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

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

#31

Post by jwilliams »

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…

Trading (as in HFT) isn't the same as investing. While the mechanics can sometimes be similar, a trader is different from an investor.

What HFT does is segment the market. It's probably best described as a form of arbitrage. Arbitrage is necessary, but in a good market hopefully it is pushed to some form of equilibrium.

HFT has an impact on the trading market. However, that doesn't automatically extend to investment.

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

#32

Post by zygomega »

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…

If you need smart algorithms operating autonomously versus motivated enemies your go to must be open source. The security guys proved that a long time ago.

You're right in that the HF bit doesn't really fit but 'fast trading' doesn't have the same ring to it.

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

#33

Post by zygomega »

conformal wrote: post #28
olalonde wrote: post #21

Earlier quoted context omitted.

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

I intend to publish and collaborate on private algos. Even if others have the code they still don't know where I choose to operate and deploy capital. And if they get rich on the code good luck to them - maybe they'll sponsor a dedicated server for 1.0

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

#35

Post by cmdkeen »

zygomega wrote: post #18
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…

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…

But long term investors don't care about the "clip" that HFTs take, they care about the 80% rise in price over the next 5 years. Rebalancing portfolios again isn't something where getting a few basis points off the HFT best execution price is an issue. I work for a proper long term investor, and we trade over a period of days for the big trades. HFTs aren't even an issue apart from their occasional spectacular blowups that cause "could this happen to us?" memos from upstairs. Long term investors don't need to evolve from HFTs, they're more than happy making money not involving computers or trying to compete with them.

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

#36

Post by white_devil »

cmdkeen wrote: post #20
white_devil wrote: post #10

Earlier quoted context omitted.

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…

It sounds like you work for the financial industry too.

> The HFT trader

You say it like it's a person making trades.

> 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.

What's a "quoted exchange price" if it's not the price you actually pay?

> 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.

Isn't this what HFT is all about?

Trading on insider information is bad, of course. But if you're on a level playing field, I don't see anything wrong with profiting from something you correctly predicted short-term.

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

#37

Post by zygomega »

cmdkeen wrote: post #20
white_devil wrote: post #10

Earlier quoted context omitted.

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…

Investing in company stock is much more about investing with a global pool of liquid capital seeking risky asset exposures these days. When global capital changes it's mind (in whatever direction) those watching the market closely will be the first to know and the first to profit from the market signal. You can go broke investing in companies that look like they have a bright future.

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

#38

Post by boothead »

Have you considered python for the research/algo side of things?

I work in a hedge fund in London at the moment and there's a massive shift away from R towards python in the algorithmic shops that I know about here. There's also the great work that quantopian are doing on their backtesting framework zipline [1]

[1] https://github.com/quantopian/zipline

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

#39

Post by xradionut »

zamalek wrote: post #25
zygomega wrote: post #9

Earlier quoted context omitted.

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). Bes…

There are many other interesting multi-disciplinary problems that are not as contentious as HFT and probably more publically acceptable and worthwhile. But if HFT is the domain you care about, go for it.

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

#40

Post by NateDad »

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.

+1 for doing it in Go. If concurrency is your objective, Go makes it easy... it's also very fast both to program in and to run.
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