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.
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.