I thought HFT was now based on FPGAs and ASIC circuits ... how could this compete in terms of latency/processing ?
Show HN: I'm building an open-source, high-frequency trading system
41–50 of 198 posts
Re: Show HN: I'm building an open-source, high-frequency trading system
#42Are 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.
> 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.
This is the line peddled by the popular press but it isn't true. HFT works to reduce spreads, which benefits both buyers and sellers.
Re: Show HN: I'm building an open-source, high-frequency trading system
#43Earlier 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…
> 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 frac…
Good points. To be more precise, I think that an open source approach to system research and design can be hyper-competitive versus closed-door secret-squirrel development run by a committee looking for short-term wins. This project benefits me firstly because I get feedback on my initial scratchings and maybe even collaboration on areas outside my comfort zone. And it could well enable me and others to avoid having to work for the sociopaths.
I am biased in thinking that monitoring the market and trading at low latency isn't fundamentally a bad thing, and shouldn't be taxed because others are too lazy to do the same thing. I certainly think that hft has been used by evil people to front-run unknowing third-parties, often in collaboration with middle men and women who turn a blind eye to the morality of their business models.
Re: Show HN: I'm building an open-source, high-frequency trading system
#44Earlier quoted context omitted.
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 trad…
I do - but a 'proper' long term investor that cares about the price in 20 years time.
The quoted exchange price is an average of the buy/sell offers available, there is no guarantee if you try and trade that you will pay that amount. Especially if you are shifting large blocks of stock.
There is nothing wrong with "short term predicting" but it isn't investing. It is often a very easy way to lose money, "bad" doesn't just mean morally so. It comes down to time horizons, how much you want to make, and how many people are also trying to predict that event. You can correctly predict that event and still not make money as it is already priced in.
Re: Show HN: I'm building an open-source, high-frequency trading system
#45Isn't the barrier to HFT the fact that you need enough capital so that your profits cover the cost of co-located servers and FPGAs in the exchange datacenter, without which you have a latency handicap? (in addition to, of course, coming up with good algorithms)
Re: Show HN: I'm building an open-source, high-frequency trading system
#46Have 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
Yes, I am aware of that trend and considering a switch. I'm personally more used to R is all, but if I found collaborators I'd jump to where the code base goes.
The only other factor is I find R pretty aligned with haskell having a somewhat functional pedigree, so that code translates pretty nicely between a rapid hack at the problem to the more robust approach.
Re: Show HN: I'm building an open-source, high-frequency trading system
#47Sorry to burst your bubble but high-frequency trading is only viable and necessary for market makers.
The end result of any type of algorithm you think of is always a curve-fitting function of existing data.
Re: Show HN: I'm building an open-source, high-frequency trading system
#48Have 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
Hi boothead, just curious what you do when you run into the inevitable performance issues that can't be ameliorated with libraries like NumPy?
Is Cython or PyPy useful, or do you use Python more for prototyping, and rewrite some portions in C?
Re: Show HN: I'm building an open-source, high-frequency trading system
#49I thought HFT was now based on FPGAs and ASIC circuits ... how could this compete in terms of latency/processing ?
By putting it on FPGAs maybe. Stage one is to get a robust process for measuring and researching latency - I'm in Australia and US data is bouncing into my mac via a lousy connection and a tcp port in 250 millsecs on average. There's a long way to go.
I suspect that if you can keep within a bulls roar of the low-latency crowd the big gains will be on the algorithm processing side. Algorithms still add up a few million numbers every time they recalculate a moving average - there's better ways to do it.
Re: Show HN: I'm building an open-source, high-frequency trading system
#50Check out IBrokers: http://cran.r-project.org/web/packages/IBrokers/index.html It'll get you up and running with IB in no time.
On a similar note, a while back I wrote a bi-directional, fan-out adapter between the Interactive Brokers API and ZeroMQ.
https://github.com/brotchie/ib-zmq
The annoying thing about the IB API is that there's no framing; that is, you can't simply consume the message types you are interested in without parsing the entirety of every variable length messages.
ib-zmq resolves this annoyance by parsing incoming messages and placing them individually into ZeroMQ message frames.
I also wrote an alternative to the IBrokers R package with a much nicer interface using this ZeroMQ adapter. It parses most IB API messages, but hasn't been used in production yet.