this post was submitted on 12 Jun 2023
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An algorithmic trading platform. Let me know if anyone wants a link to the Github repo.
I'd be interested in the github repo. I don't even know where to start with algo trading. I know there were some specific subreddits dedicated to it, but understanding the best strategy would be cool. Would be interesting to dissect what you're doing.
Have you used it in a live environment?
Yes, I've used it live. I ended up coming to the conclusion that Binance was rigged and that they were forward trading me.
If you want to learn a bit about algo-trading, a good place to start is John Ehler's books. Caveat: You'll need to have a decent foundation of maths under your belt, or be prepared to learn it.
There are a few repo's that are more mature than mine. Jesse and SuperAlgos spring to mind. Also, peruse https://github.com/topics/trading-algorithms
I'm in the process of documenting mine, and cleaning up the code so that it's more generic and neat. It's at https://github.com/noenfugler/algo-weaver
Thanks I'll look into it.
While I love Python, it's not the easiest language to do high freq low latency work on as I imagine algotrading would demand.
How have you worked around this, if at all?
I can't find a way to word this that doesn't sound really aggressive, the question is in good faith!
Liberal use of libraries written in c (e.g. pandas, pytorch, numpy), some use of cython (not in the current version, but I have done so), and relying on time frames and strategies which have some tolerance for latency. If you trade five minutes after the start of a 1 day candle on the basis of where you expect it to be at close, it's not such a big problem.
It's a losing game to try and out-pace the big end of town.