Recommended Books for Algo Trading in 2020


jack

Administrator
Staff member
Almost weekly--be it on reddit's /r/algotrading, other forums, or in our trader's chatroom--I come across aspiring algo traders asking this question: "What are some good books to get started with algo trading?" So I put together this list of recommended books for easy reference that's relevant for any new, aspiring, or developing algo trader in 2020!

Robert Carver's stuff is solid and well rounded. Adam Grimes' book is more about patterns and analysis than programming but useful for the idea generation part of an algo trader's workflow. Ernest P. Chan's book is a staple. Every book in this list is either recommended by myself for having found it useful, or recommended by people I respect in the industry.


Trading and Exchanges - Larry Harris

This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.



Systematic Trading - Robert Carver

This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematize their financial decision making, either completely or to some degree.

Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities.

Leveraged Trading - Robert Carver
With the right broker, and just a few hundred dollars or pounds, anyone can become a leveraged trader. The products and tools needed are accessible to all: FX, a margin account, CFDs, spread-bets and futures.

But this level playing field comes with great risks. Trading with leverage is inherently dangerous. With leverage, losses and costs - the two great killers for traders - are magnified.

This does not mean leverage must be avoided altogether, but it does mean that it needs to be used safely. In Leveraged Trading, Robert Carver shows you how to do exactly that, by using a trading system. A trading system can be employed to tackle those twin dangers of serious losses and high costs.

Algorithmic Trading and DMA - Barry Johnson
Algorithmic trading and Direct Market Access (DMA) are important tools helping both buy and sell-side traders to achieve best execution (Note: the focus is on institutional sized orders, not those of individuals/retail traders).

This book starts from the ground up to provide detailed explanations of both these techniques:
An introduction to the different types of execution is followed by a review of market microstructure theory. Throughout the book examples from empirical studies bridge the gap between the theory and practice of trading.


The Art and Science of Technical Analysis - Adam Grimes
A breakthrough trading book that provides powerful insights on profitable technical patterns and strategies The Art and Science of Technical Analysis is a groundbreaking work that bridges the gaps between the academic view of markets, technical analysis, and profitable trading. The book explores why randomness prevails in markets most, but not all, of the time and how technical analysis can be used to capture statistically validated patterns in certain types of market conditions. The belief of the book is that buying and selling pressure causes patterns in prices, but that these technical patterns are only effective in the presence of true buying/selling imbalance. The Art and Science of Technical Analysis is supported by extensive statistical analysis of the markets, which will debunk some tools and patterns such as Fibonacci analysis, and endorse other tools and trade setups. In addition, this reliable resource discusses trader psychology and trader learning curves based on the author's extensive experience as a trader and trainer of traders.

Algorithmic Trading - Ernest P. Chan
Praise for Algorithmic Trading "Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers." DAREN SMITH, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management



Building Winning Algorithmic Trading Systems - Kevin J. Davey
Develop your own trading system with practical guidance and expert advice In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one.



Trading Systems - Emilio Tomasini
'The key is how to adapt existing codes to the current market conditions, how to build a portfolio and how to know when the moment has come to stop one system and start another one'. Every day there are traders who make a fortune. It may seem that it seldom happens, but it does - as William Eckhardt, Ed Seykota, Jim Simons, and many others remind us. You can join them by using systems to manage your trading. This book explains exactly how you can build a winning trading system. It is an insight into what a trader should know and do in order to achieve success in the markets, and it will show you why you don't need to be a rocket scientist to build a winning trading system.
 

sven

Active Member
I have rob carvers systematic trader and it’s been quite insightful to see his ideas on continuous forecasts and structuring projects.
He focussed a lot in costs and effectively wrote off anything other than futures so I’m surprised he’s pumped out a book on fx and CFDs. The blurb suggests he tackles the in this book. I may need to invest.

Other one on my post is Ernie chans as he was always a favorite over on the podcast “better system trader”. May need to check them out and if I buy I’ll try to push them through the links. For the 10p you may or may not get as support. :)
 

Kevin1999

New Member
Hi Jack, On what basis are you recommending those books? What where your considerations... Have you read them yourself? And What people do you respect in the industry. And more important: if you had to advice on one of these, which one would you recommend to read first?
 

jack

Administrator
Staff member
Hi Jack, On what basis are you recommending those books? What where your considerations... Have you read them yourself? And What people do you respect in the industry. And more important: if you had to advice on one of these, which one would you recommend to read first?
On what basis? The post implies the books were selected to answer a common question I see a lot from new and aspiring algo traders. So, on the basis of fitting well for a new algo trader at that stage. Some are well rounded in approaching the subject for new traders, some are about fundamentals of market mechanics and structure, and some peripherally related for idea generation.

I have read nearly all of them myself..

I can't tell you which one to start with first without knowing your current progress toward algo trading and what kind of background you have.
 

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