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Case study: Algorithmic trading with Go

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Re: Case study: Algorithmic trading with Go

#251

Post by daniel-cussen »

antiviral wrote: post #58
_zkyx wrote: post #2

Happy to answer any questions about this. It's been a side project that turned into a full blown obsession. There is nothing too secret about the system since it's more about having a solid platform that you can plug your strategies into. I'd probably even open source it but I'd have to clean up all my hacks :)

You may be interested in this: https://www.techtrader.ai/#wall Excerpt from his site: "Tech Trader is a fully autonomous trading system live with no human intervention or updates, now for over 10 years. It is unique from conventional algorithmic systems, not only because it actually is fully automated, but because it takes a "human" approach to markets. It is not quant. It is not stat-arb. It is not high frequency. I…

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Re: Case study: Algorithmic trading with Go

#252

Post by daniel-cussen »

antiviral wrote: post #107
dist-epoch wrote: post #100

Earlier quoted context omitted.

No broker API change in 10 years? No bugs? I call bullshit. Reads more like a scam for trading signals.

I don't run that site myself, but a quick search on sec.gov shows it's a registered hedge fund: https://www.sec.gov/Archives/edgar/data/1653903/000165390318... I can't say any more about its validity. Ask your financial planner if techtrader is right for you :)

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Re: Case study: Algorithmic trading with Go

#253

Post by otabdeveloper4 »

allenrb wrote: post #89
ilyt wrote: post #84

Earlier quoted context omitted.

So many intelligent people applied for something that has no value whatsoever to humanity regardless of how you look at it.

Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how…

Ads are tremendously useful, just ask any business owner.

The problem with ads is not that they're useless, it's that it is an industry prone to scams and grift. (Because doing advertising right requires all sorts of actual science, and ain't nobody got time for that when there's money to be made.)

t. Worked for 20 years and adtech.

Re: Case study: Algorithmic trading with Go

#254

Post by semilattice »

Solvency wrote: post #222
semilattice wrote: post #216

Earlier quoted context omitted.

>You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. People are saying this because, HFT sounds similar to 'crypto mining'. That's people with best infrastructure, the 'big-guys' -- win. While leaving out the retail investors as broiler chicken, pumped with 'drugs' (by influencers) to spend more on imaginary assets, so that they can be used for 'f…

So are retail investors truly no different from the people gambling their money on the lottery at the 7/11 every night? Do any regular pedestrian middle class retail investors EVER actually earn enough to retire on? Or do anything meaningful with? If so.. what is THEIR secret sauce, since it's not HFT...

There are probably 3 classes of Retail investors

a)Members of political elite that get insider trading stock tips. (illegal of course). The number of folks in usa congress and senate that become 'very lucky' investors after they join the rank, has to be amazing

b)Lucky

c) everybody else -- that looses.

Overtime, I would say last 30 years, the amount of 'influencing' retail investors to trap them into unreasonable actions had gradually increased.

So the percentage of folks going becoming the victims of the charade, will become higher.

Certainly if you concentrate on ( b ) you create the plausible deniability defense for the manipulators

Re: Case study: Algorithmic trading with Go

#255

Post by WA »

pyrrhotech wrote: post #96

One of the most misunderstood concepts about algorithmic trading is that speed is not a critical factor for the majority of systems. My systems like https://grizzlybulls.com/models/vix-ta-macro-mp-extreme have been crushing the market with live trading for 3+ years and yet trade on a frequency of only once ever 18 trading days on average (some a little more often, some even less), and are set up to only generate sign…

Your chart including what looks like backtesting data starting 2009 looks a bit disingenuous. It’s a totally random starting point. It’s obviously not your actual performance, if you say you started 3 years ago. It’s made to look like your model actually outperformed the market significantly.

Kudos to you if you really sit on an untapped gold mine, but imho, there are some red flags that makes me not buy in.

Re: Case study: Algorithmic trading with Go

#256

Post by armitron »

pdimitar wrote: post #77

Really funny coincidence that I am seeing Interactive Brokers mentioned in this good article. Story + rant time, feel free to skip if you are not interested how one guy gambled and lost. It's also a tentative call for partnership if somebody is interested. And a call for chat if anyone has any interest in the topic. (It's also kind of off-topic, my apologies for that. To me it seems semi-related but would agree with…

Rust (and Go) is absolutely the wrong language for this. I've done pretty much everything you described in Ocaml and Lua in a quarter of the time.

Re: Case study: Algorithmic trading with Go

#257

Post by nurettin »

ye-olde-sysrq wrote: post #49

I worked in HFT for a while. I find the whole space fascinating. I'm glad OP found similar thrills. "This aspect, the platform itself, seems to be often overlooked in most discussions. Many conversations revolve around strategies (mean reversion, trend following, linear regression, etc.), and backtesting, without fully addressing the practical mechanics or logistics of strategy implementation, particularly in the con…

I'm in the medium frequency trading world. (calculate lots of market conditions, send at most a few orders a minute) I'd like to understand the HFT world a little better.

Is it basically "do what MFT does, but faster", or is there any specific advantage like getting into an order queue with priority?

Re: Case study: Algorithmic trading with Go

#258

Post by DrBazza »

kasey_junk wrote: post #53
ye-olde-sysrq wrote: post #49

I worked in HFT for a while. I find the whole space fascinating. I'm glad OP found similar thrills. "This aspect, the platform itself, seems to be often overlooked in most discussions. Many conversations revolve around strategies (mean reversion, trend following, linear regression, etc.), and backtesting, without fully addressing the practical mechanics or logistics of strategy implementation, particularly in the con…

Not only are the platforms table stakes they are the more straightforward part to build. Even at the bleeding edge of latency you can usually work your way to the limits of your platform budget without having to find anything novel. The strategies though are where the discovery is. There are a few strategies that are well known and still profitable but those are largely consolidated to the biggest firms. For everythi…

> it’s largely a big firm world now.

Largely, though I receive 1 or 2 job specs every week for start ups with the keywords 'hft' and 'low latency'. Admittedly there's going to be duplication there if you read them closely.

I think it's a bit of a myth that (ignoring FPGAs) that writing a low-latency software trading system is a time/cost expensive process. Anecdata = I worked at two firms where we did a rewrite from scratch with teams of 5-6 people and traded in the market within 3 months. I'd argue a senior dev that's been around the block a few times could achieve similar when you remove corporate politics, and bikeshedding over design.

The big firm part is paying for multiple quants at $200k++ to come up with strategies and historic market data access for trading models. Small firms are getting backing as long as the co-founders are 'ex-CxO from MegaCorp'.

Re: Case study: Algorithmic trading with Go

#259

Post by IshKebab »

usefulcat wrote: post #230
IshKebab wrote: post #122

Earlier quoted context omitted.

How can you hope to compete with the pros? You're not going to be faster than them and unless you have several PhDs in maths it's unlikely you'll come up with a better algorithm. The only way I can think of is to get data that they can't.

There are plenty of strategies that can be profitable on a small scale but which just don't work as you scale up the capital or leverage. Such strategies can be simultaneously profitable for a small operation and not worth the bother for most larger trading shops.

That doesn't make any sense. Can you give an example?

Re: Case study: Algorithmic trading with Go

#260

Post by logicchains »

allenrb wrote: post #89
ilyt wrote: post #84

Earlier quoted context omitted.

So many intelligent people applied for something that has no value whatsoever to humanity regardless of how you look at it.

Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how…

>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

It's nothing to do with "we as a society". I'm a quant trader and know many others, and the vast majority are in the industry because we care about making money not some leftist save the world crap. Even if socialists managed to completely destroy the financial market, we'd just find another way to make money without trying to save the world (e.g. like the mostly corrupt officials in Russia and China when they were communist). "Society" can't change human nature; even mass brainwashing on the scale attempted by Maoist China failed.

I.e. the best and brightest will always work where they want to work, not where leftists like you want to "allocate" them.

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