Case study: Algorithmic trading with Go • Hacker News Board

Re: Case study: Algorithmic trading with Go

#261

Post by Intermernet » Sat, Jul 01, 2023, 9:15 AM UTC

logicchains wrote: post #260

allenrb wrote: post #89

Earlier quoted context omitted.

Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how…

>We as a society have managed to allocate so many of the “best and brightest” to either fintech wankery or placing ads in front of eyeballs It's nothing to do with "we as a society". I'm a quant trader and know many others, and the vast majority are in the industry because we care about making money not some leftist save the world crap. Even if socialists managed to completely destroy the financial market, we'd just…

I think you just illustrated the problem. You have complete awareness of what you do, and you somehow manage to see it as a battle against "leftists" rather than selfish greed. I'm cool with that, but it precludes you from having valid opinions on anything related to improving the world for the majority of people. Please accept this and refrain from any social commentary. Your comment above demonstrates that you don't actually operate in society.

Re: Case study: Algorithmic trading with Go

#262

Post by dm3 » Sat, Jul 01, 2023, 9:16 AM UTC

DrBazza wrote: post #258

kasey_junk wrote: post #53

Earlier quoted context omitted.

Not only are the platforms table stakes they are the more straightforward part to build. Even at the bleeding edge of latency you can usually work your way to the limits of your platform budget without having to find anything novel. The strategies though are where the discovery is. There are a few strategies that are well known and still profitable but those are largely consolidated to the biggest firms. For everythi…

> it’s largely a big firm world now. Largely, though I receive 1 or 2 job specs every week for start ups with the keywords 'hft' and 'low latency'. Admittedly there's going to be duplication there if you read them closely. I think it's a bit of a myth that (ignoring FPGAs) that writing a low-latency software trading system is a time/cost expensive process. Anecdata = I worked at two firms where we did a rewrite from…

> I think it's a bit of a myth that (ignoring FPGAs) that writing a low-latency software trading system is a time/cost expensive process.

This depends a lot on the complexity of the trading system and the trading venue specifics. A system to trade single stocks or futures can be built, certified and running in 3 months. A system for options market making will take a lot longer.

Re: Case study: Algorithmic trading with Go

#263

Post by pdimitar » Sat, Jul 01, 2023, 10:06 AM UTC

armitron wrote: post #256

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…

Rust (and Go) is absolutely the wrong language for this. I've done pretty much everything you described in Ocaml and Lua in a quarter of the time.

It all boils down to what do you know in terms of languages and how good a quality of libraries you can find.

IBKR is kind of an elitistic VIP club, not just anyone can gain access. Thus you won't find a lot of libraries. There's a good number of them but the quality is not great.

I always wanted to learn OCaml by the way but in my current life and career phase I still can't justify the time and energy expenditure, and I know it will be significant.

Re: Case study: Algorithmic trading with Go

#264

Post by finexplained » Sat, Jul 01, 2023, 11:40 AM UTC

maest wrote: post #163

finexplained wrote: post #150

Earlier quoted context omitted.

I work at an HFT firm. Most fun I've ever had.

But is that because of the excellent WLB and pay or because of the social impact?

I work on very interesting technical problems with very smart colleagues for excellent pay. All my career progression is in compensation, so I can remain an IC forever and no one thinks that's a negative. I'm subject to no politics whatsoever, and there's very little politics in the company as a whole. The work I do every day has a direct material impact on the company and I'm rewarded proportionally to my impact. My WLB is so-so, but it's better than it was in grad school so I'll take it.

Regarding social impact, the world does have some demand for liquidity and price discovery. Providing those services is both essential and extremely difficult. It's definitely not the most social good I could be doing with my talents, but I think it's weakly positive.

Re: Case study: Algorithmic trading with Go

#265

Post by programtrader » Sat, Jul 01, 2023, 12:14 PM UTC

kirse wrote: post #15

_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 :)

Do you have an email? I've been building a similar system for awhile except in F#, would love to connect.

[dead]

Re: Case study: Algorithmic trading with Go

#266

Post by k9jd883jb » Sat, Jul 01, 2023, 12:20 PM UTC

IshKebab wrote: post #259

usefulcat wrote: post #230

Earlier quoted context omitted.

There are plenty of strategies that can be profitable on a small scale but which just don't work as you scale up the capital or leverage. Such strategies can be simultaneously profitable for a small operation and not worth the bother for most larger trading shops.

That doesn't make any sense. Can you give an example?

This is just one example, but at a small scale you might be placing buy orders with let’s say $1k or $10k. This is insignificant compared to the total amount of money being traded, and will not affect the stock price.

However if you start increasing scale to $1mm or $10mm, your buy or sell orders begin to actually move the stock price itself. You might not be able to successfully sell $10mm of stock without dropping the price, signaling others to sell, further dropping the price, cutting into your own profits.

Re: Case study: Algorithmic trading with Go

#267

Post by programtrader » Sat, Jul 01, 2023, 12:47 PM UTC

_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 :)

Congrats on the post. Very inspiring.

I've been going through this journey myself. I started learning on Tradingview, then bought Build Alpha to discover how to test strategies. I chose Portfolio 123 for my automated factor trading but had been working towards creating a program/basket trading system like yours that can act on intraday data.

I moved to long-term investment until I could build a simulator capable of verifying the correctness of my investment strategies using fuzzy testing ideas stolen from TiggerBettle.

I have almost two years of polygon quotes and trades for the whole market captured with a monotonic timestamp to be able to replay the data –and test the handling of polygon socket glitches.

I'm focusing initially on capturing the data in a way that allows fast replay and aggregation, similar to what Kafka can do with topics but in-process using zig and custom memory-mapped data structures. My idea is to be able to generate signals like VIX (once I add options data), ETFs, and indexes and hopefully be faster at doing so than others :), please HN folks, call me out here if I'm being too naive.

This has been a three-year learning process for me. I have been a retail investor for +10 years, but over the last three years, I've gone deep into learning algo-trading, drank del Prado Kool-aid, and read numerous trading and investment books.

I'm now focusing on my technical chops to build the engine to build order books for individual stocks, baskets, and indexes with realistic market prices. I aim to develop a system that can get as close to the market price in the next dollar bar as possible.

This has been a very lonely journey, and after reading the responses to this post, I'd love to connect with others on a similar path. Sending you an email!

Re: Case study: Algorithmic trading with Go

#268

Post by bberrry » Sat, Jul 01, 2023, 12:53 PM UTC

eshnil wrote: post #16

czbond wrote: post #11

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.

Hilarious how you suggest someone use a technology that isn't even publicly available, showing how extremely shallow your knowledge is.

Re: Case study: Algorithmic trading with Go

#269

Post by tesdinger » Sat, Jul 01, 2023, 12:54 PM UTC

nvarsj wrote: post #161

skummetmaelk wrote: post #142

Earlier quoted context omitted.

Seems more pointless than crypto to be honest.

It's quite a statement. You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. In the old days before HFT, you weren't sure you'd get the best price. You'd have to rely on a broker to make sure that happens, but as a retail trader you generally got a worse price/out of date price. Nowadays with HFT you can get pretty much the best price anywhere. Tho…

> efficient markets are pointless

You are profiting off workers as a middle man in the economy by doing HFT, and trying the justify it by some vague concept of the "correct price". You are producing nothing of value, merely taking away value before someone else notices it is there.

Re: Case study: Algorithmic trading with Go

#270

Post by tesdinger » Sat, Jul 01, 2023, 1:19 PM UTC

hpenvy wrote: post #241

Solvency wrote: post #221

Earlier quoted context omitted.

"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…

Your analogy isn't applicable here. What the OP was trying to get at is that even an individual who doesn't know anything about markets, HFT, liquidity, etc can still benefit from high liquidity from HFT (since it allows for transactions to occur sooner and quicker). In the AI example, the implication is that the final product isn't benefiting consumers.

An individual who doesn't know anything about markets should not be trading, nor would they care about liquidity in the slightest.