This blog is a collection of my experiences working in automated trading. I’ve been fascinated by markets’ capacity to be examined analytically since I was a kid and it was out of interest that I started working seriously on a trading company shortly after I finished school. Because there’s so little public information out there, anybody wanting to study market micro and meso-structure probably has no choice but to become a practitioner. I think many young people enter this profession for intellectual reasons (though I’m sure the money helps). They, and anybody else with similar curiosity, are my intended audience.
It’s often said that algorithmic trading is extraordinarily complex. No doubt there are lots of details that take time to understand, but I think a pretty large chunk of what I’ve learned over the last four years can be qualitatively communicated with just a few examples. Some examples of market inefficiencies are so simple that it’s a sad sign of the industry’s intense secrecy that they can be made into workable strategies. In most other technical businesses there is enough of a public discourse for interested parties to satisfy themselves without spending years of their time participating. While I won’t be able to share everything, I hope that my experiences are useful to people considering this career for the same reason I was. My younger self would certainly have appreciated even the few days of reading material I’d like to provide.