Hack the market

In 2005 I left my position as a wall st technologist to start Puppetmaster Trading and pursue full-time my long standing interest in algorithmic trading. My belief that trading – like chess, scheduling problems and so many other disciplines – could ultimately be better implemented by computer programs than by even the most talented and disciplined wetware “implementations”, was ultimately what had drawn me to wall st in the mid 1990′s.

As my experience on wall st developing trading systems grew, so has this belief. Of course, the more time one spends as a practitioner of algorithmic trading, the more one’s appreciation grows for the scope and variety of difficulties it presents. From pipes and plumbing to data and latency, from market-specific domain understanding to the rapidity of change in markets and technologies, the automated quantitative trader is daily exposed to challenges commensurate with the financial risks faced by any participant in global capital markets.

This blog is my public notepad for musing aloud about some of these issues where I hope to share some of my experiences developing and trading our own algorithmic trading platform.

My interests and topics will include

• strategy design and development
• back-testing, optimizing, monte-carlo methods
• performance analysis
• technologies, standards and libraries
• relevant events, papers and discussions

but will inevitably change over time (and occasionally be over-ridden by the semi-random musings which invariably afflict all bloggers).

I hope you will find some of these notes of interest and encourage you to post comments when something piques your interest or when I get something wrong. I can also be reached by email: tito ~ at ~ puppetmastertrading DOT com and complete contact information is available on our main site.

- Tito Ingargiola