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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

#21

Post by olalonde »

nazka wrote: post #17

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 t…

Couldn't the infrastructure be open source while the specific trading algorithms kept closed source?

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

#23

Post by cmdkeen »

zygomega wrote: post #12
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…

But doesn't that mean you're at the mercy of the professional HFTs who can "front run" anyone running on your platform?

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

#24

Post by zygomega »

cr1t1calh1t wrote: post #15

Check out IBrokers: http://cran.r-project.org/web/packages/IBrokers/index.html It'll get you up and running with IB in no time.

Yeah, IBrokers is great. R is even better! Everytime I need a specialist piece of code it seems to already exist as an R package and to have been released in the last few weeks.

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

#25

Post by zamalek »

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…

"HFT is an interesting multi-disciplinary problem"

This makes this a very worthwhile project: whether or not anything comes of it (I considered writing technical analysis trading software for the exact same reason).

Some documentation about the patterns and techniques you used would likely benefit the community a tiny bit more. Not everyone understands Haskell (or, forbid, has the time to peruse large codebases).

Best of luck to you!

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

#26

Post by zygomega »

conformal wrote: post #22

you're doing it wrong: haskell is too slow.

I thought so too for a long while, then I tried to do a touch of concurrent code in c++ and had to gouge my eyes out. I'm excited about the speed up haskell brings to development. You can plan things in haskell you can't imagine in other languages.

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

#27

Post by white_devil »

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…

> an open source approach can be seriously competitive

Do you really think any Joe Schmoe off the street could just grab your open source HFT and start making money with it? If not, how does your project benefit anyone?

Are you working in the industry, but not in HFT? Maybe this is project is just practise for getting a job in HFT? I imagine that's where programmers get the fattest paychecks in the world. Only a fraction of what the sociopaths running the show get, of course, but good money nevertheless.

> I just don't agree that HFT is a scourge.

Good thing you're not at all biased.

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

#28

Post by conformal »

olalonde wrote: post #21
nazka wrote: post #17

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 t…

Couldn't the infrastructure be open source while the specific trading algorithms kept closed source?

i believe that is how it works: open source infrastructure, private algos

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

#29

Post by fmstephe »

I'm building an open source matching engine. I would love to pair up the two systems for a stress test. I'll keep tracking your project and ping you again when I have a system up a running if you're interested.

https://github.com/fmstephe/matching_engine

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

#30

Post by conformal »

zygomega wrote: post #26
conformal wrote: post #22

you're doing it wrong: haskell is too slow.

I thought so too for a long while, then I tried to do a touch of concurrent code in c++ and had to gouge my eyes out. I'm excited about the speed up haskell brings to development. You can plan things in haskell you can't imagine in other languages.

if concurrency with C/C++ is bad for you, go makes it very easy. however, it is not very fast either.

doing it in go and then using cgo where necessary will get you pretty close to C speed.

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