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Ask HN: Any high frequency trading hackers

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Re: Ask HN: Any high frequency trading hackers

#51

Post by a904guy »

ajays wrote: post #39
a904guy wrote: post #16

I've been working on an algorithmic trading system using machine learning, it is not HFT currently. It is currently daily (24h+ held equities), the intra-day side (~5-60 minute held equities) will come very quick after I feel comfortable with the machine learning side of things. The source of data will change, and a few tweaks to the actual trading system and it will be running intra-day. The HFT will only come aroun…

Where do you get the data? I've found that access to (inexpensive) sources of data to be a problem. For backtesting, I'd love to get historical data; even a sample would do. A long time ago, Island used to make their data available. Then they were bought out by NASDAQ, and no more data :-(

I've been collecting data from various places, originally while I was building the framework I simply downloaded yahoo daily data to test against.

Now I've been downloading and recording tick changes from my broker, Optionshouse.com.

Re: Ask HN: Any high frequency trading hackers

#52

Post by a904guy »

ricosroughnecks wrote: post #37
a904guy wrote: post #32

Earlier quoted context omitted.

I will shoot you an email in the morning.

I used to trade Forex (had a small startup). I'm looking to get back into the game. Currently working on a few algorithms that I'd like to test out, soon. I'd love to bounce some ideas around with you. Email is in my profile!

I've been tinkering with Forex at eToro. I can see ALOT of potential there, I would also like to chat about it with you as well. I will contact you shortly.

Re: Ask HN: Any high frequency trading hackers

#53

Post by ct »

a904guy wrote: post #50
logicwins wrote: post #35

Earlier quoted context omitted.

Also interested. I have wanted to try GAs with this same general approach for awhile but I have a trading background not a coding one. logicwins atthe gmail dot com.

I'll shoot you an email today.

Hey I'm interested in this and have tried to code some stuff in C# for options trading and using candlestick patterns, support/resistance, etc. I'm now sort of looking into options pinning on expiration and exploiting that - just need to find a good cheap source for options data. Anyhow can you send me an email - maybe we can help each other out? carbtrader @ gmail dot com

Re: Ask HN: Any high frequency trading hackers

#54

Post by Vivtek »

pavel_lishin wrote: post #18
Vivtek wrote: post #2

Light speed seems to be a pretty important problem - the added benefit being if you crack that nut, further employment will be unnecessary.

Yeah, but causal loops would be a bitch.

Oh, well, what's one more type of pollution? I think a world with causal pollution would be a more interesting one.

Re: Ask HN: Any high frequency trading hackers

#55

Post by drallison »

Maxeler Technologies (http://www.maxeler.com)supplies turnkey FPGA-based acceleration that supports high speed trading with trading latencies on the order of a few microseconds. Software development for the accelerated platform begins with a client's "known to work" proprietary code, which Maxeler accelerates. When latency is an important performance factor, the Maxeler trading server needs to be collocated in the exchange.

Re: Ask HN: Any high frequency trading hackers

#57

Post by photon_off »

SkyMarshal wrote: post #7
SandB0x wrote: post #3

You won't find a better place to ask than: http://www.wilmott.com/index.cfm?&forumid=1

Great site. OP might find http://collective2.com interesting as well. Lots of medium-frequency algorithms that might be more accessible if you can't pay big bucks to colo.

Thanks for sharing. Have you subscribed to any strategies?

Re: Ask HN: Any high frequency trading hackers

#58

Post by SkyMarshal »

photon_off wrote: post #57
SkyMarshal wrote: post #7

Earlier quoted context omitted.

Great site. OP might find http://collective2.com interesting as well. Lots of medium-frequency algorithms that might be more accessible if you can't pay big bucks to colo.

Thanks for sharing. Have you subscribed to any strategies?

No, I was playing around with creating some basic strategies a while back using MetaTrader4 (http://www.metatrader4.com/) to see how it works when I discovered that site. Never got around to trying other peoples'.

Re: Ask HN: Any high frequency trading hackers

#59

Post by ig1 »

Dn_Ab wrote: post #48
ig1 wrote: post #46

Earlier quoted context omitted.

Betfair gives you access to the order book and you can get historical data relatively cheaply. Pretty much any liquid market on Betfair will do (in-play sports events tend to be good). Betfair markets to tend to show a lot of the same patterns as "real markets', although obviously there are differences. But it's a decent place to learn the fundamentals. You're right that potential returns are much higher on real mark…

If it wouldn't trouble you to do so, could you go into more detail please? Do you have experience with this? You are saying that any sport event, in particular those that are in play actually have some statistical mineable property with profitably exploitable strategies? If this is the case, with such a low barrier should this not be a game with zero expectation in the long run (maybe negative if there are minimum be…

I've messed around a little bit with it, but I know some of my quant friends do it more seriously. There's definitely ways of making money of betfair, you even occasionally have arbitrage opportunities across the different markets on betfair.

I think the fundamentals are close enough that it's a useful place to learn. You're not going to be able to take a method that works on Betfair and apply it to a real market, but a lot of the statistical mining/predictions techniques you can use of betfair are exactly the same as those used in real markets.

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