I've also just started a blog series for getting started with algorithmic trading in NodeJS for complete beginners: https://grizzlybulls.com/blog/building-an-algorithmic-tradin.... A lot of folks would raise an eyebrow at the thought of using NodeJS for algotrading, but I've found it to be a great fit for my non-HFT, more swing-trading style, and I've used it successfully in production for over 3 years.
Case study: Algorithmic trading with Go
281–290 of 311 posts
Re: Case study: Algorithmic trading with Go
#282Earlier quoted context omitted.
While I fully believe you are an experienced practitioner however I feel your thought experiment actually shows you don’t understand the underlying nature of capital markets in capitalism, the relationship between risk and liquidity, and the fractal nature of timescales of participants. I’m fortunate enough to have both a background in HFT but prior to that a background in many other aspects of capital markets and th…
You start sounding a bit like chatgpt with the “it is I who have the sole power of understanding” and self contradicting arguments. I never mentioned zero sum games or anything of the sort. Please don’t ascribe your thoughts to mine. I did helpfully screenshot your comment invoking war and claiming HFT is like it. I can jog your memory if you’d like. Now you’re claiming the opposite. Your arguments start becoming int…
HFT is war but the system as a whole isn’t. My impression of our interactions on HN is you have a valuable insight that perhaps I can even agree with. However unfortunately I don’t know what it is yet as you haven’t explained properly what your hypothesis of negative effects or externalities HFT operators have.
HN isn’t the best forum for this type of ongoing discussion. Engage me on reddit if you like. u/alchemist1e9
Re: Case study: Algorithmic trading with Go
#283Here's a recent piece on a change going on in systematic trading engineering:
THE GIG ECONOMY COMES FOR HEDGE FUNDS
Platforms that offer money managers the freedom to build a business and maximize their return on performance while removing the hurdles of launching independently could change financial markets.
If the trend continues it could have a big effect on financial markets by making it easier for a wider assortment of unconventional managers to rise in the industry and offering investors better and cheaper access to them. …
Well-received start-up ClearAlpha Technologies has moved closest to the gig model. Its first offering is a commingled fund apportioned among its managers, but it has the platform to act as an exchange, matching investors to individual managers or customized portfolios of managers, cutting out all the expense of intermediaries.
Source:
-- https://www.bloomberg.com/opinion/articles/2023-06-09/the-gi...
Reprints in case paywalled:
-- https://www.washingtonpost.com/business/2023/06/09/the-gig-e...
-- https://www.garp.org/risk-intelligence/technology/brave-new-...
You no longer have to have graduated as finance into finance. (In fact, we prefer if you graduated with some other math modeling heavy emphasis, think turbulence and flow, or actuarial modeling.)
A bit more about us, although this article is about our first fund mentioned above, not about the firm co-founded by Brian and I that owns the fund and built the platform it runs on: https://www.bloomberg.com/news/articles/2023-06-01/goldman-a...
If you're into this, we've come out of two years' stealth and are now hiring and remote work friendly.
Re: Case study: Algorithmic trading with Go
#284Fascinating 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.
You say this as if memory allocation in general isn't extremely slow.
I guess my presumption was that algorithmic trading was a very tight feedback loop, with as many controlled variables (i.e., GC) as possible, so I think it just subverted some of my misplaced expectations.
Re: Case study: Algorithmic trading with Go
#285Earlier quoted context omitted.
You say this as if memory allocation in general isn't extremely slow.
For trading systems that are still software based they absolutely do not allocate or reclaim on the hot path for this reason.
"That are still software based" is interesting. Are there hardware-based trading systems?
Re: Case study: Algorithmic trading with Go
#286Earlier quoted context omitted.
Your chart including what looks like backtesting data starting 2009 looks a bit disingenuous. It’s a totally random starting point. It’s obviously not your actual performance, if you say you started 3 years ago. It’s made to look like your model actually outperformed the market significantly. Kudos to you if you really sit on an untapped gold mine, but imho, there are some red flags that makes me not buy in.
Thanks for the feedback. I try to call out in several places in the app that 2009 - 2020 is backtest only, but perhaps I need to make it more clear. No one should ever expect a model to trade as well in live trading as it backtests, and that's been true of nearly all our models (save the anomaly of TA-MR-Basic). However, there's more than enough room in the returns and drawdowns to underperform the backtest while sti…
Thanks for the explanation, I appreciate it.
Re: Case study: Algorithmic trading with Go
#287Earlier quoted context omitted.
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?
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Re: Case study: Algorithmic trading with Go
#288Earlier quoted context omitted.
The jobs in algo trading are very interesting for technically - mathéamtically inclined people. It’s really one of those fields where you have a direct impact on the results of your - measurable in additional dollars made. There is 0 social impact. That’s the downside of course - but hey, how many jobs out there are really having any kind of positive social impact ? Not 0, but close to it.
I think there is some impact, for finding the correct price of things.
That impact is not made by HFT - finding the right risk premia for different investments is very valuable but that is a signal measured over days/weeks/months because actual capital investment decisions take that long.
Intraday financial games are zero-sum. What HFTs gain, they leech away from mutual funds and pension funds and retail investors and market makers who operate over a longer horizon.
Re: Case study: Algorithmic trading with Go
#289I find this article to be absolutely pointless and clickbaity. It can be boiled down to: "you can use poligon.io for market data but algotrading is difficult anyway so there is not much to share yet".
Hey, I'm sorry you feel that way and I wrote it. Personally, I wanted to share the high-level structure of how you'd build your own system. I would have loved to have seen something like this when I went down this rabbit hole in that I needed to figure it all out myself. What do you think would have made it better? I'd be happy to roll that back in.
lol just admit you work for a niche SaaS in Polygon and you wanted exposure
Re: Case study: Algorithmic trading with Go
#290Earlier 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…
It was always the only end game. AI on quantum computers is the ultimate computing technology — basically the final research technology in our made up little game of Civilization.
Anytime you create technology that sufficiently replicates the creators, you end up with the spirit of the creator embodied in the technology. So, of course digital brains are going to do weird things like crossword puzzles and sodoku at scale, because it's the same kind of useless shit we do to entertain ourselves.
You get into this conversation whenever you dive hard into cyberpunk, which is so many, many things. Even the Internet itself started out that way. The endgame started as a game, and it will end up being a game, played by our creations as odd mirrors of their creators.
I think there's a lot of people who subscribe to doing the same thing to save the planet, of which I have a keen interest. Solarpunk is the name of that movement, and it also has similar crazy ideas.
We're inventing digital brains. It's literally an architecture designed to be removed from being anything remotely human as it's a mimic or replacement technology for intellectual capacity.
If you really take a step back, the endgame is crazier than just bots producing content merely for other bots to consume (which basically describes the vast majority of scientific papers these days too, ironically). When you take that absurdity and multiply it by tens of thousands in terms of efficiency, the whole system we're building looks WILD and almost inconceivably strange to the way we do things now.
I know this is only tangentially related, so I appreciate your understanding that I already understood that and wrote this anyways. :)