed in the United States on April 9, 2014

Verified Purchase

I think in time this book will come to be seen as kind of a revelation, with some Rosetta Stone thrown in (the LISP part). Enough people have complained about the lisp examples, so I will skip those.
I actually started at the back, because I needed to see how he designed the automated risk sub-system. The fact that substantial attention is devoted to this, should tell you how complete the book is. The entire book is a pretty comprehensive survey of how to build an automated prop trading operation. It's odd that the title says 'professional' whilst the original Wiley description repeatedly refers to the book as 'Proprietary Automated Trading'. This was probably the original title and would have been more appropriate when you see the content.
It's not a book about setting up an HF or automated market-making operation, though some of the strategies discussed could be used at the tick level. The reason is that a large chunk of the book discusses the methodology for measuring performance and optimizing the mix of which strategies are deployed at any one time. This is the real genius (or thought provoking part) of the book. I would previously have assumed that I wanted my mean reversion strategy to be as sophisticated as possible to best predict the range or maybe when to duck for cover. Additionally you might want to couple it with some clever market regime detection.
Durenard does none of that. He runs [effectively paper trades] many strategies with many parameters simultaneously and switches them in and out of real trading based on their 'fitness'. He also optimizes the entire portfolio of strategies. All this is done continuously intra-day. Technically regime detection is done, but it is done by analyzing the performance of the strategies rather than analyzing the market.
Because you need a large amount of infrastructure to achieve all this, it is not really applicable at the CTA or Metatrader level, but it is quite rare for someone to layout a design of how an entire operation should work. For that I would have to award 5 stars, LISP or no LISP.

16 people found this helpful

Helpful

Denis

On the edge of HFT software development

Reviewed in the United States on June 22, 2014

Verified Purchase

I work in the field of HFT and this book was quite interesting reading: lots of new information, especially, about swarm systems and implementations. I may say that this books is advanced and not for beginners. I give four stars and not five because the book is overloaded with the lisp code. My recommendation to Eugene is to replace code with top-level class and flow diagrams and add more information, say, about FPGA (b/c, as author mentioned, he is doing some research in this field) - it will be very interesting, also less math formulas and more human words will simplify reading during relaxed weekends. Overall, this book is very good and useful.

5 people found this helpful

Helpful

Nurhan Seyahi

A good read

Reviewed in the United States on December 4, 2016

Verified Purchase

This book goes to uncharted territories. I am not aware of another book on systematic trading that deals with the subject of multiple systems (agents) and their interactions (swarm), in a formal and detailed way as this book does. However, you feel that something is missing, maybe some real world results or some more depth about the implementation.

2 people found this helpful

Helpful

Kindle Customer

Thorough yet understandable coverage of development and creation of a trading business

Reviewed in the United States on November 29, 2013

Verified Purchase

The author, Eugene A. Durenard, has a written a thorough overview of the complete technical systems needed to get a trading business off the ground and running. He not only provides the theory and systems for trading (with sample code) but also the needed infrastructure, with emphasis on not only performance but also disaster recovery (internal or external) as well as the more usual communication and maintenance outages. Additionally, he also touches on the minimum viable (hedge fund) business size, personnel-wise and funding-wise. The architecture the author advocates can be used to implement everything from a (conditional) market-making desk to a pure trading business.

For those who may be scared off due to the use of actual Common Lisp code instead of pseudo-code, I recommend Peter Seibel's "Practical Common Lisp" (available on Amazon or for free through Peter's site: http:// gigamonkeys . com/book / {remove the spaces}). My major criticism of his code is that Mr. Durenard seems averse to using Lisp's built in LOOP construct, which would have greatly reduced his need to repeatedly loop over the same data set over and over again when calculating trading statistics.

6 people found this helpful

Helpful

Frankie

Good information but...

Reviewed in the United States on December 19, 2013

Verified Purchase

The author clearly knows what he is talking about. This is a book that will get you to think and modify your strategies so that they are more adaptive to different market conditions. However, I do not understand why the author choose to show his examples in LISP and not something easier. I personally am at a very very beginners level when it comes to coding etc., therefore the hardest part about this book is coming across all code related parts. Maybe its just me or other readers may also find this to be one of the cons in this book. Another thing I dislike about this book is that the author made understanding his concept and examples hard by being, in my opinion, too technical in a coding sense. However, experienced traders should not have much problem understanding the concept the author is trying to bring out in this book even if you do not understand the codes. I was able to take out all concepts presented in this book and will definitely test and modify its concept to fit my set of strategies. This book and especially the examples given could have been written in a way that is easier to read.

2 people found this helpful

Helpful

Damien Etienne

the book is filled with useless content and code code sample

Reviewed in the United States on September 29, 2015

Verified Purchase

Using Old programming language, the book is filled with useless content and code code sample, you'll have to dig deep to get the few useful information and is just mostly content filling.

Helpful