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Case study: Algorithmic trading with Go

polygon.io

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Re: Case study: Algorithmic trading with Go

#111

Post by HWR_14 »

tick_tock_tick wrote: post #82
HWR_14 wrote: post #79

Earlier quoted context omitted.

Why is competition among exchanges a good thing? Why not a single, very regulated, exchange which serves as a neutral playing field?

Single point of failure is a simple justification right off the top of my head. What happens if you have a critical failure that brings down an exchange for several days?

If the NYSE went down, wouldn't most trading stop because of people being frightened about using old mismatched prices?

Besides, when has an exchange gone done for hours, let alone days? Absent intentional breaks in trading as speedbumps.

Re: Case study: Algorithmic trading with Go

#112

Post by oh_sigh »

Are there any examples out there ofactual algotrading strategies that made money in a real market, say within the past 10 years? I know these are closely guarded secrets, but figured someone may have published a strategy that ceased being profitable.

Re: Case study: Algorithmic trading with Go

#113

Post by TechBro8615 »

Nice writeup. I appreciate the concrete discussion and especially the screenshots. I understand not discussing strategies, but can you elaborate on whether your trading is entirely based on technical analysis, or do you use external (or "alt") data feeds? In other words, is this a mostly closed system with inputs from Polygon and outputs to the IB API, or do you have a more extensive setup of custom data feeds of news sites, twitter, reddit, etc? If so, I'd be curious what challenges you face balancing those with historical backtesting, when some data sources might only have partial historical coverage.

Re: Case study: Algorithmic trading with Go

#114

Post by theLiminator »

_zkyx wrote: post #101
theLiminator wrote: post #94

Earlier quoted context omitted.

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.

Curious if you mind sharing your sharpe/annual return? I understand if you don't want to though!

Re: Case study: Algorithmic trading with Go

#115

Post by blibble »

wwilim wrote: post #110
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.

however ineptitude very quickly brings the entire thing down

Re: Case study: Algorithmic trading with Go

#116

Post by _zkyx »

TechBro8615 wrote: post #113

Nice writeup. I appreciate the concrete discussion and especially the screenshots. I understand not discussing strategies, but can you elaborate on whether your trading is entirely based on technical analysis, or do you use external (or "alt") data feeds? In other words, is this a mostly closed system with inputs from Polygon and outputs to the IB API, or do you have a more extensive setup of custom data feeds of new…

All my data is from polygon.io and nothing external. I have been exploring using lookup tables of pre-computed historical values to do things like anomaly detection (ie, is this normal activity for this stock). A good example would be BXRX today [1]. I have been looking at options trading activity too and trying to use that as a signal.

[1] https://www.google.com/search?q=BXRX

Re: Case study: Algorithmic trading with Go

#117

Post by chollida1 »

HWR_14 wrote: post #111
tick_tock_tick wrote: post #82

Earlier quoted context omitted.

Single point of failure is a simple justification right off the top of my head. What happens if you have a critical failure that brings down an exchange for several days?

If the NYSE went down, wouldn't most trading stop because of people being frightened about using old mismatched prices? Besides, when has an exchange gone done for hours, let alone days? Absent intentional breaks in trading as speedbumps.

> If the NYSE went down, wouldn't most trading stop because of people being frightened about using old mismatched prices?

Why would you assume that.

Every exchange is a valid place to trade and the sip ensures you always have the correct NBBO

Re: Case study: Algorithmic trading with Go

#118

Post by grog454 »

alchemist1e9 wrote: post #109
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]

> but overall it performs a valuable economic function

Can you explain what that is?

> To understand this requires understanding markets very deeply

Apparently you aren't the only person on this forum who does. Are we just supposed to take your word for it?

Re: Case study: Algorithmic trading with Go

#119

Post by Fripplebubby »

_zkyx wrote: post #42
pqdbr wrote: post #33

Earlier quoted context omitted.

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?

Yeah, right now I'm only set up to buy stocks. I haven't tried to short anything yet. I want to get to this eventually since it would be nice to make money when the market goes down too.

I'm sure you know this, but for others reading this who are novices at finance / trading, like I am - the gotcha here is that while the strategy may be symmetric, the risk is not - when buying a stock, there is a floor to how much money you can lose (the price you paid for the stock), while with short-selling, there is no such floor, since the price can rise to any amount and increase your losses to infinite. I believe that traders will use hedges to account for this, however, these hedges will eat into your profits if they are not exercised (but may save your bacon if they are!).

Re: Case study: Algorithmic trading with Go

#120

Post by blibble »

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.

periodic auctions are common on european exchanges (pesky limits on dark pool volume)

instead of order entry + continuous matching: order entry is allowed, but no matching (like pre-open phase)

then after a random period of time the auction algo runs on the entered orders

then repeat the entire thing every second

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