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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

#161

Post by spitfire »

carterschonwald wrote: post #151
carterschonwald wrote: post #148

Earlier quoted context omitted.

Still working on it! Been taking a bit longer to get the core worked out that I'd have liked, but life happens (eg my mom had cancer for a month this winter, though she's fine now, which is awesome. She didn't even need chemo or rad!!). Also, I was original planning to NOT write my own linear algebra substrate, but I quickly realized all the current tools suck, and that I needed to come up with a better numerical sub…

I really really really hope the biz+tech combo validates... because then I could occasionally stop and think "holy fuck, I'm bootstrapping my fantasy job / company, the likes of which I imagined / dreamed of as way back as middle school and high school!" Realistically theres 3 different outcomes: the tech doesnt validate (and thus the biz doesnt either) --- then i'm looking for a day job ... (and I'm pretty darn egom…

Thanks for the update Carter. I'll root for you.

one point to make. The interface and the performance don't have to appear at once. The interface will be the longer lived portion. So sort that out, and you can focus on performance as problems crop up.

I know it's horribly boring to say, but getting those first few customers gets you into a virtuous cycle. Given that you're bootstrapped, even a few customers will get you in a very good place, where you can spend on development.

I remember us (or rather I) talking about Mathematica. When it first came out it was horrible for numerics. Truly terrible. But it was easy to transfer technical papers to. You simply wrote down what was on the paper, and you were done.

So people used it, and eventually performance got better over time as they invested in it.

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

#163

Post by carterschonwald »

spitfire wrote: post #161
carterschonwald wrote: post #151

Earlier quoted context omitted.

I really really really hope the biz+tech combo validates... because then I could occasionally stop and think "holy fuck, I'm bootstrapping my fantasy job / company, the likes of which I imagined / dreamed of as way back as middle school and high school!" Realistically theres 3 different outcomes: the tech doesnt validate (and thus the biz doesnt either) --- then i'm looking for a day job ... (and I'm pretty darn egom…

Thanks for the update Carter. I'll root for you. one point to make. The interface and the performance don't have to appear at once. The interface will be the longer lived portion. So sort that out, and you can focus on performance as problems crop up. I know it's horribly boring to say, but getting those first few customers gets you into a virtuous cycle. Given that you're bootstrapped, even a few customers will get…

Agree with everything you say. Hence why I'm just going to be releasing the Lin alg soon. It actually turns out for the linear algebra code done right, the API has an intimate relationship with the possible performance! (This will be more apparent once I get things out the door).

There's a lot ill not be even trying to do in the first release : eg parallelism, distributed computation, sse/avx intrinsics.

Fret not, things are moving apace, and basic tech validation and thence conditioned upon that, public release, are approaching scary fast! :-)

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

#164

Post by zygomega »

pygy_ wrote: post #108
zygomega wrote: post #94

Earlier quoted context omitted.

yes. Julia looks like a quality language but suffers the usual new kid on teh block hassles - very few packages so you have to spend too long rolling your own.

Are there specific packages that you would currently need, but aren't there (yet), or is it a more general concern about the relative package scarcity and unforseen changes to / future needs of your code?

It's not specific, it's just my recent experience. Hadley released his bigvis package a few weeks ago, and it contains the beginnings of a weighted average routine I sure can use.

mmap is a package that let me create a fast db from scratch in a day. ggplot, lattice and all the charting routines are a joy to work with.

I'm interested in random forests today, and I bet there's a package that links to the standard libraries whatever they are. This is also probably true for python, but Julia you'd have to build the API.

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

#165

Post by zygomega »

freyrs3 wrote: post #153
boothead wrote: post #109

Earlier quoted context omitted.

Some of the work that continuum have done on blaze [1] look to be tackling the problem of streaming in python too. In fact some of the ideas in this library come directly from haskell and one of the main developers is Stephen Diehl, who posted the very popular "what I wish I knew about haskell" slides recently. Looks like a match made in heaven :-) [1] http://blaze.pydata.org/

Stephen here, yes boothead is right. Using a combination of Haskell and Python you can make a really powerful trading system. Python has a lot of user-facing algorithm tools and Haskell has the robustness and parallelism for the backend that Python doesn't. If you're interested in advice on how to bridge the two worlds let me know, there's a lot of of upcoming technology ( LLVM, Blaze, pipes, zeromq, cloud-haskell )…

It does feel like I'd be swimming against the tide heading down the R path. Thanks for the offer :)

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

#167

Post by jackpirate »

carterschonwald wrote: post #159
nazka wrote: post #158

Earlier quoted context omitted.

What is the name of your library? Or where do you post news?

It's not out yet. If you really want to hear about things as they happen, signup for the announce list linked to from www.wellposed.com , I've yet to fire off any emails to that list, but I anticipate 2-3 emails over the next 1-2 months (after a year of hard work and focused thinking). What's also kinda awesome is I think the alpha release with all the Lin alg functionality should be under 2k loc. a lot of the work h…

Hey, I'm the author of the [HLearn library](http://hackage.haskell.org/package/HLearn-algebra). I just got two papers accepted into TIFP and ICML about the algebraic nature of machine learning, and how we can make machine learning algorithms both fast and user friendly in Haskell. I plan for a major update of my library in about a month to make it up-to-date with these research contributions, and I'd love to chat about how we can work together to make this a reality. My email's in my profile.

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

#168

Post by zygomega »

zopf wrote: post #146

I assume you've checked out Marketcetera ( http://www.marketcetera.com ). What will be your platform's primary differentiators?

Not having to register and login is one immediate differentiator. Marketcetera is a big, big code base - I think our ambitions are more focused.

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

#169

Post by zygomega »

mangrish wrote: post #139

Cool! Very interesting. I think given the languages you have selected you are coming more from a quant background? These languages are great for heuristics and analysis but you would really want all 'static' components such as connectivity built in assembly/C/C++. For 'algo' components I like Java as you can still pull microsecond order latencies when crunching numbers but more importantly it gives you a huge time to…

I get the sense that the Lodestone project is now defunct.

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

#170

Post by carterschonwald »

jackpirate wrote: post #167
carterschonwald wrote: post #159

Earlier quoted context omitted.

It's not out yet. If you really want to hear about things as they happen, signup for the announce list linked to from www.wellposed.com , I've yet to fire off any emails to that list, but I anticipate 2-3 emails over the next 1-2 months (after a year of hard work and focused thinking). What's also kinda awesome is I think the alpha release with all the Lin alg functionality should be under 2k loc. a lot of the work h…

Hey, I'm the author of the [HLearn library]( http://hackage.haskell.org/package/HLearn-algebra ). I just got two papers accepted into TIFP and ICML about the algebraic nature of machine learning, and how we can make machine learning algorithms both fast and user friendly in Haskell. I plan for a major update of my library in about a month to make it up-to-date with these research contributions, and I'd love to chat a…

Oh cool! I've seen your stuff, it's very very neat, but gpl makes me nervous about looking at the code / playing with it much.

Yeah, we should def chat! My emails also in my profile. Lets one of us get around to emailing the other sometime this week.

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