Comment on A high-frequency trading model using Interactive Brokers API in PythonparentComments−tborenst11yAny good resources regarding building risk systems for someone who is new to the field?−zeeshanm11yHere are some ideas:- throttle your orders to the market- set a threshold for market risk you can take per symbol, per sector, etc.- take into consideration average daily volume of a symbol for calculating market risk threshold- implement controls to send cancels for unfilled orders in the event if algo goes haywire- reject orders priced at some percentage less or more than current market price per share
Comments
Any good resources regarding building risk systems for someone who is new to the field?
Here are some ideas:
- throttle your orders to the market
- set a threshold for market risk you can take per symbol, per sector, etc.
- take into consideration average daily volume of a symbol for calculating market risk threshold
- implement controls to send cancels for unfilled orders in the event if algo goes haywire
- reject orders priced at some percentage less or more than current market price per share