Lessons learned building an ML trading system • Hacker News Board

Re: Lessons learned building an ML trading system

#31

Post by dtjohnnyb » Wed, Nov 27, 2019, 8:20 PM UTC

onlyrealcuzzo wrote: post #7

Is this the author? I would love to know how this fared recently in the large sell-off. What he says about some markets possibly being predicable rings true to me. But the article was far from convincing that the BTC market is actually predicable. The natural assumption should be that the author was in the right place at the right time. Although he went through great lengths, I'm not convinced this is anything other…

IANAquant, but he said in the intro that he used a market neutral strategy, so he _should_ make money both when the broader market is going up or down. It would be interesting to know though!

Re: Lessons learned building an ML trading system

#32

Post by anigbrowl » Wed, Nov 27, 2019, 8:25 PM UTC

arthurcolle wrote: post #17

cco wrote: post #9

And in the end, what value was created? "Liquidity in the BTC market"?

Don’t forget price discovery.

But you're not discovering anything valuable because there may not be a person on the other end of a trade. You're just learning about the chaotic boundaries of the trading algorithm.

Re: Lessons learned building an ML trading system

#33

Post by garmaine » Wed, Nov 27, 2019, 8:29 PM UTC

pjc50 wrote: post #27

carlsborg wrote: post #18

Earlier quoted context omitted.

> the orderbooks were slightly different between bots That sounds like a big deal. If this is repeatable, you should document it better. Unregulated doesn't mean a license to do blatantly illegal things. Crypto exchanges certainly get taken to court. Sure it wasnt your book building algo and a snapshot retrieval race?

Binance is in Malta, a somewhat corrupt tax haven; are you sure it's illegal there?

Malta is in the EU.

Re: Lessons learned building an ML trading system

#34

Post by [deleted] » Wed, Nov 27, 2019, 8:37 PM UTC

jrockway wrote: post #21

cco wrote: post #9

And in the end, what value was created? "Liquidity in the BTC market"?

I feel like commercial activity finds value and removes it from the system. To create value, you need to give someone else money. If I wanted to build a better society, I'd make sure everyone had the best possible education. Paying for this would bankrupt me, maybe even bankrupt the entire country. But with every single person in the country walking around with a deep understanding of music, art, mathematics, enginee…

[deleted]

Re: Lessons learned building an ML trading system

#35

Post by [deleted] » Wed, Nov 27, 2019, 8:39 PM UTC

jrockway wrote: post #21

cco wrote: post #9

And in the end, what value was created? "Liquidity in the BTC market"?

I feel like commercial activity finds value and removes it from the system. To create value, you need to give someone else money. If I wanted to build a better society, I'd make sure everyone had the best possible education. Paying for this would bankrupt me, maybe even bankrupt the entire country. But with every single person in the country walking around with a deep understanding of music, art, mathematics, enginee…

[deleted]

Re: Lessons learned building an ML trading system

#36

Post by jjoonathan » Wed, Nov 27, 2019, 8:46 PM UTC

jrockway wrote: post #21

cco wrote: post #9

And in the end, what value was created? "Liquidity in the BTC market"?

I feel like commercial activity finds value and removes it from the system. To create value, you need to give someone else money. If I wanted to build a better society, I'd make sure everyone had the best possible education. Paying for this would bankrupt me, maybe even bankrupt the entire country. But with every single person in the country walking around with a deep understanding of music, art, mathematics, enginee…

The reason why you feel this way is because there is a large difference between value† as defined by markets (which I'm writing with a dagger †) and value as defined by everyone else (which I'm writing without a dagger). Value† is weighted by wealth. Value is not. Feeding a starving African village generates value, but feeding a starving African village does not generate value†, because the village has no money. Figuring out how to monopolize the telecom industry generates value†, because it benefits heavily-weighted interests while only penalizing lightly-weighted interests, but it does not generate value.

Markets promote value† creation, but they don't promote value creation, except insofar as the two concepts coincide. It is instructive to think about the circumstances under which the two concepts coincide, the extent to which those circumstances hold, and the extent to which we are moving towards or away from those circumstances.

Re: Lessons learned building an ML trading system

#37

Post by milesvp » Wed, Nov 27, 2019, 8:50 PM UTC

nickreese wrote: post #11

After having spent an insane amount of time in late 2017/2018 building an HFT bot for Binance I can say this is a pretty solid article. In our case we were doing triangle trading between BTC/ETH/USDT pairs and had our buys/sell delay down to 3-7ms. At one point moving 0.3-0.7% of Binance’s daily volume. Few notes: * Finding an objective point of truth for value when all of the currencies are floating is hard but vita…

Even in regulated markets there are problems. I have a friend who built an HFT algorithm that he was using for trading stocks. He had some really good results with early testing. But at some point he was confused why many of his buy/sell orders weren't being executed despite being open for several minutes (hours?) his algo would make bids far away from the current spread, anticipating movement. He finally concluded that some institutional traders must have access to sub-penny ordering, despite it being against regulation.

I didn't believe him at first, since, the more likely problem was elsewhere, but then a few months later sub-penny trading in dark pools was all over the news. This was like 5 or 6 years ago. He's since moved on to other things having come to similar conclusions, that trying to play such a rigged game was futile.

Re: Lessons learned building an ML trading system

#38

Post by bhl » Wed, Nov 27, 2019, 8:51 PM UTC

nickreese wrote: post #11

After having spent an insane amount of time in late 2017/2018 building an HFT bot for Binance I can say this is a pretty solid article. In our case we were doing triangle trading between BTC/ETH/USDT pairs and had our buys/sell delay down to 3-7ms. At one point moving 0.3-0.7% of Binance’s daily volume. Few notes: * Finding an objective point of truth for value when all of the currencies are floating is hard but vita…

> Best we could tell someone was front running us due to an artificial delay for our account (delay between trades went to ~20ms up from our prior steady speed of 3-7ms) and/or a bunch of the trades in the orderbook were bogus.

I wouldn't be surprised, given that traditional HFT companies are building cryptotrading desks and they have a lot more capital to play with too.

Re: Lessons learned building an ML trading system

#39

Post by baq » Wed, Nov 27, 2019, 8:55 PM UTC

garmaine wrote: post #33

pjc50 wrote: post #27

Earlier quoted context omitted.

Binance is in Malta, a somewhat corrupt tax haven; are you sure it's illegal there?

Malta is in the EU.

This doesn’t guarantee much in itself. A journalist was murdered there for investigating corruption not that long ago.

Re: Lessons learned building an ML trading system

#40

Post by megaframe » Wed, Nov 27, 2019, 8:56 PM UTC

nickreese wrote: post #11

After having spent an insane amount of time in late 2017/2018 building an HFT bot for Binance I can say this is a pretty solid article. In our case we were doing triangle trading between BTC/ETH/USDT pairs and had our buys/sell delay down to 3-7ms. At one point moving 0.3-0.7% of Binance’s daily volume. Few notes: * Finding an objective point of truth for value when all of the currencies are floating is hard but vita…

Ran an ML model years ago had a number of great months then out of no where no trade I or the ML would make, would work. Looked like someone was front running my orders and messing with my trades. Weird delays, trades would take to long to go through all, and all sorts of odd events on Level 2. Ended up shutting it down took a good 2 months before my manual trades started going through at a normal rate again.

This is why the whole $0 trading fee and robinhood concern me. I'm paying for the trades and someone is still messing with me.