Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''
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LimitOrders Adapted version of a trading algorithm Alpha Engine described in the … Dec 24, 2017
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README.md

The code presented here relates to the book chapter cited below. There are two implementations of the trading model algorithm:

  1. code.java: This class is intended to give an overview of how the trading model algorithm functions. However, the focus lies not on the framework supporting the trading model. As a result, users are required to implement some of their own code in order to get the trading model running.

  2. LimitOrders: A folder containing a fully functional version of the Alpha Engine utilizing limit orders.

Source:

The Alpha Engine: Designing an Automated Trading Algorithm
Golub, Anton and Glattfelder, James B. and Olsen, Richard B.
High Performance Computing in Finance
Chapman & Hall/CRC Series in Mathematical Finance
2017

A preprint is available at SSRN.

Abstract

We introduce a new approach to algorithmic investment management that yields profitable automated trading strategies. This trading model design is the result of a path of investigation that was chosen nearly three decades ago. Back then, a paradigm change was proposed for the way time is defined in financial markets, based on intrinsic events. This definition lead to the uncovering of a large set of scaling laws. An additional guiding principle was found by embedding the trading model construction in an agent-base framework, inspired by the study of complex systems. This new approach to designing automated trading algorithms is a parsimonious method for building a new type of investment strategy that not only generates profits, but also provides liquidity to financial markets and does not have a priori restrictions on the amount of assets that are managed.