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NautilusTrader: Open-source algorithmic trading platform

nautilustrader.io

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Re: NautilusTrader: Open-source algorithmic trading platform

#111

Post by cosmicgadget »

overfeed wrote: post #105
cosmicgadget wrote: post #72

Earlier quoted context omitted.

This is what passive traders tell themselves to feel better about letting institutionals have free reign with their money. If there was a best strategy basic economics would tell you that it immediately becomes not the best strategy.

Because it lacks specific criticism, your comment feels a lot like shallow dismissal template that can be deployed against any position one disagrees with, e.g. "This is what $(non-DIYers) tell themselves to feel better about letting $(electricians) have free reign with their money". Substitute with PaaS, banks, healthcare providers as needed.

My comment is shallow because it is not attempting to prove that active investing is better. It's saying, "I've heard people blurt out a list of reasons not to actively manage their portfolio and it's always been from a position of laziness or fear". There is a way to advocate for SPX or VOO or Fidelity 2045 and it's not by saying that these are the optimal strategies.

Re: NautilusTrader: Open-source algorithmic trading platform

#112

Post by cosmicgadget »

flessner wrote: post #93
cosmicgadget wrote: post #72

Earlier quoted context omitted.

This is what passive traders tell themselves to feel better about letting institutionals have free reign with their money. If there was a best strategy basic economics would tell you that it immediately becomes not the best strategy.

When you look at the market with a zero-sum perspective it becomes apparent that both active and passive investors earn average market returns - collectively they by definition are the market. However, active investors have higher trading fees/management costs, so they are bound to perform at least slightly worse on average. It's just mathematics.

I am completely at a loss for words here.

Re: NautilusTrader: Open-source algorithmic trading platform

#113

Post by cosmicgadget »

andrepd wrote: post #78
cosmicgadget wrote: post #72

Earlier quoted context omitted.

This is what passive traders tell themselves to feel better about letting institutionals have free reign with their money. If there was a best strategy basic economics would tell you that it immediately becomes not the best strategy.

It is the best strategy for someone who does not do this full-time (and for many people who do!). That is the point. A trader with experience, working in a firm with deep pockets and terabytes of historical data and FPGAs that can execute his/her strategy and a legal team and an engineering team... can outperform you yes x)

Well I certainly can't argue with something that is italicized.

But I should say that any engineer familiar with the AI tech stack could have bought NVDA at any point in the last five years knowing how big their moat is. That same engineer could have sold monthly covered calls, taking 5 minutes out of every month to do so.

And before you say it, no, they wouldn't be full port NVDA.

Re: NautilusTrader: Open-source algorithmic trading platform

#114

Post by andrepd »

cosmicgadget wrote: post #113
andrepd wrote: post #78

Earlier quoted context omitted.

It is the best strategy for someone who does not do this full-time (and for many people who do!). That is the point. A trader with experience, working in a firm with deep pockets and terabytes of historical data and FPGAs that can execute his/her strategy and a legal team and an engineering team... can outperform you yes x)

Well I certainly can't argue with something that is italicized. But I should say that any engineer familiar with the AI tech stack could have bought NVDA at any point in the last five years knowing how big their moat is. That same engineer could have sold monthly covered calls, taking 5 minutes out of every month to do so. And before you say it, no, they wouldn't be full port NVDA.

Jesus, don't quit your day job to become a trader is all I'm gonna say.

Re: NautilusTrader: Open-source algorithmic trading platform

#115

Post by k9294 »

I spent almost 6 years trading crypto. Our best month's volume was $6B.

1. Nothing we tried with usual strategies worked consistently. Backtesting parameters, ML with smart feature selection, boosting, neural networks - everything failed out of sample. Maybe we were dumb, I don't know.

2. What worked was having a clear edge: - Private exchange programs with rebates for high-volume teams - Pure latency arbitrage - Weird arbitrage trading obscure instruments (e.g. on chain AMMs vs crypto exchange futures).

Both market maker and arbitrage strategies were very sensitive to latency. We built a low-latency trading engine in Java (on top of https://github.com/OpenHFT/Chronicle-Queue). We got 130mqs from market event to order send in a hot loop on 99.99 percentile. It was fun to optimize and benchmark.

- Tail latency matters. You can have 100ms at the 90th percentile and 10-50ms at the 99.9th percentile. For low latency strategies, this is pure loss. - Tail latency matters even more when markets go crazy. Event rates can jump from 10 per second to 1-2k per second. If your trading engine uses trades or bid/ask events, be ready. For OHLC bars it doesn't matter, but nothing based on OHLC worked for us.

---

p.s.

I wouldn't recommend trading to anyone. It's very stressful and exhausting. More importantly, all your hard work disappears like trying to hold sand in your hands. There's very little compounding of your work. Strategies constantly churn. You're always negotiating with managers for fees and API limits. You're always negotiating with managers for fees and API limits. They force you to buy and hold exchange tokens like Binance's BNB just to get slightly better fees, VIP status, or direct API access that bypasses firewalls.

The industry is extremely secretive - it's a zero-sum game with no incentive to share anything. When you meet someone who trades, it's usually hard to have a meaningful conversation. At least that was true for me. All our strategies were small-scale and we couldn't invest all our capital in them. So discussing what we did was basically saying "yes, we print money, here's how you can take it from us".

Overall, I was super lucky. We built a money-printing machine that worked for a few years. But in the end, my co-founder and I decided not to pursue it long-term. One day when yet another strategy stopped working, we just shut down all operations.

Re: NautilusTrader: Open-source algorithmic trading platform

#116

Post by IshKebab »

joshcsimmons wrote: post #25
IshKebab wrote: post #23

Earlier quoted context omitted.

Surely you can't? You don't have the latency advantages of big trading firms, nor the gazillion PhDs they employ. There's absolutely no way you are going to consistently make money, let alone $200k/year. At best you'll get lucky and think it's skill.

Of course you can. If you have $17M invested in $VOO you'll make about 200k every year in dividends. What's difficult is getting a higher rate of return. $200k is totally doable with $2M investment capital and a bit of disciplined options trading.

Obviously we're talking about returns above the market. You don't need an algorithmic trading platform to invest in index funds.

Re: NautilusTrader: Open-source algorithmic trading platform

#117

Post by cosmicgadget »

andrepd wrote: post #114
cosmicgadget wrote: post #113

Earlier quoted context omitted.

Well I certainly can't argue with something that is italicized. But I should say that any engineer familiar with the AI tech stack could have bought NVDA at any point in the last five years knowing how big their moat is. That same engineer could have sold monthly covered calls, taking 5 minutes out of every month to do so. And before you say it, no, they wouldn't be full port NVDA.

Jesus, don't quit your day job to become a trader is all I'm gonna say.

Can you at least provide specificity to match your derision?

Re: NautilusTrader: Open-source algorithmic trading platform

#118

Post by drumhead »

jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

Fundamentally yes you are. Making money comes down to managing your risk. Cutting your losses quickly and riding your winners.

Re: NautilusTrader: Open-source algorithmic trading platform

#119

Post by andrepd »

cosmicgadget wrote: post #117
andrepd wrote: post #114

Earlier quoted context omitted.

Jesus, don't quit your day job to become a trader is all I'm gonna say.

Can you at least provide specificity to match your derision?

It's trivial to say in hindsight "if you had just bought XYZ in January you would have 80% gains by now!". Yet this is pure confirmation bias. Moreover, surveys routinely show that amateur day traders do not consistently beat a global stock index in a statistically significant manner.

Extrapolating from past data with N=1 to demonstrate that "any tech person can outperform the index" shows a crass lack of mathematical reasoning, which in my opinion demonstrates why you're unsuited to professional trading.

Re: NautilusTrader: Open-source algorithmic trading platform

#120

Post by copypaper »

Algorithmic trading is a deep rabbit hole that will drive you mad the more you try to understand it. There are just too many variables to account for and I genuinely don't understand how you could make a stable trading system that reliably makes money as a retail trader.

Excluding HFT (which is reserved for people with hundreds of millions to invest in infra, fresh Ivy league quant analysts, and a fiber optic cable hooked up directly to the exchange; they likely already have an in-house tool that does what this project does), you're really just left with intraday trading or long term investing. Investing doesn't require algorithmic trading or back testing, so it seems that this projects demographic is aimed toward intraday retail traders.

With intraday trading, your chances of making a successful trading algo are near 0%. I mean, think about it: you have to account for every single variable in the stock market. How are you supposed to account for a truth social post imposing or lifting tariffs? Or a ransomware attack crippling a company? Or if a whale decides to sell all their $BIGCORP shares on the flip of a coin? It's impossible. Your only odds of success with intraday trading is manually doing it. You yourself are an "algo" trader that is capable of changing their strategy on the fly and accounting for unknown variables. A pre-programmed algo can not, no matter how much context you give it.

Furthermore, with back testing, it's impossible to accurately capture the context of the market during that time. Let's say you back test on 180 days of data. Well, do you know exactly what happened on the 71st day of that data? Did you account for that fed meeting, that tariff hike, etc? What about all the other days? Testing on OHLCV alone is not enough; you need the entire context of the market.

While the project itself it neat, I just don't see how algorithmic trading could lead to any long term success.

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