Earlier quoted context omitted.
@WestCoastJustin I've been really wanting to use Go, but as you say, much of the community is Python due to the data analysis strengths. To the detriment of the other things Python does do poorly. Can you give some thoughts with your experimentation on the following from a Go perspective. 1. Supported TA libraries in Go. I'm familiar with TAlib (python), bloom, etc. - certain forks tailored to real time rather than h…
Why not switch to Mojo lang for this? It's Python-compatible with Golang like performance from what I hear.
Case study: Algorithmic trading with Go
41–50 of 311 posts
Re: Case study: Algorithmic trading with Go
#42Earlier quoted context omitted.
I have won and lots thousands for sure. Haha. When stocks were on a rip the bot was making lots of money just because everything was going way up. Then, in 2022 when everything went way down, like tons of tech stocks, my bot sucked. So, I really need to add shorting or something. I'm still exploring things on the strategy side.
Isn't the trend detection equally applicable to shorting as well, with swapped signals? Or do you believe there are more fundamental changes needed so your app can trade in shorting as well?
Re: Case study: Algorithmic trading with Go
#43Regarding open sourcing: don't be afraid to show your flaws; it doesn't have to be lonely if it is open source. Obviously whatever trading bot you're running separate from the actual trading engine itself is somewhat proprietary, but it would be great for the community to get more of this type of software in the hands of other hackers. Quantopian / Robinhood tried and failed, and the numerous clones since then have b…
Re: Case study: Algorithmic trading with Go
#44You don't have to use the system I am building, but it's worth thinking about that design.
Re: Case study: Algorithmic trading with Go
#45Fascinating 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.
Mostly because you'll never be able to respond to each tick as by the time the tick gets to you the market has moved.
Use the language that you know and can work with the fastest. For retail trading GC vs non GC will never matter at all.
Re: Case study: Algorithmic trading with Go
#46Earlier quoted context omitted.
This is going to sound crazy given all the scams out there. But I was interested in testing the idea of small compounding returns. Like, could you get a daily 0.5% compounding return. Sure, you could go all in on TSLA for example and get a 1% daily return. But, could you do that with automation, using lots of small bets, across the entire market. You can, but there is a scale issue here. In that you need to make expo…
> Like, could you get a daily 0.5% compounding return It seems that this is the key to your approach. How is this part achieved?
Re: Case study: Algorithmic trading with Go
#47Hi Justin, you might be interested in my blog: https://github.com/marsupialtail/quokka/blob/master/blog/bac... advocating a cloud based approach. You don't have to use the system I am building, but it's worth thinking about that design.
Re: Case study: Algorithmic trading with Go
#48Earlier quoted context omitted.
@WestCoastJustin I've been really wanting to use Go, but as you say, much of the community is Python due to the data analysis strengths. To the detriment of the other things Python does do poorly. Can you give some thoughts with your experimentation on the following from a Go perspective. 1. Supported TA libraries in Go. I'm familiar with TAlib (python), bloom, etc. - certain forks tailored to real time rather than h…
Why not switch to Mojo lang for this? It's Python-compatible with Golang like performance from what I hear.
Re: Case study: Algorithmic trading with Go
#49"This aspect, the platform itself, seems to be often overlooked in most discussions. Many conversations revolve around strategies (mean reversion, trend following, linear regression, etc.), and backtesting, without fully addressing the practical mechanics or logistics of strategy implementation, particularly in the context of live, intraday trading."
I'm glad you had fun, OP, but also I think I can shed some light on why most people discuss strategy.
Trading is a perfect storm of ridiculously high tech, ridiculously complicated, ridiculously regulated (Not over-regulated, mind you, this isn't a value judgement. But the amount of regulation is extremely high.), and ridiculously competitive.
But that said, it's the last bit that drives it all. Since it's so competitive, even though building an order entry system, and a risk system, and a position-tracking system, etc is a huge accomplishment (again, congrats OP!), it's table-stakes to even dip your toes in the pool here. Trading shops can attract top talent and robust, bespoke trading systems are basically cost of entry.
So people talk about strategy because everyone already has the table-stakes stuff and are now trying to make money with it.
It doesn't help, too, that lots of market participants aren't even playing the same game. In HFT, we operated on trades with alphas that lasted a few seconds, where races to entry/exit were battled in shaving nanoseconds off FPGAs being able to shoot out orders and microseconds off wireless networks flying market data around new jersey. Meanwhile, banks are more concerned with elections and geopolitics than they are about the weather in Carteret. (Rain = no microwave network for the day). And then there's a million strategies in the middle with alphas that last from hours to weeks.
So it makes it really hard to even speak the same language to each other when talking in common forums.
It's a fun world. I miss it sometimes.
Re: Case study: Algorithmic trading with Go
#50Happy 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 :)
@WestCoastJustin I've been really wanting to use Go, but as you say, much of the community is Python due to the data analysis strengths. To the detriment of the other things Python does do poorly. Can you give some thoughts with your experimentation on the following from a Go perspective. 1. Supported TA libraries in Go. I'm familiar with TAlib (python), bloom, etc. - certain forks tailored to real time rather than h…