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Case study: Algorithmic trading with Go

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Re: Case study: Algorithmic trading with Go

#101

Post by _zkyx »

theLiminator wrote: post #94
_zkyx wrote: post #2

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 :)

Is your system consistently profitable enough for you to live off of? How long did it take you to get to this point?

No way. Not even close. That would be the dream though. Taxes are insane in Canada. Like 50% insane. Housing and kids just eat money. Maybe if I was renting and didn't have a family but that's not happening.

Re: Case study: Algorithmic trading with Go

#102

Post by auntienomen »

joshu wrote: post #57

also having worked in the space: HFT should not exist. Break up the day into segments and have a single crossing. Do it every five minutes or whatever for sufficient timeliness. the millisecond race does not make anything better for anybody except the people doing the trading.

Running the matching engine at discrete times doesn't eliminate the speed race, as that's mainly about jockeying for queue position. You could put in an auction instead, but that's just changing the rules of the game rather than eliminating the game.

But really, the key thing is that liquidity provision actually is a service -- market makers are basically selling insurance. There's money to be made doing his, so people will compete to do so. That's what the millisecond race is about. Faster trading -> less risk for the MM -> less capital needed -> lower profits acceptable. Contra what you're claiming, the race is cutting into profits, not raising them.

If you want to reduce market-maker profits, crack down on payment for order flow, and let everyone compete for a chance to trade against it.

Re: Case study: Algorithmic trading with Go

#103

Post by RomanPushkin »

Go itself, or any other language won't give you too much of an advantage. What gives you advantage is trading algo, which is always hard to find. I've spent months on figuring out the best parameters for trading. Ended up this working only on historical data, while in reality it was totally different.

I could use Visual Basic, and it would be better than Go, Rust, or whatever it is out there, given the algo and strategy are flawless. Language is just a tool. It's great you used Go, but I think the title is a bit misleading - people think of it as some kind of advantage. It isn't.

And for HFT trading a language with Garbage Collector is not a great choice IMO.

Re: Case study: Algorithmic trading with Go

#104

Post by dzink »

I love finding other people who enjoy the pure feedback loop of code, strategy, and money that trading provides for me. I’ve been working on timing and correlations between stocks and indexes as a source of alpha and having some success. Now trying to automate the process and absolutely loving the work along the way. Not trying to play market maker and not jumping between stocks. Instead honing in on an accurate model that monetizes a few really well. Some tools I find useful: TradingView and Pinescript indicators and strategies, excel models with exported data for backtesting, Python and Go for the backend machine learning, ChatGPT for faster iteration on new code. Would love to talk shop if you guys are interested: trading @ dianazink.com

Re: Case study: Algorithmic trading with Go

#105

Post by pdimitar »

dataangel wrote: post #97
pdimitar wrote: post #77

Really funny coincidence that I am seeing Interactive Brokers mentioned in this good article. Story + rant time, feel free to skip if you are not interested how one guy gambled and lost. It's also a tentative call for partnership if somebody is interested. And a call for chat if anyone has any interest in the topic. (It's also kind of off-topic, my apologies for that. To me it seems semi-related but would agree with…

How did you get into this kind of shady arrangement? This is not how it works if you go to a reputable prop firm. Also sometimes they already have infra setup for you to build on.

A liaison of these "investors" found me somehow. I can only hypothesize it was through HN.

And yes I was tempted. I also don't have any trading credentials. I'm simply a senior programmer with an eye for details who always wanted to try his hand at algorithmic trading. So yeah, I got hooked. :(

Re: Case study: Algorithmic trading with Go

#106

Post by _zkyx »

RomanPushkin wrote: post #103

Go itself, or any other language won't give you too much of an advantage. What gives you advantage is trading algo, which is always hard to find. I've spent months on figuring out the best parameters for trading. Ended up this working only on historical data, while in reality it was totally different. I could use Visual Basic, and it would be better than Go, Rust, or whatever it is out there, given the algo and strat…

Hey, I write this. I did program this in Go. The reason is that it's my go to programming language. Using it is actually a disadvantage in that the industry uses C++ and Python but that's just what I know how to program in. I wasn't trying to be misleading. Go does work really well for taking in data, doing something with it, and then calling a remote API. So, it actually works really well but if you wanted to get a job based off this it probably wouldn't help you.

Re: Case study: Algorithmic trading with Go

#107

Post by antiviral »

dist-epoch wrote: post #100
antiviral wrote: post #58

Earlier quoted context omitted.

You may be interested in this: https://www.techtrader.ai/#wall Excerpt from his site: "Tech Trader is a fully autonomous trading system live with no human intervention or updates, now for over 10 years. It is unique from conventional algorithmic systems, not only because it actually is fully automated, but because it takes a "human" approach to markets. It is not quant. It is not stat-arb. It is not high frequency. I…

No broker API change in 10 years? No bugs? I call bullshit. Reads more like a scam for trading signals.

I don't run that site myself, but a quick search on sec.gov shows it's a registered hedge fund:

https://www.sec.gov/Archives/edgar/data/1653903/000165390318...

I can't say any more about its validity. Ask your financial planner if techtrader is right for you :)

Re: Case study: Algorithmic trading with Go

#108

Post by cachvico »

RomanPushkin wrote: post #103

Go itself, or any other language won't give you too much of an advantage. What gives you advantage is trading algo, which is always hard to find. I've spent months on figuring out the best parameters for trading. Ended up this working only on historical data, while in reality it was totally different. I could use Visual Basic, and it would be better than Go, Rust, or whatever it is out there, given the algo and strat…

A language should be considered with its ecosystem, which is why the author started delegating parts to Python by the end.

Therefore the title was actually on point.

Re: Case study: Algorithmic trading with Go

#109

Post by alchemist1e9 »

joshu wrote: post #57

also having worked in the space: HFT should not exist. Break up the day into segments and have a single crossing. Do it every five minutes or whatever for sufficient timeliness. the millisecond race does not make anything better for anybody except the people doing the trading.

[flagged]

Re: Case study: Algorithmic trading with Go

#110

Post by wwilim »

ye-olde-sysrq wrote: post #49

I worked in HFT for a while. I find the whole space fascinating. I'm glad OP found similar thrills. "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 con…

Sample size one. Contracting for a trading shop for 2 years taught me that it's not technical aptitude that keeps the business rolling.
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