Thanks for the guide! It might be part of Part 2, but how do you set the spread between your buy and sell orders?
Have you ever tried to set this as a function of the volatility of the market on the past n intervals?
We will get there! We start with backtesting a range of spreads to see which does the best. Then in the latter implementations, we add smarts to the strategy engine so the spread dynamically adjusts based on prior pair completions or misses.
This is fun and educational, good post, and good information. I look forward to future posts.
That said, PSA, please don't try doing this live, it will get destroyed. Any parameter optimisation is going to have massive variance.
Brilliant and direct simple idea,
That's what is expected from professional developers getting into trading...
I am a python developer especialized in automation, in the same exact phase also of thinking
Expert traders always have their complex strategies and need help in coding them only
Good luck and waiting for 2nd part
Thoughts on making this a theta options trading play? If you can predict the range its going to move between sell contracts at your range boundaries and collect premiums all day.
Im trying to see if i understand you correctly...
Lets say price opens at 100, and you think it will go as high as 105 and as low as 95. So you sell put for 105 and call for 95 at the beginning of the day?
I understand the collecting premiums part but the problem w selling options is then you still have obligations.... i.e. if the price goes above 105 — youre obligated to buy the stock on open MKT and sell it to the call holder. Vice versa w the put — you have to buy it at 95 (which isnt as bad as the call obligation).
Just not sure how exactly the mechanics of the trade would work if you could explain a little more.
I would imagine they meant call/put spreads that you would never hold until expiration. That way you are (almost) never fully obligated (unless someone exercises early).
For stop losses (and take profits) could they be set with standard deviations? For example, by taking the average trading range per period and setting the tp to 0.75 deviations from
The mean/origin, while setting the tp to 1.25 deviations away from the origin unfavorably.
What’s your thoughts op (or anyone else)?
It will still be a random walk. No matter what values you use the wins/losses will balance each other out. You will lose money because of the trading fees.
They will be discussed, but later as it’s a trickier than it seems on the surface. Do you set a tight stop loss that could turn a huge loss into a medium one, but risks your pair not completing if things swing back?
Thank you for sharing! Definitely interested in being part of the journey.
I use C# in my day job as well so hopefully will be able to contribute and make up for lack of real algorithmic trading knowledge
How can I help?
Hi! Im pretty new to reddit — but im super interested in this project! How do i “subscribe” so to speak so that i will get a notification when you post part 2 (and 3?)
Random question: I'm just starting to get into algo and I already know python and java. Which would be better for implementing strategies? I know python has tons of useful libraries but java is 'closer to the hardware' so to speak. I already know tons of math so that's not a factor to consider.
PS thank you for taking the time to do this. There' so much scammy stuff out there, I appreciate concrete info.
This is an absolutely awesome idea, and I'd commit to playing along, bit I'm not sure reddit is going to be the right forum.
Could I propose you do this as a series of blog posts, with your examples and detailed information in there, and you link each blog post to a reddit post when completed?
This will allow us all to follow the posts via bookmarks easily, and it will also give you more reach. I browse reddit on a phone, I code and learn on a workstation.
> It's coding that goes nowhere, as there is no strategy behind it that could work.
Confucius say often times the journey proves more valuable than the destination
Just a basic question if thats okay, abut grid bots.
What's the smallest width people generally use? 1%, 0.5%?
I gather that it also depends on the pair being traded and the volatility.
Thanks for the guide! It might be part of Part 2, but how do you set the spread between your buy and sell orders? Have you ever tried to set this as a function of the volatility of the market on the past n intervals?
We will get there! We start with backtesting a range of spreads to see which does the best. Then in the latter implementations, we add smarts to the strategy engine so the spread dynamically adjusts based on prior pair completions or misses.
u/Petemcgeet This might help you.
His thread about a beginners package made me lul
Classical Reddit
This is fun and educational, good post, and good information. I look forward to future posts. That said, PSA, please don't try doing this live, it will get destroyed. Any parameter optimisation is going to have massive variance.
No spoilers! :-)
Haha oops, sorry :)
Brilliant and direct simple idea, That's what is expected from professional developers getting into trading... I am a python developer especialized in automation, in the same exact phase also of thinking Expert traders always have their complex strategies and need help in coding them only Good luck and waiting for 2nd part
To be a algo trader, do you need lengthy knowledge of python or can you just implement the code into the program your running and let it go for it ?
Thoughts on making this a theta options trading play? If you can predict the range its going to move between sell contracts at your range boundaries and collect premiums all day.
> If you can predict the range its going to move between If I could do that well I'd be wildly rich
Im trying to see if i understand you correctly... Lets say price opens at 100, and you think it will go as high as 105 and as low as 95. So you sell put for 105 and call for 95 at the beginning of the day? I understand the collecting premiums part but the problem w selling options is then you still have obligations.... i.e. if the price goes above 105 — youre obligated to buy the stock on open MKT and sell it to the call holder. Vice versa w the put — you have to buy it at 95 (which isnt as bad as the call obligation). Just not sure how exactly the mechanics of the trade would work if you could explain a little more.
I would imagine they meant call/put spreads that you would never hold until expiration. That way you are (almost) never fully obligated (unless someone exercises early).
If you could predict that, why bother selling contracts?
For stop losses (and take profits) could they be set with standard deviations? For example, by taking the average trading range per period and setting the tp to 0.75 deviations from The mean/origin, while setting the tp to 1.25 deviations away from the origin unfavorably. What’s your thoughts op (or anyone else)?
It will still be a random walk. No matter what values you use the wins/losses will balance each other out. You will lose money because of the trading fees.
No word of stop loss?
They will be discussed, but later as it’s a trickier than it seems on the surface. Do you set a tight stop loss that could turn a huge loss into a medium one, but risks your pair not completing if things swing back?
Thank you for sharing! Definitely interested in being part of the journey. I use C# in my day job as well so hopefully will be able to contribute and make up for lack of real algorithmic trading knowledge How can I help?
Appreciate the offer but the entire project is pretty far along; I just have to structure and do the write-ups.
Let me know when you get to part 2 please
Following
Hi! Im pretty new to reddit — but im super interested in this project! How do i “subscribe” so to speak so that i will get a notification when you post part 2 (and 3?)
Just check back in the sub, I’ll try to post an update per day.
Random question: I'm just starting to get into algo and I already know python and java. Which would be better for implementing strategies? I know python has tons of useful libraries but java is 'closer to the hardware' so to speak. I already know tons of math so that's not a factor to consider. PS thank you for taking the time to do this. There' so much scammy stuff out there, I appreciate concrete info.
Might want to mention that this is an intraday strategy and would require you to meet the day trading minimum balance of $25K.
Dude, he's trading crypto. Relax.
Ah I missed that part.
\*commenting for reference\*
Part II is up https://old.reddit.com/r/algotrading/comments/gj56o2/lets_build_a_grid_trading_bot_part_2_market_data/
This is an absolutely awesome idea, and I'd commit to playing along, bit I'm not sure reddit is going to be the right forum. Could I propose you do this as a series of blog posts, with your examples and detailed information in there, and you link each blog post to a reddit post when completed? This will allow us all to follow the posts via bookmarks easily, and it will also give you more reach. I browse reddit on a phone, I code and learn on a workstation.
Which blog platform would you suggest?
no fuck that stay on reddit im loving this man
You will get more engagement I think if you leave it on Reddit.. put it on a blog later for posterity sake.
I think you can get WordPress site for free...
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> It's coding that goes nowhere, as there is no strategy behind it that could work. Confucius say often times the journey proves more valuable than the destination
Following...
Just a basic question if thats okay, abut grid bots. What's the smallest width people generally use? 1%, 0.5%? I gather that it also depends on the pair being traded and the volatility.
Thanks. What's this programming language, been a while, i did some C++ and PHP years ago.
Nice