1) Has any of you developed / maintained a complete trading system, ideally specialized for options? The terminology may vary but I think the following subsystems are universally involved:
a) Market (live) data
b) Historic (static) data
c) Executions
d) Pricing
e) Auto trading engines
f) Positions, P&L and risk
g) GUI (for all subsystems #a-#f)
While it's possible to do some quick monolythic hack which has the above on a single desktop machine, professional software has:
a) A client / server architecture (GUI client for visualisation and control, server side for processing).
b) A distributed (scalable) server side (not necessarily "cloud" or runtime swap / fail / redundancy) just easy to add more processing power (computers).
c) Ideally, an unified historic and live system, so the thing you're backtesting is promote-able to live with just a config setting.
2) Do you know of such systems available on GitHub? If not, would you be interested in developing one?
If so, please indicate them (I haven't found them) and I'll check the features, source code and do an evaluation of how much time I need to invest in learning to use / customize them, deal with their limitations and decide weather it makes sense to continue developing my own versus start from pre-existing.
I know hedge funds have this sort of software and I worked for a company which sold this sort of stuff to clients who payed at least $200k / year (less than that it wasn't profitable for them). Looks like prop shops also provide this sort of software for their traders and charge them a hefty fee for using it (which is not so surprising giving the costs of developing it, see above).
GitHub is shit for promoting yourself as a developer, nobody fucking reads or gives a damn about your CV and your repo.
So those who would work on this sort of stuff would need to consider the intrinsic motivation for develping it, in my case #1 being: I'M AN ACTIVE USER OF IT. But at the same time, apart from the elusive returns I one day will make on my own capital using it, the thing is a by-the-book definition of #1 in my "Good work, bad work, no work" thread ( https://www.elitetrader.com/et/threads/good-work-bad-work-no-work.316872/ ).
With 99% probability you won't ever get to do in real life such a system and adjust it to your own needs. Which means you gotta have these needs, a.k.a actively trade using it and aim for profitability not trough selling snake oil (software) but the hard way, risking your capital.
I'm a bit busy now hacking what I currently have to live trade several strategies which finally have proved profitable but in the near future (a couple of months) I wanna give much more serious attention to the trading system and develop it to professional level. With what I can control, which means my own labor plus up to $500 per month, split in $50-$100 per task, most likely using the dreaded UpWork.
If you're interested in contributing or using it, read my "How much does it cost to start a hedge fund" ( https://www.elitetrader.com/et/threads/how-much-does-it-cost-to-start-a-hedge-fund.316685/ ) thread for some other stuff that I have in mind.
Ahh, one thing that would not be open source is the thing that matters: #1.e - the trading engines encapsulating the proprietary knowledge / competitive advantage over the "market average". In practice that's 99% of what matters, problem is it doesn't work in a vacuum, without the other 1% in importance (and 99% in code
)
a) Market (live) data
b) Historic (static) data
c) Executions
d) Pricing
e) Auto trading engines
f) Positions, P&L and risk
g) GUI (for all subsystems #a-#f)
While it's possible to do some quick monolythic hack which has the above on a single desktop machine, professional software has:
a) A client / server architecture (GUI client for visualisation and control, server side for processing).
b) A distributed (scalable) server side (not necessarily "cloud" or runtime swap / fail / redundancy) just easy to add more processing power (computers).
c) Ideally, an unified historic and live system, so the thing you're backtesting is promote-able to live with just a config setting.
2) Do you know of such systems available on GitHub? If not, would you be interested in developing one?
If so, please indicate them (I haven't found them) and I'll check the features, source code and do an evaluation of how much time I need to invest in learning to use / customize them, deal with their limitations and decide weather it makes sense to continue developing my own versus start from pre-existing.
I know hedge funds have this sort of software and I worked for a company which sold this sort of stuff to clients who payed at least $200k / year (less than that it wasn't profitable for them). Looks like prop shops also provide this sort of software for their traders and charge them a hefty fee for using it (which is not so surprising giving the costs of developing it, see above).
GitHub is shit for promoting yourself as a developer, nobody fucking reads or gives a damn about your CV and your repo.
So those who would work on this sort of stuff would need to consider the intrinsic motivation for develping it, in my case #1 being: I'M AN ACTIVE USER OF IT. But at the same time, apart from the elusive returns I one day will make on my own capital using it, the thing is a by-the-book definition of #1 in my "Good work, bad work, no work" thread ( https://www.elitetrader.com/et/threads/good-work-bad-work-no-work.316872/ ).
With 99% probability you won't ever get to do in real life such a system and adjust it to your own needs. Which means you gotta have these needs, a.k.a actively trade using it and aim for profitability not trough selling snake oil (software) but the hard way, risking your capital.
I'm a bit busy now hacking what I currently have to live trade several strategies which finally have proved profitable but in the near future (a couple of months) I wanna give much more serious attention to the trading system and develop it to professional level. With what I can control, which means my own labor plus up to $500 per month, split in $50-$100 per task, most likely using the dreaded UpWork.
If you're interested in contributing or using it, read my "How much does it cost to start a hedge fund" ( https://www.elitetrader.com/et/threads/how-much-does-it-cost-to-start-a-hedge-fund.316685/ ) thread for some other stuff that I have in mind.
Ahh, one thing that would not be open source is the thing that matters: #1.e - the trading engines encapsulating the proprietary knowledge / competitive advantage over the "market average". In practice that's 99% of what matters, problem is it doesn't work in a vacuum, without the other 1% in importance (and 99% in code
)
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