Resources

The framework is based on the book Building Algorithmic Trading Systems: A Trader’s Journey From Data Mining to Monte Carlo Simulation to Live Trading by Kevin Davey:

This page will be continually updated with links to external resources found to be useful. Use your own judgment to decide whether each is suitable for you.

Learning to trade

Note: Use the following as a guide to start learning. Useful knowledge is most definitely not limited to these lists.

First, if you have absolutely no idea about reasons for changing prices apart from pretty charts and cliches like “it’s magic” or “buy low, sell high”, start with understanding basic economics:

It is critical to understand the markets you trade. For the foreign exchange market, the following are good places to start:

Next, since algorithmic trading is highly technical and quantitative, learn as much as you can about trading strategies and technical analysis to get a feel for the mathematical principles behind some of the technical indicators so you can be sufficiently informed to glean the mechanics at work in a trading strategy.

Since this project is about algorithmic trading, know everything about how other people do it:

Finally, if you have access to a public or university library, you can sometimes find interesting books on trading systems to broaden your horizons.

Research

An algorithmic trading career requires constantly diversifying. The following lists link to places where you will find systems, strategies, blogs, etc. that you can validate and reject for yourself.