[HN Gopher] Show HN: High-frequency trading and market-making ba...
___________________________________________________________________
Show HN: High-frequency trading and market-making backtesting tool
with examples
Author : nkaz001
Score : 38 points
Date : 2024-06-21 16:30 UTC (6 hours ago)
(HTM) web link (github.com)
(TXT) w3m dump (github.com)
| noitpmeder wrote:
| I see this is tailored toward crypto exchanges -- what, if any,
| are the major differences between crypto based trading and more
| traditional stock/future/option exchanges?
| miohtama wrote:
| First of all in traditional stock/futures exchanges you cannot
| connect to the exchange itself, but must go through a broker
| due to the regulation. This means you cannot directly interact
| with the order book, needed for the high frequency trading.
|
| Cryptocurrency exchanges are direct-to-retail so anyone can run
| HFT strategies and act as a market maker. Thus, cryptocurrency
| trading is "more democratized."
| TeaBrain wrote:
| Brokers exist as they are providing the service of managing
| and routing orders to an exchange, which market participants
| in electronic exchanges wouldn't be able to interact with
| otherwise, without having a colocation spot on the exchange
| and knowing FIX protocol. Retail traders don't know, don't
| want to learn, and really have no reason to learn how to
| route unmanaged orders via FIX protocol. If you want to
| directly interact with an exchange you can do so, you'll just
| have to buy or lease a colocation spot on an exchange first.
|
| Cryptocurrency exchanges are like many FX exchanges. They are
| not exchanges like the regulated stock, futures and options
| exchanges are, but are more like decentralized trading pools
| with unsynchronized order books, which are opaquely operated
| by a single broker. In crypto exchanges, it is not that there
| is no broker, but that the exchange and the broker are the
| same entity. There is no standardized protocol to route
| independently managed orders directly to crypto exchange
| servers. There's usually no way to directly interact with the
| exchange server at all.
| Bluecobra wrote:
| You can absolutely host your networking gear/servers inside a
| co-location facility where the underlying exchange is hosted.
| It just requires tons of money to do so.
| Prunkton wrote:
| to give some examples:
|
| - you can trade crypto 24/7, this sounds obvious but on the
| other hand side this also means, there is no pre-market trading
| and all the obscure things attacked to it
|
| - before blocks are being created, transactions are usually
| collected in so called mempools. (Way oversimplified) block
| proposers or miners, who are selected to create the next block,
| can choose which transactions to include, as space is limited.
| They can also determine the order of these transactions. All of
| this is publicly visible and opens a lot of opportunities to
| harvest slippage etc. (lookup MEV-bots)
|
| - generally speaking, there is no robin hood or other
| intermediary, that can block you from trading
|
| - in crypto, you essentially have access to all available
| financial products without any barriers to entry compared to
| traditional finance
|
| it looks like this repository is using Binance APIs for
| trading. So my statements are no entirely true for this case.
| But you can use trading bots like this on decentralized
| exchanges or DeFi products like curve finance without being
| dependent of an intermediary
| lern_too_spel wrote:
| The crypto exchange is likely underregulated and frontrunning
| you, and since its assets are kept on a blockchain where its
| wallet can be drained with no recourse instead of in a ledger
| governed by laws, you are more likely to have your money simply
| disappear and reappear in a North Korean wallet. That is the
| most significant difference. Otherwise, it's just like any
| other market.
| bormaj wrote:
| Are you a professional in the field or is this your side project?
|
| The quantitative trading posts on here typically just scratch the
| surface, but I have to say that I'm impressed with this one.
| Thanks for sharing!
| TacticalCoder wrote:
| > Show HN: High-Frequency Trading... > currently for Binance
| Futures and Bybit
|
| There is _no_ high-frequency trading in the cryptocurrencies
| world. It 's medium frequency trading at best.
|
| These cryptocurrencies exchanges (really broker+exchange mixed as
| one) aren't serving the data feed anywhere near quickly enough
| nor executing orders quickly enough to approach HFT.
|
| Firm doing HFT are co-locating near the exchange and using direct
| data feeds, at times using algorithms running on FPGA. Stuff like
| that.
|
| That's HFT.
|
| What's shown for Binance/Bybit is simply not HFT.
| smabie wrote:
| lol no one thinks like that
|
| Yes there is hft (just like how there was hft in tradfi 20
| years ago when latency was measured in the ms)
| bottom999mottob wrote:
| So how is the latency floor for HFT calculated?
| Bluecobra wrote:
| Order fill ratio. Whoever has the fastest hardware/software
| wins.
| koalala wrote:
| i've been looking into doing this, the basic algorithms you can
| get from research, but building a top of the line FPGA design for
| this is beyond my capabilities as a single engineer, does anyone
| know of anyone doing this with just some really well optimized
| c++?
| apsears wrote:
| Where can I find (programming) tools for slow investing?
___________________________________________________________________
(page generated 2024-06-21 23:01 UTC)