My stab at an automated trading system

B

Bigchazza

Anyone heard of Talend? It's an open-source java-based data manipulation tool and I'm using it to build a trading system. I have messed around with python for a couple of months but just don't click with it, especially when I know how easy it is to code EXACTLY what I want from scratch. Also I'm on a steep learning curve with trading and investment in general, so forcing myself to code technical indicators from scratch helps me to undertand them.

BACKGROUND: UK-based, I have worked in IT for many years, mostly on the data side. I got interested in the stock markets a few months ago, realising that property wasn't a great investment option any more (here in the UK, due to tax changes). Whether or not stocks are a better choice I can't say for sure, but the data-driven nature of it makes it endlessly appealing to me. I have read a few books on trading, listened to loads of podcasts and just soaked up as much as I can, and I'm pretty sure that I am not by nature a discretionary trader. I can look at charts but I'd rather look at the data behind them. And if I'm doing that, why not automate it? I love robots!

GOAL: a system running my chosen strategies in the cloud, popping off trades while I'm walking the dog or doing my day job. I'm looking at EOD data initially so it will probably only be popping off those trades when the market opens (LSE initially although I intend to trade US markets once I fully understand the tax side). Some features I am aiming for:
  • Decent backtesting capability (EOD data)
  • Fully configurable (meaning if I want to try a new strategy I just plug the parameters into an interface. Job done. A strategy is just parameters)
  • Modular (i.e. separation of concerns, service-oriented, loosely-coupled... whatever you want to call it. E.g. the regime filter is a callable service that just takes a date, a market and a filter type and returns BULL or BEAR - it doesn't care about the thing that calls it)
  • As cheap as possible (cloud, data, brokerage costs)
  • Frequency: daily (I'd like to look at intraday eventually but let's walk first)
WHY I AM DOING THIS: because I need a focus. I get obsessed with projects. And I go deep, so I might as well be obsessed with something from which I can expect $$$. Also I'm not getting any younger, and the more I look at my private pension funds and the people responsible for managing them, the more I feel I should take that responsibility myself.

WHY I AM POSTING ABOUT IT HERE:
  • As a way of talking through ideas with myself
  • In the hope that someone will point out any crazy misconceptions I have
  • Who knows, someone out there might be vaguely interested
I'll be sharing more details about the system soon. It's pretty much built as a proof of concept.
 
Between Striker Industries, ICannon Systems, Collective2 and Futures Truth, there are over 4000 automated trading systems - with back test data; looked at them first before you built yet an other one?
 
Dazz said:
Between Striker Industries, ICannon Systems, Collective2 and Futures Truth, there are over 4000 automated trading systems - with back test data; looked at them first before you built yet an other one?
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Thanks Dazz. I'm not looking at ready made systems, I just want to build something for myself. Like I said, it's helping me to learn this whole area from the bottom up. It may turn out that I don't end up using what I'm building - I'm enjoying the process anyway.
 
Millionaire said:
These are 99.9% garbage.

If you have a good system/edge , you dont make it public.
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I do have to agree some 2000 are cadaveric (track record stops some 2-5-10 years ago); another 1500 or so do not make money or in fact lose it; but the vast remaining majority may only trade once a week or month but make money - these might serve as a reasonable choice.
 
Bigchazza said:
Anyone heard of Talend? It's an open-source java-based data manipulation tool and I'm using it to build a trading system. I have messed around with python for a couple of months but just don't click with it, especially when I know how easy it is to code EXACTLY what I want from scratch. Also I'm on a steep learning curve with trading and investment in general, so forcing myself to code technical indicators from scratch helps me to undertand them.

BACKGROUND: UK-based, I have worked in IT for many years, mostly on the data side. I got interested in the stock markets a few months ago, realising that property wasn't a great investment option any more (here in the UK, due to tax changes). Whether or not stocks are a better choice I can't say for sure, but the data-driven nature of it makes it endlessly appealing to me. I have read a few books on trading, listened to loads of podcasts and just soaked up as much as I can, and I'm pretty sure that I am not by nature a discretionary trader. I can look at charts but I'd rather look at the data behind them. And if I'm doing that, why not automate it? I love robots!

GOAL: a system running my chosen strategies in the cloud, popping off trades while I'm walking the dog or doing my day job. I'm looking at EOD data initially so it will probably only be popping off those trades when the market opens (LSE initially although I intend to trade US markets once I fully understand the tax side). Some features I am aiming for:
  • Decent backtesting capability (EOD data)
  • Fully configurable (meaning if I want to try a new strategy I just plug the parameters into an interface. Job done. A strategy is just parameters)
  • Modular (i.e. separation of concerns, service-oriented, loosely-coupled... whatever you want to call it. E.g. the regime filter is a callable service that just takes a date, a market and a filter type and returns BULL or BEAR - it doesn't care about the thing that calls it)
  • As cheap as possible (cloud, data, brokerage costs)
  • Frequency: daily (I'd like to look at intraday eventually but let's walk first)
WHY I AM DOING THIS: because I need a focus. I get obsessed with projects. And I go deep, so I might as well be obsessed with something from which I can expect $$$. Also I'm not getting any younger, and the more I look at my private pension funds and the people responsible for managing them, the more I feel I should take that responsibility myself.

WHY I AM POSTING ABOUT IT HERE:
  • As a way of talking through ideas with myself
  • In the hope that someone will point out any crazy misconceptions I have
  • Who knows, someone out there might be vaguely interested
I'll be sharing more details about the system soon. It's pretty much built as a proof of concept.
More...
I have gone your route before (roll your own solution) but after several attempts at automated trading with the first back in 2003, I now use an off the shelf solution (https://quantterminal.com/) which I have built a custom integration on top of. This approach is ideal because I can focus on automating the strategy building process without having to worry about all of the plumbing required for automated trading.
 
fan27 said:
I have gone your route before (roll your own solution) but after several attempts at automated trading with the first back in 2003, I now use an off the shelf solution (https://quantterminal.com/) which I have built a custom integration on top of. This approach is ideal because I can focus on automating the strategy building process without having to worry about all of the plumbing required for automated trading.
More...
Interesting fan27. So what was the problem with your DIY efforts? Too much maintenance? Or not enough flexibility? Also, 2003 - presumably you were running it off your own on-prem kit? Did you try doing stuff later in the cloud?
 
Bigchazza said:
Interesting fan27. So what was the problem with your DIY efforts? Too much maintenance? Or not enough flexibility? Also, 2003 - presumably you were running it off your own on-prem kit? Did you try doing stuff later in the cloud?
More...
Wrap it and up and go home.. you will not prevail. the pros have far more money and are way better at this game, its also rigged
 
Bigchazza said:
Interesting fan27. So what was the problem with your DIY efforts? Too much maintenance? Or not enough flexibility? Also, 2003 - presumably you were running it off your own on-prem kit? Did you try doing stuff later in the cloud?
More...
The amount of effort to code up a solution for proper order handling and event processing is substantial. Sure, I could do it, but why? No need to reinvent the wheel. My setup currently runs in AWS which includes a logging solution hooked into my various Slack channels.
 
fan27 said:
The amount of effort to code up a solution for proper order handling and event processing is substantial. Sure, I could do it, but why? No need to reinvent the wheel. My setup currently runs in AWS which includes a logging solution hooked into my various Slack channels.
More...
Right I haven't got to the order handling yet. Mainly because I haven't found the right broker. No rush though because I have a whole heap of strategy backtesting to do. After that ideally I will have a broker with an API that hooks you up to a paper trade account. Interactive Broker is the most likely I guess. Anyway thanks - I will look at quantterminal.
 
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