Case study: Algorithmic trading with Go • Hacker News Board

Re: Case study: Algorithmic trading with Go

#241

Post by hpenvy » Sat, Jul 01, 2023, 4:11 AM UTC

Solvency wrote: post #221

Roark66 wrote: post #206

Earlier quoted context omitted.

It may seem so at the first glance, but such trading if carried out by many independent providers actually increases the liquidity if the market for everyone else. Likewise with crypto. Personally I don't think that if you're calling an API over an Internet it matters if your trading bot is written in go or python (mine was in python). Use the language you're most comfortable in. The network and trade submission/exec…

"increases the liquidity if the market for everyone else" That's just it. The whole premise is pretty absurd. The market, the actors, everything. It's so far removed from literally anything remotely human. It's the financial equivalent of an infinite sea of AI bots producing CVs and research papers which are only being evaluated and read by other bots. If you step away from it all for a second, what the hell is the e…

Your analogy isn't applicable here. What the OP was trying to get at is that even an individual who doesn't know anything about markets, HFT, liquidity, etc can still benefit from high liquidity from HFT (since it allows for transactions to occur sooner and quicker). In the AI example, the implication is that the final product isn't benefiting consumers.

Re: Case study: Algorithmic trading with Go

#242

Post by mr_o47 » Sat, Jul 01, 2023, 4:28 AM UTC

finexplained wrote: post #150

tomcam wrote: post #126

Earlier quoted context omitted.

Seems like every person I've ever met in M&A has ended up hating life because of their career choice. They seem to burn out in 5 years or so after salting away a million bucks or 3. Was that your feeling doing the HFT thing?

I work at an HFT firm. Most fun I've ever had.

Which HFT firm do you work at if you are okay sharing

Re: Case study: Algorithmic trading with Go

#243

Post by jasfi » Sat, Jul 01, 2023, 4:33 AM UTC

I'm working on an algo crypto trading platform. I have pre-defined rules set up in NoCode fashion, but it seems like many people will want to code their own algos. I'm thinking of supporting a scripting option.

Re: Case study: Algorithmic trading with Go

#244

Post by frankc » Sat, Jul 01, 2023, 4:48 AM UTC

nostrebored wrote: post #199

musicale wrote: post #193

Earlier quoted context omitted.

Nonsense - what could be more beneficial to society than providing imaginary "liquidity" by interposing yourself between legitimate buyers and sellers? It's a bit like stock brokers - and why wouldn't we want stock brokers to operate at drastically faster-than-human timescales, because we all know the value of a company changes every nanosecond! And "flash crashes" create opportunities for investors to make huge amou…

> Nonsense - what could be more beneficial to society than providing imaginary "liquidity" by interposing yourself between legitimate buyers and sellers? Now when I say the same thing about index funds people get all huffy

forget index funds, you could say the same thing about supermarkets. Pointless middlemen!

Re: Case study: Algorithmic trading with Go

#245

Post by fnordpiglet » Sat, Jul 01, 2023, 5:03 AM UTC

shric wrote: post #240

fnordpiglet wrote: post #192

Earlier quoted context omitted.

HFT provides a great deal of liquidity and efficient pricing in markets that are adapted to it. It provides a real service, allowing people to transact without using a large bank or broker efficiently on an open market. The fact you can click buy and it buys on almost any stock is likely due to a HFT on the other side. That may not mean much to you directly but it does provide a lot of utility in markets. The biggest…

My understanding was that HFTs make the most profits during periods of highest volatility. Why do they pull out?

Depends on their strategy but a lot of strategies depend on some sort of price discovery which requires having a probable estimate of what the current price should be and some form of market making around the level. In a very dislocated market the price is unknowable and it becomes gambling, and generally market making strategies are explicitly not about gambling but about facilitating trades around the “true” price.

Re: Case study: Algorithmic trading with Go

#246

Post by mrcode007 » Sat, Jul 01, 2023, 5:11 AM UTC

alchemist1e9 wrote: post #228

mrcode007 wrote: post #201

Earlier quoted context omitted.

Yes, toxic flows and adverse selection are the magical buzzwords that get thrown around a lot. I’m familiar with glosten-milgrom model and private information and all related paradoxes. What you’re failing to disclose is that there is an easy way out of solving the adverse selection problem. For example you could buy “uninformed flow”. I think that you could agree that for the touted sophistication of the field you w…

While I fully believe you are an experienced practitioner however I feel your thought experiment actually shows you don’t understand the underlying nature of capital markets in capitalism, the relationship between risk and liquidity, and the fractal nature of timescales of participants. I’m fortunate enough to have both a background in HFT but prior to that a background in many other aspects of capital markets and th…

You start sounding a bit like chatgpt with the “it is I who have the sole power of understanding” and self contradicting arguments. I never mentioned zero sum games or anything of the sort. Please don’t ascribe your thoughts to mine. I did helpfully screenshot your comment invoking war and claiming HFT is like it. I can jog your memory if you’d like. Now you’re claiming the opposite. Your arguments start becoming internally inconsistent.

Your risk argument doesn’t hold water because liquidity is not the only risk. There are at least 20+ I can think of from the top of my head without even trying.

I’ll rest my case here.

Re: Case study: Algorithmic trading with Go

#247

Post by quickthrower2 » Sat, Jul 01, 2023, 6:16 AM UTC

TheAlchemist wrote: post #218

quickthrower2 wrote: post #177

Earlier quoted context omitted.

No idea. I don’t know technically what is meant by this.

Well, technically it’s false, so nothing :)

I checked my email history on it. There isn't much but from what I can tell the exchange was changed that they were traded on but there was also a change in back-end broker and there was a delay of them moving the shares to the new back-end broker. So maybe the change of exchange wasn't the actual reason, just a coincidence.

Re: Case study: Algorithmic trading with Go

#248

Post by ir123 » Sat, Jul 01, 2023, 6:20 AM UTC

cratermoon wrote: post #185

robertlagrant wrote: post #156

Earlier quoted context omitted.

> We as a society have managed to allocate so many of the “best and brightest” to either fintech wankery or placing ads in front of eyeballs. Those things have driven a load of proprietary and open source tech that helps everyone else.

Rising levels of inequality would suggest this is false.

sorry, i don't believe inequality is rising, at least in ways that matter. in the last 50 years, a substantial number of people were pulled out of poverty.

Obviously this would mean that countries that previously relied on subsidised labour from those third world countries would have to start paying up. I'm not suggesting that it is a zero sum game however.

Re: Case study: Algorithmic trading with Go

#249

Post by ir123 » Sat, Jul 01, 2023, 6:22 AM UTC

TheAlchemist wrote: post #214

maest wrote: post #163

Earlier quoted context omitted.

But is that because of the excellent WLB and pay or because of the social impact?

The jobs in algo trading are very interesting for technically - mathéamtically inclined people. It’s really one of those fields where you have a direct impact on the results of your - measurable in additional dollars made. There is 0 social impact. That’s the downside of course - but hey, how many jobs out there are really having any kind of positive social impact ? Not 0, but close to it.

I think there is some impact, for finding the correct price of things.

Re: Case study: Algorithmic trading with Go

#250

Post by robertlagrant » Sat, Jul 01, 2023, 7:04 AM UTC

cratermoon wrote: post #215

justinhj wrote: post #195

Earlier quoted context omitted.

What would rising levels of being lifted out of poverty suggest? The equality gap doesn’t count for much if you starve or freeze to death, and poverty is declining world wide.

> poverty is declining world wide That depends on how you measure it.

The worst way to measure it is inequality. How the top person is doing relative to the bottom person isn't important. How the bottom person is doing now compared to the bottom person 100 years ago is.