I'd like to caution that judging from the comments I see from you so far in this, it appears that you have not much knowledge in the area. As such, if you're doing this for fun and learning, great. I'm sure you'll learn a lot. But if you're doing this for money, know that you are playing a difficult game against a lot of very good players.

I once attended a predator-prey algorithm seminar on stock trading at the International Conference on Machine Learning. I came away realizing that a ton of people are in this area, and not just the big banks. If you're doing this, go in realizing that you're trying to ride a bike for the first time without training wheels in a race against experienced motorcyclists.

These will be very good for you:

https://news.ycombinator.com/item?id=8994701

https://news.ycombinator.com/item?id=4360742

edit: spelling