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NautilusTrader: Open-source algorithmic trading platform

nautilustrader.io

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Re: NautilusTrader: Open-source algorithmic trading platform

#51

Post by augment_me »

jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

Have exactly the same experience as you.

Had a period in my college days where I had a neural network running that could successfully trade on patterns of periodicity of non-chaotic windows of the asset. But as soon as the system would go back to being chaotic, and there was no way to identify WHEN the system was chaotic and when it wasn't, the trades would go to shit and I would lose all gains. I was up about 400-450% at an end of a successful cycle, which was 2-4 months, and then it could be a year of decline with gains being eaten up by the option issuers.

Now I only do long-term funds/stocks and have:

a) much less anxiety about losses b) more money.

Re: NautilusTrader: Open-source algorithmic trading platform

#52

Post by cosmicgadget »

IshKebab wrote: post #23
browningstreet wrote: post #18

I've been wading into algo-trading for a little while now. I've read a few books, set up a few strategies on paper trading platforms. Right now I'm trying to figure out how to consistently make $1/day as a POC exercise. That's it. I did ask the various advanced LLMs the path to earning/clearing $200K/year as an algo-trader. Fun & sobering responses. I'll give the LLMs this -- no uplift in these conversations.

Surely you can't? You don't have the latency advantages of big trading firms, nor the gazillion PhDs they employ. There's absolutely no way you are going to consistently make money, let alone $200k/year. At best you'll get lucky and think it's skill.

Can you talk about maximum upside without discussing capital?

Re: NautilusTrader: Open-source algorithmic trading platform

#53

Post by 01HNNWZ0MV43FF »

cosmicgadget wrote: post #49
jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

Held stocks provide minimal gains. Perhaps a bot to sell calls. Then your main risk is wiping out potential upside as you cry into your pile of realized gains.

> minimal gains

Vanguard says I've had a 12% rate of return. I guess I could have done active trading if I'd gone on fewer dates

Re: NautilusTrader: Open-source algorithmic trading platform

#54

Post by fyrabanks »

cosmicgadget wrote: post #49
jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

Held stocks provide minimal gains. Perhaps a bot to sell calls. Then your main risk is wiping out potential upside as you cry into your pile of realized gains.

High reward, high risk. I have a day job and don't really want to sweat the details. I have over 140% gain on my long term holdings this year alone--with continued investment and on top of compounding from two decades. I'm quite happy as a Boglehead.

Re: NautilusTrader: Open-source algorithmic trading platform

#55

Post by gosub100 »

jebarker wrote: post #21
monkeydust wrote: post #9

A long time ago I figured out the difference between a Trader and Investor and realized I am very much the latter. After a few years this realization lead to my wealth increasing.

Yep, it’s amazing how many people seem to get sucked in by the idea you can reliably make money as a solo/small trading operation.

You can if you have an enormous pile of cash. Then you can pat yourself on the back for making a few $k per month (which would only be a couple % apy) for acting like a quant when you could make the same amount in bonds.

Re: NautilusTrader: Open-source algorithmic trading platform

#56

Post by gosub100 »

no_wizard wrote: post #17
mapontosevenths wrote: post #2

Finally, a way for me to lose all of my money automatically . What an exciting time to be alive! More seriously, for anyone else who was curious below is a list of the existing integrations. https://nautilustrader.io/docs/latest/integrations/

Interesting not a single one of them is in the realm of traditional trading. Can you actually buy real stocks / etfs / mutual funds with this platform?

Generally you can connect your OMS to a FIX connection or similar directly to a broker.

Re: NautilusTrader: Open-source algorithmic trading platform

#57

Post by blitzar »

William_BB wrote: post #3

Interesting stuff. I'm a bit confused on several points though. If your strategies care so much about performance, can you really achieve the same or comparable performance with Cython? At that point, wouldn't those strategies be better suited for a custom "re-implementation"? I suppose I'm not exactly sure how "high performance" and "low latency" this project is. Are there any latency stats on this project?

I am guessing it is "low latency" as in not taking 2 minutes to calculate an order size and submit it rather than "low latency" for HFT and 1,000 trades a second.

Re: NautilusTrader: Open-source algorithmic trading platform

#58

Post by Projectiboga »

jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

The best is just buying the whole market via a index fund. Much lower management and overhead costs. Trying to trade without being online all the time is a battle against time delays and costs. To buy stocks, and especially options you are always against the bid/ask spread. The basic math problem for a statistics major is the Gambler's ruin problem. And basically your chances are your money over the whole table's money in total. Even worse if you don't have an exit strategy your chance of going bankrupt is near certain if the odds are even slightly below 50/50. That bid ask spread and incomplete order completion drive your odds down, and for short term trading it is basically a zero sum scenario.

Re: NautilusTrader: Open-source algorithmic trading platform

#59

Post by SilverElfin »

iav wrote: post #36

This is pretty comprehensive. I work at a quant firm, and we don't even have some of this implemented in code. The tricky part is always going to be the integration. Nautilus has its own OMS system, but so does IBKR, and there is no guarantee that they are going to match. For very small funds, running entirely on IBKR platform (or Alpaca if you can live with their constraints) makes sense. For very large funds, you i…

Since you work in a quant firm, I am curious if there are any good public resources to learn about the techniques used by such firms. Aimed at a novice I mean. I’ve always had a curiosity about it, but I feel like whatever I can find is more basic than what is truly being done in production.

Re: NautilusTrader: Open-source algorithmic trading platform

#60

Post by rytill »

fyrabanks wrote: post #54
cosmicgadget wrote: post #49

Earlier quoted context omitted.

Held stocks provide minimal gains. Perhaps a bot to sell calls. Then your main risk is wiping out potential upside as you cry into your pile of realized gains.

High reward, high risk. I have a day job and don't really want to sweat the details. I have over 140% gain on my long term holdings this year alone--with continued investment and on top of compounding from two decades. I'm quite happy as a Boglehead.

> Boglehead

> 140% gain on your holdings this year

Choose one.

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