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Show HN: I'm building an open-source, high-frequency trading system

scarcecapital.com

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Re: Show HN: I'm building an open-source, high-frequency trading system

#11

Post by nezza-_- »

zygomega wrote: post #9
white_devil wrote: post #2

Are you trying to get hired by the financial industry, or is there some other reason for doing this? As you may well be aware, HFT is a scourge on the world's economy, and it's a game only the biggest and best-connected players benefit from.

No, I'm already in the finance industry. There are two main reasons I'm doing this: - I think the finance industry is very closed when it comes to intellectual property development, and an open source approach can be seriously competitive. An open approach may well be the future when it comes to being 'connected' - HFT is an interesting multi-disciplinary problem and the shear breadth of expertise required - modern c…

No, long-horizon investors are normally overall not interested in HFT because they won't 'suffer' from it.

Re: Show HN: I'm building an open-source, high-frequency trading system

#12

Post by zygomega »

cmdkeen wrote: post #4

I'm curious about the "best trading platform" claim - what is going to make it better than any other? Especially as the real High Frequency Traders are busy spending fortunes on placing their hardware as close to the exchange as physically possible.

Speed is only one issue with autonomous algorithm design. Yes, the speed thing grabs the headlines but the boiler-plate objective is to front-run the slower players. There's a wealth of opportunity in processing the event stream in a more robust way than others and faster too. Think semi-HFT, semi-autonomous.

Most trading platforms are primarily loss leaders for the 'professional' version and otherwise attached to a non-open source business plan.

Re: Show HN: I'm building an open-source, high-frequency trading system

#13

Post by zygomega »

Alexx wrote: post #6
nezza-_- wrote: post #5

You need to do instead of icon-iconname ... The links all have icon names in them. Edit: Ah. It now works only with JS on when putting the icon-name into and not in the class. Sorry for that, seems to be new in Bootstrap.

It's Twitter bootstrap. http://twitter.github.io/bootstrap/base-css.html#icons Bootstrap V3 has tweaked the way icons are implemented slightly.

thanks heaps for that!

Re: Show HN: I'm building an open-source, high-frequency trading system

#17

Post by nazka »

I am curious about this project because I love this subject.

However, it is impossible to build an open source HFT system especially because it will be open source. The other sharks will know how you trade and they will only need to play against you by sending opposite orders every time. That is what happens when the source code of a big US bank were stolen. So it should be more appropriate to say it will be a fast trading system. The other reason is you can't build a perfect HFT trading system because it's a moving target. It is the war in the micro seconde market. The sharks will send you wrong orders just to disrupt your system or they will manipulate the market. And finally there is a hardware problem. To do a HFT trading system you need to rent your own severs inside the market, use FPGA cards, etc.

In conclusion, I only say there is a wrong goal to say "I will build the best open source HFT trading system" rather than "I will build the best open source fast trading system". This project is interesting (and there is Haskell cool!) so I will stay connected to see how it evolves.

Re: Show HN: I'm building an open-source, high-frequency trading system

#18

Post by zygomega »

cmdkeen wrote: post #3
white_devil wrote: post #2

Are you trying to get hired by the financial industry, or is there some other reason for doing this? As you may well be aware, HFT is a scourge on the world's economy, and it's a game only the biggest and best-connected players benefit from.

HFT isn't necessarily a scourge - if anything it discourages people from short term investing, which is a Good Thing. Long term investing isn't affected by HFT, except in providing more liquidity at the point you want to exit any position. If you're planning on holding for 5+ years you're competing against relatively few people and can do good research. Any shorter timeframe and you're competing against millions, aga…

Long-term investors trade every day. You wake up and the market has gone down a few percent, you're going to rebalance at least. You decide to buy 30 year treasuries you're not going to hold them for thirty years - you're going to sell 29.5 year bonds and buy 30 year bonds in a few months time.

And managers turn over long-term investor portfolios quickly. The average holding period for an SP500 company shareholder is 100 days.

And every time a trade happens you run the risk of getting clipped by the faster guys who see you coming.

Re: Show HN: I'm building an open-source, high-frequency trading system

#19

Post by jschulenklopper »

This could be an interesting course for people wanting to know more about 'computational investing' and the algorithms behind stock (market) analysis and trading: https://www.coursera.org/course/compinvesting1. Not specially targeted at HFT, but interesting basic background information nevertheless.

Re: Show HN: I'm building an open-source, high-frequency trading system

#20

Post by cmdkeen »

white_devil wrote: post #10
cmdkeen wrote: post #3

Earlier quoted context omitted.

HFT isn't necessarily a scourge - if anything it discourages people from short term investing, which is a Good Thing. Long term investing isn't affected by HFT, except in providing more liquidity at the point you want to exit any position. If you're planning on holding for 5+ years you're competing against relatively few people and can do good research. Any shorter timeframe and you're competing against millions, aga…

It's weird how this "providing liquidity" distraction never seems to go out of fashion. HFT provides liquidity if you happen to be another HFT algorithm. Otherwise, not so much. Why would short term investing be bad, and how long do you think HFT algorithms hold their "investments"? I hope you're not just trying to blow smoke up my ass here.

It isn't just about liquidity, though it does. But it also reduces the bid/ask spread, i.e. price discovery. The HFT trader may make a tiny profit when it processes a trade from me, but I've benefited because I can buy/sell at a price close to the quoted exchange price, which didn't use to be the case. In terms of liquidity those trades are available to all, they love buying from non-HFT trades because they can make a small profit from their less accurate pricing. You benefit from the lower spreads and that liquidity. Before HFT you'd have paid a greater cost due to the spread on the price.

Short term investing is "bad" because you're not investing in the future success of the company you're trading on the basis of what you think the market is going to do. To the extent to which that is ever knowable it is unlikely you have the skill, experience and data to be able to beat the large number of professionals doing it.

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