[_zkyx]

Hey, thanks. Yeah, I agree with you. That's an oversight on my end. I'll tell you here though.

I'm just using go routines and channels to talk between them and then a giant mutex for locking. That's basically it. So, as new data comes in, it builds aggregates (tick based candlesticks) as needed, this then triggers the the BUY logic loop on that new data, if something is detected, that triggers a IB API order. It is dead simple and nothing complex in here. I've had upwards of 100 positions being tracked at anyone time and seems to just work. So, I haven't messed around with complex async logic too much.

I'm actually just hard coding the parameters right into the BUY loop. This probably sounds crazy but for a small setup like this they don't change that much. So, I can run some trades, tweak things, restart, and then test some more. I imagine if you were doing that in an enterprise setting you've have some formal language and hot loading and stuff. But, for me hard coding seems to work well enough.

[antiviral]

Also, what's your approach to risk management?

For example:

1. Do you have anything that limits the size of a single trade or position?

2. How do you measure and manage overall volatility/risk/VAR to your portfolio?

3. What kind of safeguards do you have to avoid catastrophic bugs? (For reference, see Knight capital and how a single bug brought down the entire company: https://www.henricodolfing.com/2019/06/project-failure-case-...) Given how fast your system trades, I imagine it must be difficult to visually spot these errors. (You did mention paper trading, but I wonder if you have anything else you want to mention)

Thanks so much for sharing your knowledge publicly. It's very much appreciated!

[_zkyx]

Here's some simple rules. I basically just read about these and then stole the ideas. I wish I had data to back this up and it seems to be working.

- No single bet can be more than 5% of all money. The small bet sizes are what really saves your bacon in that even if a few lose 10+% you're still fine overall. - I'm also limiting the amount of shares I bet and try to keep it in the low hundreds so that I get really fast fills. - I have something that stops everything if I lose more than 1k in a day.

I don't do anything to measure overall risk or volatility. Almost everything I'm in is highly volatile. I'm basically betting as things go up and then try to cash out. Sometimes you hit the top.

Yeah, I inspect all the trades at the end of the day, well and during the day, and try to feed anything new back into the system. This is 100% manual. But, like if a single trade loses $100 or something definitely I'm in there looking at what happened.

[antiviral]

Thanks!

What is your 'win' rate? (Percentage of trades that make money as a fraction of overall trades)?

How many trades does your system make on average in a given day?

Do you hold positions overnight?

[_zkyx]

Around 45-50% win rate but I try and keep the runners going for as long as possible and exit out of the loser trades quickly (this basically just costs you the commission on losers but sometimes more). You can tell within a minute or two if what you expect to happen is going to happen. So, even with a 50/50 win/loss rate you can still make money. I make around 100-200 trades per day. Sell everything before market close.

[asavinov]

Does it work synchronously or asynchronously? For example, if you integrate WebSockets then you could act as soon as you get new data. If it works synchronously then you regularly request data (say, every second) and then act.

If you process many positions and then choose top 5 candidates then do you choose one of them for buying or you can allocate resources between them (depending on some score)?

[_zkyx]

Both? I'm getting a constant stream of data via the websocket. As data comes in it gets added to the large in-memory object, and then once I have X number of trades, I'll go and build the candlestick bar. As soon as that bar builds, it triggers the BUY loop to inspect it, and see if it matches what I'm looking for. If it does, it send a buy order out to the IB API. I'm not ranking anything. I'm just looking to see if that matches and then buy. So, I have something that tracks the total money I have, and if I have any free money (and we don't already own that stock), it makes a bet. That's the logic. I wish I had some ranking logic but that's what it's doing.

That logic is happening for 5500+ stocks all in real-time which is pretty insane. But, it works really really well. Go is amazing. At market open and close there is like 60k+ events per seconds across trades and quotes. So, that loop is processing like 60k events at times, and building each stock out, and then looking to see if we should buy/sell.