Professional Automated Trading: Theory and Practice 1st Edition

I think in time this book will come to be seen as kind of a revelation, with some Rosetta Stone thrown in (the LISP part). Enough people have complained about the lisp examples, so I will skip those.I actually started at the back, because I needed to see how he designed the automated risk sub-system. The fact that substantial attention is devoted to this, should tell you how complete the book is. The entire book is a pretty comprehensive survey of how to build an automated prop trading operation. It's odd that the title says 'professional' whilst the original Wiley description repeatedly refers to the book as 'Proprietary Automated Trading'. This was probably the original title and would have been more appropriate when you see the content.It's not a book about setting up an HF or automated market-making operation, though some of the strategies discussed could be used at the tick level. The reason is that a large chunk of the book discusses the methodology for measuring performance and optimizing the mix of which strategies are deployed at any one time. This is the real genius (or thought provoking part) of the book. I would previously have assumed that I wanted my mean reversion strategy to be as sophisticated as possible to best predict the range or maybe when to duck for cover. Additionally you might want to couple it with some clever market regime detection.Durenard does none of that. He runs [effectively paper trades] many strategies with many parameters simultaneously and switches them in and out of real trading based on their 'fitness'. He also optimizes the entire portfolio of strategies. All this is done continuously intra-day. Technically regime detection is done, but it is done by analyzing the performance of the strategies rather than analyzing the market.Because you need a large amount of infrastructure to achieve all this, it is not really applicable at the CTA or Metatrader level, but it is quite rare for someone to layout a design of how an entire operation should work. For that I would have to award 5 stars, LISP or no LISP.

I work in the field of HFT and this book was quite interesting reading: lots of new information, especially, about swarm systems and implementations. I may say that this books is advanced and not for beginners. I give four stars and not five because the book is overloaded with the lisp code. My recommendation to Eugene is to replace code with top-level class and flow diagrams and add more information, say, about FPGA (b/c, as author mentioned, he is doing some research in this field) - it will be very interesting, also less math formulas and more human words will simplify reading during relaxed weekends. Overall, this book is very good and useful.

The author, Eugene A. Durenard, has a written a thorough overview of the complete technical systems needed to get a trading business off the ground and running. He not only provides the theory and systems for trading (with sample code) but also the needed infrastructure, with emphasis on not only performance but also disaster recovery (internal or external) as well as the more usual communication and maintenance outages. Additionally, he also touches on the minimum viable (hedge fund) business size, personnel-wise and funding-wise. The architecture the author advocates can be used to implement everything from a (conditional) market-making desk to a pure trading business.For those who may be scared off due to the use of actual Common Lisp code instead of pseudo-code, I recommend Peter Seibel's "Practical Common Lisp" (available on Amazon or for free through Peter's site: http:// gigamonkeys . com/book / {remove the spaces}). My major criticism of his code is that Mr. Durenard seems averse to using Lisp's built in LOOP construct, which would have greatly reduced his need to repeatedly loop over the same data set over and over again when calculating trading statistics.

The author clearly knows what he is talking about. This is a book that will get you to think and modify your strategies so that they are more adaptive to different market conditions. However, I do not understand why the author choose to show his examples in LISP and not something easier. I personally am at a very very beginners level when it comes to coding etc., therefore the hardest part about this book is coming across all code related parts. Maybe its just me or other readers may also find this to be one of the cons in this book. Another thing I dislike about this book is that the author made understanding his concept and examples hard by being, in my opinion, too technical in a coding sense. However, experienced traders should not have much problem understanding the concept the author is trying to bring out in this book even if you do not understand the codes. I was able to take out all concepts presented in this book and will definitely test and modify its concept to fit my set of strategies. This book and especially the examples given could have been written in a way that is easier to read.