Case study: Algorithmic trading with Go

#1

Post by _zkyx » Fri, Jun 30, 2023, 5:49 PM UTC

Case study: Algorithmic trading with Go
polygon.io

Re: Case study: Algorithmic trading with Go

#2

Post by _zkyx » Fri, Jun 30, 2023, 5:57 PM UTC

Happy to answer any questions about this. It's been a side project that turned into a full blown obsession. There is nothing too secret about the system since it's more about having a solid platform that you can plug your strategies into. I'd probably even open source it but I'd have to clean up all my hacks :)

Re: Case study: Algorithmic trading with Go

#3

Post by sneak » Fri, Jun 30, 2023, 6:05 PM UTC

Slightly related: when running 3 screens like that, put the middle (primary) one in landscape, so the array is like a big H.

It works better for videos and code, IMO. You still have two huge portrait fields for documentation/webpages/etc, or 8 portrait-oriented quarters.

I usually run 8 portrait-shaped windows quartered on the sides, then two side by side on the middle, which are each approximately square.

I don't like my editor window getting too tall.

Re: Case study: Algorithmic trading with Go

#4

Post by ghoshbishakh » Fri, Jun 30, 2023, 6:05 PM UTC

Who noticed the Chat GPT running on the right screen?

Re: Case study: Algorithmic trading with Go

#5

Post by _zkyx » Fri, Jun 30, 2023, 6:06 PM UTC

sneak wrote: post #3

Slightly related: when running 3 screens like that, put the middle (primary) one in landscape, so the array is like a big H. It works better for videos and code, IMO. You still have two huge portrait fields for documentation/webpages/etc, or 8 portrait-oriented quarters. I usually run 8 portrait-shaped windows quartered on the sides, then two side by side on the middle, which are each approximately square. I don't li…

Yeah, personally, it's been a game changer just being able to load so much more into your field of view. Having two side-by-side makes it really easy to look at other parts of your code and make changes. I'm loving it! I'll give the H method a try for a few days and see how it goes.

Re: Case study: Algorithmic trading with Go

#6

Post by victorbjorklund » Fri, Jun 30, 2023, 6:09 PM UTC

Nice. Been wanting to build a trading bot in elixir.

Re: Case study: Algorithmic trading with Go

#7

Post by infamousclyde » Fri, Jun 30, 2023, 6:10 PM UTC

Fascinating application of the language and a terrific write-up. I would presume a GC language would normally be a disqualifying factor in real-time trading, but I think I'm coughing up some premature optimization, especially with what looks like a pretty beefy rig. Congratulations though, this is spectacular.

Re: Case study: Algorithmic trading with Go

#8

Post by _zkyx » Fri, Jun 30, 2023, 6:12 PM UTC

infamousclyde wrote: post #7

Fascinating application of the language and a terrific write-up. I would presume a GC language would normally be a disqualifying factor in real-time trading, but I think I'm coughing up some premature optimization, especially with what looks like a pretty beefy rig. Congratulations though, this is spectacular.

Yeah, I never really looked a GC. Most of my trades take at least 500ms+ round trip. It's more in the latency to the broker and getting confirmations that I've been trying to tighten up. At least that's what I'm seeing right now.

Re: Case study: Algorithmic trading with Go

#9

Post by giis » Fri, Jun 30, 2023, 6:13 PM UTC

did you use TWS API or Web portal API for IBKR?

Re: Case study: Algorithmic trading with Go

#10

Post by mhh__ » Fri, Jun 30, 2023, 6:14 PM UTC

infamousclyde wrote: post #7

Fascinating application of the language and a terrific write-up. I would presume a GC language would normally be a disqualifying factor in real-time trading, but I think I'm coughing up some premature optimization, especially with what looks like a pretty beefy rig. Congratulations though, this is spectacular.

You say this as if memory allocation in general isn't extremely slow.