Hello there:
I am thinking about automatizing my strategy on the stock market… and I was wondering about something.
In order for a strategy to work on, we need technical indicators, like the SMA or the EMA, well… the SMA is easy to compute, but what about the EMA?? in order to calculate the EMA wee need the EMA of the last period ( let's say the period is 1 minute) and we also need the last closing price (I am assuming the EMA is calculated on the closing price)…
So that means I am going to need to calculate the EMA right from the begginging of the day, and if I want to use my strategy several times a day…my code will actually need to calculate the last EMA right from the begginging of the day?? if that is so, wouldn't it mean a lot of data to process if I run my code let's say at 11:00 a.m.??? Or maybe there is a better way to calculate EMA??
In this sense, how do HFT traders use technical indicators?? wouln't it need a lot of computational power?? specially if in my code I trade more than 1 ticker… or how can we compute the EMA together with live OCLHV live??
Hi Ghery,
The python libraries like talib are very well optimized for calculating indicators, be it SMA or EMA. You just need to input the correct parameters in the functions.
In the case of HFTs, things are different as they need a low latency infrastructure to execute orders efficiently. You can read the following blog to get more insights about the same:
https://blog.quantinsti.com/high-frequency-trading/
Hope this helps!
Thanks,
Akshay