‘Was Written For Me’
Talk about niche? This book is written for people who understand trading shares and forex, want to automate their trading, and are comfortable with Common Lisp and CLOS as the programming language.
There can’t be too many of them. Lisp has been enjoying some new popularity in recent years but it’s still not actually popular.
This may explain the price: £80 for the book on Amazon right now. It was pricey enough when I bought it, and that was a while ago - it’s a testament to my to-read pile that I bought this book in November 2013 and have only now read it.
It’s good at what it does too. It covers a lot of the basics around building an automated trading platform, with some useful ideas and recommendations that I can see would be hard-won. It doesn’t give you a trading platform written in Lisp, but it isn’t trying to - it’s using the code as a guide and a precise explanation rather than an actual tool for use. And that’s usually what I’d want anyway - text can be vague when code isn’t. (Code can be obtuse and obfuscated, but rarely is it vague.)
There’s less about trading strategies than I’d like. The book describes a few, and most importantly talks about back testing and forward testing strategies along with additional considerations like slippage and costs that aren’t necessarily taken into account during tests. That’s great. I’d still like to have seen more strategies though.
The nuts and bolts of automated trading 5 years ago is covered well. Some things are quite different now, but knowing the basics from this book should help.