great work OP.
Case study: Algorithmic trading with Go
231–240 of 311 posts
Re: Case study: Algorithmic trading with Go
#232Earlier quoted context omitted.
What would rising levels of being lifted out of poverty suggest? The equality gap doesn’t count for much if you starve or freeze to death, and poverty is declining world wide.
> poverty is declining world wide That depends on how you measure it.
Yeah, keep changing the measure until Bill Gates, Jeff Bezos etc are below poverty line.
Re: Case study: Algorithmic trading with Go
#233I caught the algotrading bug recently and I've been wanting to backtest a couple of strategies involving ETFs. Right now I'm only looking at the open, close, daily high/low. The problem however is that you have to account for dividends and splits, which I'm not sure how to do (Admittedly, I haven't looked too deeply into it). Any advice on how to do that? Let's say I want to backtest some strategy involving UPRO; wou…
Harsh answer - if you have to ask this question here, then stop it now. Thing is, you will be fooled by bad data - you will find strategies that works in a backtest but not in production. And the reason will be because you missed some important finance concept (like taxes, dividends, stock splits etc). In this field 99% of success in my opinion is knowing what you don’t know. And only model that small part that you k…
Fair point. Right now I'm just doing it as a hobby. I'm not going to be making any real trades for a while and even when I do I don't plan on making money from it (at least not for some time).
Re: Case study: Algorithmic trading with Go
#234I caught the algotrading bug recently and I've been wanting to backtest a couple of strategies involving ETFs. Right now I'm only looking at the open, close, daily high/low. The problem however is that you have to account for dividends and splits, which I'm not sure how to do (Admittedly, I haven't looked too deeply into it). Any advice on how to do that? Let's say I want to backtest some strategy involving UPRO; wou…
Depending on your provider, but there could be an "Adjusted Close" (Yahoo has it) which includes stock splits and dividends. I tried a few backtesting libraries, thought backtesting.py[1] was easy to work with and straight to the point. 1. https://github.com/kernc/backtesting.py
Thanks. I've heard that yahoo finance historical price data is usually pretty accurate, but can get it wrong sometimes. Is there a better source for price data, or is yahoo finance good enough in your experience?
Re: Case study: Algorithmic trading with Go
#235Earlier quoted context omitted.
It may seem so at the first glance, but such trading if carried out by many independent providers actually increases the liquidity if the market for everyone else. Likewise with crypto. Personally I don't think that if you're calling an API over an Internet it matters if your trading bot is written in go or python (mine was in python). Use the language you're most comfortable in. The network and trade submission/exec…
"increases the liquidity if the market for everyone else" That's just it. The whole premise is pretty absurd. The market, the actors, everything. It's so far removed from literally anything remotely human. It's the financial equivalent of an infinite sea of AI bots producing CVs and research papers which are only being evaluated and read by other bots. If you step away from it all for a second, what the hell is the e…
I mean, efficient allocation of capital is the overarching goal. HFT is either a facilitator of that or a perverse byproduct, depending on who you ask.
Re: Case study: Algorithmic trading with Go
#236Re: Case study: Algorithmic trading with Go
#237Earlier quoted context omitted.
It may seem so at the first glance, but such trading if carried out by many independent providers actually increases the liquidity if the market for everyone else. Likewise with crypto. Personally I don't think that if you're calling an API over an Internet it matters if your trading bot is written in go or python (mine was in python). Use the language you're most comfortable in. The network and trade submission/exec…
"increases the liquidity if the market for everyone else" That's just it. The whole premise is pretty absurd. The market, the actors, everything. It's so far removed from literally anything remotely human. It's the financial equivalent of an infinite sea of AI bots producing CVs and research papers which are only being evaluated and read by other bots. If you step away from it all for a second, what the hell is the e…
At any point in time yes, this is an accurate description. When you integrate over time it’s not. At the end of the line it’s people betting with advanced tools for execution of their bets. Behind the mathematical beauty of risk free and arbitrage, there is a reality of someone, somewhere making a bet at end of a line of contracts. And there is also someone making the opposite bet. Markets are not disseminating information but beliefs as a proxy for information, and as such they are much more human than you would think. The end game is a network of beliefs, livelihoods, politics and petty or grand aspirations, the same mess as in any organisation. The only reason you question the futility of this one specifically is that it’s a clean room abstraction of the futility embedded everywhere. I would call it futility as a service.
Re: Case study: Algorithmic trading with Go
#238I see the new bull market is bringing back these kinds of articles.
Yeah, I've been messing around with this for 4+ years so. Got to see COVID nose dive, meme stocks, massive build up, market taking a dump, bank collapses, and now a bull run again. I have no idea if it was always like this but it has been in insane.
It's always like that.
Re: Case study: Algorithmic trading with Go
#239also 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.
I think you would still end up with races, they'd just move around. IEX's "speed bump" was just marketing and didn't really matter to actual HFTs. Plus, some of it is unavoidable if you don't have a single unified exchange. Where there's latency, there's inefficiencies, and where there's inefficiency, there's profit to be made. And competition among exchanges is healthy for the ecosystem, so I don't think we'd want t…
>Virtu literally switched sides and make most of their money on order execution.
That's not true according to their filings. In their filing for 2022 Q4, I see 185m from market making, and 89m from execution.
Re: Case study: Algorithmic trading with Go
#240Earlier quoted context omitted.
Seems more pointless than crypto to be honest.
HFT provides a great deal of liquidity and efficient pricing in markets that are adapted to it. It provides a real service, allowing people to transact without using a large bank or broker efficiently on an open market. The fact you can click buy and it buys on almost any stock is likely due to a HFT on the other side. That may not mean much to you directly but it does provide a lot of utility in markets. The biggest…
My understanding was that HFTs make the most profits during periods of highest volatility. Why do they pull out?