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Case study: Algorithmic trading with Go

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Re: Case study: Algorithmic trading with Go

#291

Post by happytiger »

_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 :)

How do you relate with tradingview?

I've used ATR bots for years, and would love to hear your thoughts on how what you're building delineates itself as a distinct product strategy beyond just the programming language GO.

I've used wonderbit, zigz, and some of the others.

Cool project.

Re: Case study: Algorithmic trading with Go

#292

Post by ilyt »

otabdeveloper4 wrote: post #253
allenrb wrote: post #89

Earlier quoted context omitted.

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.

Disagree, most are actively harmful as it makes the product with best marketing win, not the objectively/subjectively best one.

Re: Case study: Algorithmic trading with Go

#293

Post by DrBazza »

dm3 wrote: post #262
DrBazza wrote: post #258

Earlier quoted context omitted.

> 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…

> 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. This depends a lot on the complexity of the trading system and the trading venue specifics. A system to trade single stocks or futures can be built, certified and running in 3 months. A system for options market making will take a lot longer.

Yes, stocks and futures was exactly what I was talking about. Though we also hit the market with options models within another couple of months.

The big costs for small firms are historic data (if you don't have any), colo, distance to exchange, and number of connections.

From the number of job specs I see, it feels like the HFT/low latency market place is healthy enough that there are always new firms appearing. It's competitive, so it's hardly surprising that if someone has new ideas they'll find a backer.

Re: Case study: Algorithmic trading with Go

#294

Post by kasey_junk »

infamousclyde wrote: post #285
kasey_junk wrote: post #56

Earlier quoted context omitted.

For trading systems that are still software based they absolutely do not allocate or reclaim on the hot path for this reason.

"That are still software based" is interesting. Are there hardware-based trading systems?

Yes. The fastest systems are asic or fpga based. They typically never leave the router.

Re: Case study: Algorithmic trading with Go

#295

Post by IshKebab »

k9jd883jb wrote: post #266
IshKebab wrote: post #259

Earlier quoted context omitted.

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

This is just one example, but at a small scale you might be placing buy orders with let’s say $1k or $10k. This is insignificant compared to the total amount of money being traded, and will not affect the stock price. However if you start increasing scale to $1mm or $10mm, your buy or sell orders begin to actually move the stock price itself. You might not be able to successfully sell $10mm of stock without dropping…

I meant an example of a strategy.

Re: Case study: Algorithmic trading with Go

#296

Post by usefulcat »

IshKebab wrote: post #295
k9jd883jb wrote: post #266

Earlier quoted context omitted.

This is just one example, but at a small scale you might be placing buy orders with let’s say $1k or $10k. This is insignificant compared to the total amount of money being traded, and will not affect the stock price. However if you start increasing scale to $1mm or $10mm, your buy or sell orders begin to actually move the stock price itself. You might not be able to successfully sell $10mm of stock without dropping…

I meant an example of a strategy.

For the point I'm trying to make, the particulars of the strategy don't matter. What matters is the fact that the larger and/or more numerous your orders are, the more likely you are to move the price, and any such price movements will necessarily be disadvantageous to you.

I.e., if you're buying, the larger your buy order is (well, assuming a visible buy order) the more likely it is that liquidity-adding sellers will increase the price of their sell orders. Also makes it less likely that liquidity-taking sellers will want to trade against your large buy order, because (like everyone else) they'll tend to interpret your large buy order as a sign that the price is likely to increase, so not as good a time to sell.

You could of course use hidden orders to avoid some of those disadvantages, but hidden orders have their own set of tradeoffs too.

Re: Case study: Algorithmic trading with Go

#297

Post by MuffinFlavored »

pyrrhotech wrote: post #280
Brystephor wrote: post #151

Earlier quoted context omitted.

How much external data is used for these models or human input/fine tuning on a regular basis?

The models vary greatly in the number of external data sources they pull from to compute signals. The simplest ones like https://grizzlybulls.com/models/ta-mr-basic and https://grizzlybulls.com/models/ta-trend-basic only use a technical analysis calculations on the raw price and volume data of SPX on a few different timeframes. The most complex pulls data from dozens of external sources as it incorporates macroeconom…

> The simplest ones like https://grizzlybulls.com/models/ta-mr-basic and https://grizzlybulls.com/models/ta-trend-basic only use a technical analysis calculations on the raw price and volume data of SPX on a few different timeframes.

Am I right to doubt that something this simple generates any alpha whatsoever?

Re: Case study: Algorithmic trading with Go

#298

Post by MuffinFlavored »

Def_Os wrote: post #166
dzink wrote: post #92

Earlier quoted context omitted.

Count me in the group of solo algo trading developers. Maybe we should connect and chat.

There are dozens of us! I'd be open to a chat channel or something.

I wonder how many people are actually willing to share "secret" details versus how many actually have anything to share that is worth anything.

We all know how to load up OHLCV data and do basic math on it. Where does that gain us any edge, you know?

Re: Case study: Algorithmic trading with Go

#299

Post by kortilla »

Intermernet wrote: post #261
logicchains wrote: post #260

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 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…

I think you just illustrated the problem. You have complete awareness of what you do, and you somehow manage to see it as a battle against "leftists" rather than selfish greed. I'm cool with that, but it precludes you from having valid opinions on anything related to improving the world for the majority of people. Please accept this and refrain from any social commentary. Your comment above demonstrates that you don'…

> Please accept this and refrain from any social commentary. Your comment above demonstrates that you don't actually operate in society.

Cut the fascist bullshit. Everyone can comment about how society should be run, even people that are very successful financially.

If you try to exclude greed from the design of your societal system, it will immediately fail. In large numbers, economics shows us that altruistic people wash out of the model and everyone operates in their own self-interest (greed).

Re: Case study: Algorithmic trading with Go

#300

Post by Shocka1 »

Def_Os wrote: post #166
dzink wrote: post #92

Earlier quoted context omitted.

Count me in the group of solo algo trading developers. Maybe we should connect and chat.

There are dozens of us! I'd be open to a chat channel or something.

Myself included. One issue I've run into with the public Discords is there are just too many people and therefore too much noise. A smaller non-public group would be ideal.
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