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Case study: Algorithmic trading with Go

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Re: Case study: Algorithmic trading with Go

#301

Post by 1ark »

jimmysnuka wrote: post #234
1ark wrote: post #220

Earlier quoted context omitted.

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?

Good enough for daily time-frames, and since you don't have to pay.

Re: Case study: Algorithmic trading with Go

#302

Post by Intermernet »

kortilla wrote: post #299
Intermernet wrote: post #261

Earlier quoted context omitted.

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'…

> Please accept this and refrain from any social commentary. Your comment above demonstrates that you don't actually operate in society. Cut the fascist bullshit. Everyone can comment about how society should be run, even people that are very successful financially. If you try to exclude greed from the design of your societal system, it will immediately fail. In large numbers, economics shows us that altruistic peopl…

Self interests have externalities. The pleasure you gain from improving someone's life is in no way comparable to the pleasure you gain from making other people suffer. It's a fallacy to say "everyone operates in their own self-interest". It's usually parroted by anti-social people in order to justify anti-social behaviour.

> Cut the fascist bullshit. Everyone can comment about how society should be run, even people that are very successful financially.

It's not financial success that precludes someone from commenting on how society is run, it's blatant, deliberate anti-social actions. This is the foundation of a social contract. It's the same reason you'll get locked up if you go around punching people in the face.

Also, I don't think you know what "fascist" means.

Re: Case study: Algorithmic trading with Go

#303

Post by strawhatguy »

tomcam wrote: post #128
hu3 wrote: post #124

Earlier quoted context omitted.

Go is great for network heavy apps like algo trading! I used Go to write trading algos that would find small windows of triangle arbitrages in crypto exchanges. Made me some money but the risk of a big loss made me stop pursing crypto trade and it required too much time and attention. It's a full time job from my experience. Reasons I could lose big at any given time if I scaled up the stakes: - Exchanges temporarily…

It was my (admittedly ignorant) impression that C++ was preferred over garbage-collected languages because you'd be more likely to avoid GC pauses. Yes, of course I know that Go's is super efficient, but if you're doing a million trades a day even a tiny percentage of slowdowns that would be otherwise preventable could be a career-limiting move. Am I just behind the times?

Maybe? Every language one would have to work at to make performant, and generally pre allocation is what often happens to do so. allocation is probably more expensive with a gc’d language like go than C++, but both would want to avoid it.

Re: Case study: Algorithmic trading with Go

#304

Post by kortilla »

Intermernet wrote: post #302
kortilla wrote: post #299

Earlier quoted context omitted.

> Please accept this and refrain from any social commentary. Your comment above demonstrates that you don't actually operate in society. Cut the fascist bullshit. Everyone can comment about how society should be run, even people that are very successful financially. If you try to exclude greed from the design of your societal system, it will immediately fail. In large numbers, economics shows us that altruistic peopl…

Self interests have externalities. The pleasure you gain from improving someone's life is in no way comparable to the pleasure you gain from making other people suffer. It's a fallacy to say "everyone operates in their own self-interest". It's usually parroted by anti-social people in order to justify anti-social behaviour. > Cut the fascist bullshit. Everyone can comment about how society should be run, even people…

You’re suggesting that people can’t participate in societal planning because they disagree with your causes. You just dress it up in overly dramatic phrases like “anti-social” and “selfish greed” to make inhumanely oppressing them palatable. This was bog standard behavior of fascism in Italy.

It doesn’t seem like fascism to you because you’ve done some mental gymnastics to pretend you’re not just crushing intellectual opposition, but that’s all it is in the end. Op is not punching anyone in the face. He/she is just blatantly unsupportive of socialism.

Re: Case study: Algorithmic trading with Go

#305

Post by Intermernet »

kortilla wrote: post #304
Intermernet wrote: post #302

Earlier quoted context omitted.

Self interests have externalities. The pleasure you gain from improving someone's life is in no way comparable to the pleasure you gain from making other people suffer. It's a fallacy to say "everyone operates in their own self-interest". It's usually parroted by anti-social people in order to justify anti-social behaviour. > Cut the fascist bullshit. Everyone can comment about how society should be run, even people…

You’re suggesting that people can’t participate in societal planning because they disagree with your causes. You just dress it up in overly dramatic phrases like “anti-social” and “selfish greed” to make inhumanely oppressing them palatable. This was bog standard behavior of fascism in Italy. It doesn’t seem like fascism to you because you’ve done some mental gymnastics to pretend you’re not just crushing intellectua…

Focusing solely on getting rich to the detriment of other people is the antithesis of "societal planning". I'm not sure why you're defending this behavior. Do you really believe that people who strive for profit over the well-being of other people are in any way being "social"? Do you see them as the necessary negative force for positive action to be possible? Do you really believe that humans require adversity to succeed, and that those who choose to be adverse agents are engaging in some self-sacrificial martyrdom so society can benefit from their negative influence?

Please, I want to know; what benefits do the actions of the op have for "societal planning"? The person he was replying to was at least honest in admitting that this behavior "served little social good".

Once again, I think you'd do well to actually read what fascism actually stood for. The propaganda of fascism had a lot more to say about nationalism, "shared history" and the good of corporations than it did to say about things being "anti-social" or even mentioning "selfish greed".

Re: Case study: Algorithmic trading with Go

#306

Post by joshu »

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]

Did you really mean to be this insulting?

Re: Case study: Algorithmic trading with Go

#307

Post by dang »

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]

Please don't cross into personal attack or name-calling swipes, regardless of how right you are or feel you are.

https://news.ycombinator.com/newsguidelines.html

If you know more than others, that's great—please share some of what you know, so the rest of us can learn—or else don't post. Sneers and putdowns only make everything worse.

https://hn.algolia.com/?dateRange=all&page=0&prefix=true&sor...

Re: Case study: Algorithmic trading with Go

#308

Post by Shocka1 »

_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 :)

I've been algo trading as a side project for a few years now, but all through TD Ameritrade. I get all my quotes and whatnot with them, and it's free with my accounts. I also get other data elsewhere, which is free as well.

I was curious in getting a websocket setup with Polygon after seeing your post, but I noticed it's $29 for first package with the websocket feature. Then I noticed that the package with real-time data is the Advanced package at $200 a month. I'll admit, real-time with unlimited API calls sounds pretty sweet, as my strats rely on to the second data. However, I don't know if I can justify $200 as my algos run no more than 78% win rates with a normal bankroll funding it all. I'm looking to save wherever I can while I build these things and get a passive income stream rolling in.

I would love to know which package you were using, as I didn't see it in the time I quickly read your post? Also, any pro/cons to that specific package? Any and all other details are welcome, and if you would rather respond to my email, it's in my profile. Thanks!

Re: Case study: Algorithmic trading with Go

#309

Post by alchemist1e9 »

joshu wrote: post #306
alchemist1e9 wrote: post #109

Earlier quoted context omitted.

[flagged]

Did you really mean to be this insulting?

Unfortunately I don’t understand why anyone finds my comment very insulting. However the primary moderator (dang) appears to agree with you it seems.

It’s unfortunate that calling out other’s bias is off limits in society too much as it’s often the primary reason people advocate their position.

HFT is not anything like what critics claim and those critics have severe biases.

Re: Case study: Algorithmic trading with Go

#310

Post by joshu »

alchemist1e9 wrote: post #309
joshu wrote: post #306

Earlier quoted context omitted.

Did you really mean to be this insulting?

Unfortunately I don’t understand why anyone finds my comment very insulting. However the primary moderator (dang) appears to agree with you it seems. It’s unfortunate that calling out other’s bias is off limits in society too much as it’s often the primary reason people advocate their position. HFT is not anything like what critics claim and those critics have severe biases.

You went directly to ad hominem. Not sure why you are surprised.
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