What resources are the best to learn programming for Quantitative Trading?

What kind of things do you use programming for at a trading firm like Optiver, Akuna, Flow Traders, etc. The ones that don't have a programming test as part of their interview. Where can I get ahead and learn some of these languages in the way that they apply them every day? I was told "I would say large data set processing stuff with pandas" this was a good point to start. Just learning big data analysis and stuff with Python. What else should I be looking for? How do these firms automate trading ideas through coding? Just looking for some quant courses to help develop some skills I'd actually use day to day on one of these desks as I've accepted a full-time offer at one of these firms and think my coding skills aren't as good as some others who are applying to these firms

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Comments (5)

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Sep 13, 2021 - 11:13pm

Python is the most versatile and user friendly.

Load a dataset with pandas.  Start out with just some csvs.  Move on to other sources like APIs and SQL.

Run some statistical tests.  Is something linked to something else.  You can start out with basics like linear regression before moving to more complex models.  Sklearn, scipy, Keras are all popular.

If you find that something predicts price movement, run an out of sample backtest using the same libraries.  See what the success rate, sharpe ratio, drawdowns, and theoretical historical pnl is.  

Often for the actual execution, firms will use a faster language like C/C++.  And this may be a separate job entirely than the person who identifies the trades.
 

Sep 13, 2021 - 11:17pm

Thank you so much for the reply you really broke down what skills to focus on developing.

Pandas/Numpy for taking in and gathering data

Basic Regression followed by other libraries such as Sklearn Scipy Kerala for Statistical Tests and Models 

Utilize some sort of libraries for back testing (not sure what libraries) if I find any statistically significant leading indicators for price.

Do you know of any courses or what a potential course topic lineup would be for something like this? Maybe a basic data analytics course followed by statistical modeling for trading or machine learning for trading? 

Sep 13, 2021 - 11:34pm

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