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contango_and_cash


Total Posts: 132
Joined: Sep 2015
 
Posted: 2020-11-30 20:50
I am looking for a book or blog on the "nuts and bolts" of automated trading systems.

How to think about:

Interacting with Level 2 book?
Best practices on creating and being sure an order gets filled? Eg: Make a thread, have that thread run while trying to get filled without getting a "f*ck you" level
How to think about rebalancing portfolios while thinking about cash settlement...etc
Signal logging in databases
Transforming from signal to position size
Dollar beta neutral transforms
...etc

Ideally with cookbook examples (?)

EP Chan books are great but tend to be more signal or topic focused.

Some people have posted about https://www.amazon.com/dp/0578715236/ref=cm_sw_em_r_mt_dp_DQvXFb23VC7Y6 on linkedin, but I haven't seen any unbiased praise.



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