Sunday 31 January 2010

First Post

Let me tell you what this blog is about - it's about linking up programming, spreadsheets and gambling sites like Betfair, Betdaq and other sites where there is a public API. The hope is that I'll develop some automated trading application that will make me some money, and that I'll learn something.

There are three automated trading applications I am keen to put together: (1) a simple automated market making application for relatively illiquid markets. Seeded with basically OK probabilities, it will attempt to maintain a balanced book. In particular, this will be used for the UK general election, where current volumes are modest, and there is little in the way of inside information. (2) something that uses Bayesian analysis to autotrade certain markets. The idea will be automatically 'train' a system to recognise stories (off an RSS feed) that should affect prices, and then get there ahead of human traders. In financial services, such systems already exist; I haven't seen anything like that in gambling. (3) A system that relies on a degree of mean reversion - so when prices move too quickly, particularly on just a single selection in a market, it supplies a small amount of liquidity, in the hope that it will take a small cut when prices stabilise. I may also do some cross-pricing/arbitrage between Betfair and Betdaq and the bookies - although I suspect anything that simple will have been already comprehensively done by others.

What I'm not going to do is to apply any specific sporting knowledge or algorithms. I know plenty of professional gamblers that have their own proprietary cricket or football pricing models. I can't match that.

As far as tools, I'll be mostly using Excel and Resolver One. The former because it is the de facto spreadsheet that everyone uses. The latter because it is much more programmable, and because Python is a much better language than VBA. (Resolver isn't much used by individuals, but is very popular with traders and quantitative analysts in the City. It's also only $99 for individual use - which makes it rather better value than Excel.)

Next post: getting simple prices out of Betfair...

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