Algorithmic Trading - Hedge Fund Automated Management
Methodologies and Platform / startup initiative
- G-BOT Platform screenshots and manual
- Due diligence, performance assessment and copy request
- Strategy notes
very active a
scientific project, directed by
Tom Gastaldi (currently
University of Rome"La Sapienza"). The project is
concerned with the the study of trading algorithms and
fully automated strategies
for systematic profitability and it is also discussed in public trading forums with fund
managers, investors, etc.
These strategies and algorithms are also incorporated in an actual platform (a trading robot) for hedge fund automated management, also called G-BOT, which applies them to entire folios, that can formed by any type of financial instrument (fut, fop, stk, opt, cash, cfd, ind: see example file).
With G-BOT, even one single (experienced and smart) individual can control, from a single laptop, a large offshore fund (say from several hundred millions up to billions) possibly distributed on simultaneous multiple accounts, from any location in the world. Further, he can do that while on the move, or quickly relocate the entire management function to another location (as far as there is Internet connectivity). Just a few key strategic decisions, and the rest is just pure and full automation.
G-BOT applies and let you apply all the tenets of
portfolio/investment management to large folios of financial instruments, such
as: folio selection (right instrument), size calibration (right size),
instrument correlations (this is related with previous, as we do not want to
invest too much on essentially the "same price moves") hedging, option
hedging, opportunity selection
(right time and price), capital reallocation across new or
One of the most neat form of investment that is conceivable (operate from any offshore location, no setup costs, no risk of collection, no shipping, no property and employment taxes, no trade union, beat inflation, hedge currency risk, realtime monitoring to the penny, full control on investment development).
G-BOT does a massive mechanical "scalping" action (with a non-predictive kernel), while, at the same time, hedging and turning cointegrations (even temporary) in its favor.
It manages all aspects of complex folios, including folio recalibration, cointegrations and option hedging.
Note that when we use the word "scalp" or "scalping game" we are not necessarily referring to the capture of small price changes, but "typically" the minimum "scalp size" can be 1% - 3% of the current price (however, the fund manager can adjust this size to any size he wishes). So the term "scalping" is used in a generalized sense.
In very approximate terms, it could be visualized as an expanded "market making" system, operating on large folios across any mkt, where the "spread" concept is replaced with arbitrary scalps, and emphasizing to the highest level a number of hedging mechanisms (including use of cointegrations, superposition, size calibration, options, etc.). While, clearly, G-BOT works by liquidity removal, it could also complement very well liquidity providing systems, taking control of residual positions which need to be hedged (thus avoiding the large cost of daily stops).
Clearly, it requires good capital and it is by no means targeted to small retails traders, but good capital is necessary to trade meaningfully.
As you dig deeper in the G-BOT concepts, it will be clear that it is not simply a "platform". If you need a trading platform, there are hundreds of them out there which can help you. G-BOT comes, instead, with a precise and unique vision, and you either understand and embrace the vision, or you are wasting your time. Here is more about strategy to get you started.
[This is a collection of some metrics also used by G-BOT (which also computes realtime correlations).]
G-BOT is discussed on public forums. Some public discussions about G-BOT (early development/test) can also be found here:
http://www.elitetrader.com/vb/showthread.php?threadid=279057 [ most recent thread, trading realtime, with real $$$ ]
http://tradersplace.net/forum/thread/63/g-bot-algorithmic-trading/ [ tp thread, mostly discussions]
(the threads also contain explanations about use of the application, approach, performances and opinions from other experts and fund managers worldwide).
For due diligence and copy request, see below. For installation or quick start: Manual.
If you like to discuss algorithmic trading ideas and methodologies, do not forget to join the great Linkedin group:
"Algorithmic Trading for Real Traders and Funds ": http://www.linkedin.com/groups?gid=4394344&trk=hb_side_g"
For any issue or feature request, please feel free to send it to us (DataTimeSRL@gmail.com). Any problem reported is addressed and solved immediately, for inclusion in the next update. Get ready with your skype account to chat real time with any problem or doubt or to suggest improvements. Our skype id: "datatimesrl"
Example of scalping on a long only constraint (real account):
|High specialized client for IB (Interactive Brokers), allows realtime control to the penny for any number of simultaneous instruments (and layers).|
|Can trade any instrument (Futures, ETFs, Stocks, Options, Cash, CFDs, etc.) and any mkt|
|It creates "player superpositions" for optimal hedging on a single layer|
|It allows to create multiple layers with different or equal instruments and with possibly different scalping/hedging games.|
|Can trade automatically completely unattended as well as completely in "manual mode" and in mixed modes.|
|Can stay up 24/7 forever, with automatic reconnection and alert disconnections, recording all the events occurred.|
|Shows realtime tickdata, separately for BID and ASK, allowing a precise control of spread and order prices|
|Can trade any number of multiple "linked" account simultaneously from the same machine|
|It provides full support for option trading, including the new "mini-options"|
|Trade any number of instruments simultaneously (large folios) keeping track of cointegrations ("codirections")|
|Handles asynchronously all orders events, taking care of partial fills, cancellations, rejections, presubmissions, etc.|
|It prevents later execution of multiple orders|
|Allows managing presubmitted, submitted and "stranded" orders remained inactive.|
|Holds up any number of distinct G-BOT instances running on different logins (each of which can access any number of liked accounts)|
|It automatically prevents any accidental account switching|
|Allows order enqueuing for later conditional execution|
|Allows automatic take profit based on user conditions|
|Can read and execute external orders watching a given order execution list|
|Allows the trader to "inject" strategic orders (handled algorithmically by the application)|
|Allows any kind of manual intervention or manual trading|
|Allows manually (pre)submitting orders (outside of the automatic scalping cycle)|
|Allows both "auto" and "manual" orders and transforming a manual order into an auto player and viceversa|
|Allows delimiting trading zones with discretionary bounds|
|Allows algorithmic trading on one direction only (long/short)|
|Keeps track of real time cointegration matrix to possibly "block" or hedge instruments|
|Does automatic folio recalibration, based on nominal values and volatilities (exposure)|
|Allows easy hedging with options|
extensive real time statistics about any
useful aspect of trading,
including complete history
of realtime PNL, gain, losses, unrealized, etc.
|Keeps track of real time volatility to adjust accordingly strategic games|
|Keeps track of realtime spread for entries and trading decisions|
|Allows the user to define strategic games by defining custom rules|
|Full support for FA (Financial Advisor) accounts.|
|Allows each instrument and each layer to have its own specific strategic game and settings|
|Supports instrument overlaying (multiple clones of the same instrument can be traded with different strategies) at different price levels and possibly with different strategic games|
|Allows player superposition and the scalping "game rules" can be analytically defined by the user|
|Allows managing individual players (close / deactivation)|
|Exports trading reports in txt, Excel and html format with images and visual trade representation|
|Keeps complete log of any activity|
|Allows (optional) connection to a DBMS for trade activity recording|
|Allows any backtests for folios of any size|
|Allows forward test under mutable random scenarios (mkt simulation) for any folio size|
|Can generate batteries of random experiments and show the distributions and performances for any strategic game|
|Allows forward live test on paper trading accounts, demo accounts, FA demo accounts|
|Can show account info of any number of linked accounts|
|Can compare account info with instance position (sync check)|
|Can backfill any tickdata gap, and can do it separately for BID and ASK|
|Allows resetting tickdata while maintaning all orders history and PNL|
|Allows removing spikes, outliers both in bid /ask curves and PNL curves|
|Allows projecting external positions to be handled within the application, or to re-sync|
|Allows easy roll over and automatically adjusts strategy players to possible contango or backwardation|
|Provides realtime info about dividends|
|Automatic retrieval of complete option chains and corresponding tickers symbols.|
|Automatic retrieval of options with strike near current price, for quick creation of "protection units".|
|Allows trading instruments and options within the same instance, so that PNL results are aggregated and the hedging effects of the "protection units", formed by the current options, are shown realtime|
|Allows automatic determination of "option protection units", through quick scan of the entire chain of available options for any instrument|
|Allows multiple criteria for "shares identification" (including the common schems FIFO, LIFO) useful for both the fund manager and the tax accountant|
Startup initiative, investors
G-BOT is heading towards a future of public company. If you are intested in investing or participating (underwriting) in the initiative, please get in contact.
A G-Bot wallpaper
Download [1600x1200, use in "stretch" mode]
Links to useful interesting technical articles
"Every forex broker is evil?!"
http://www.linkedin.com/groups?gid=4394344&trk=hb_side_g [Algorithmic Trading for Real Traders - LinkedIn]
Interesting or amusing threads
http://www.elitetrader.com/vb/showthread.php?threadid=171976 "Informal ranking of Chicago prop firms"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=200561&perpage=6&pagenumber=1 "You are more likely to become a top Hollywood actor or popstar than profitable trader"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=199982&perpage=6&pagenumber=1 "Are you smarter than a top M.I.T. Grad?"
http://www.elitetrader.com/br/ [Broker ratings and opinions]
"Every forex broker is evil?!"
[Proprietary trading firm directory]
http://investimonials.com/prop-firms/ [Firm rating]
http://www.elitetrader.com/vb/showthread.php?s=&threadid=212110&perpage=6&pagenumber=6 [discussion on unregulated 3rd party educational vendors]
http://www.interactivebrokers.com/en/general/education/webinars/cta-april2005.html [how to become a CTA]
We are not in the US, however, it's useful and wise to recall anyway the following:
U.S. Government Required Disclaimer
Commodity Futures Trading Commission Futures and Options trading has large potential rewards, but also large potential risks. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results. CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. All results shown on this website are live paper trading (broker: Interactive Brokers) results. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. Hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. All information on this website is for educational purposes only and is not intended to provide financial advice. Any statement about profits or income, expressed or implied, does not represent a guarantee. Your actual trading may result in losses as no trading system is guaranteed. You accept full responsibilities for your actions, trades, profit or loss, and agree to hold us and any authorized distributors of this information harmless in any and all ways. The use of this website constitutes acceptance of our user agreement. Logos and trademarks are the property of their respective owners.LIMITATION OF LIABILITY