Tradingwith open source tools

Chia-liang Kaoclkao@clkao.org

OSDC.TW 2011 Taipei

two years later

Trading System

Trading system, also known as algorithmic trading, is the use of computer programs for entering trading orders with the computer algorithm deciding on certain aspects of the order such as the timing, price, quantity of order

Even with dice

The OSDC Trading System

(in 2009 talk)

Risk = controlled by you

Profit = probabilities

quote

strategy

order(via broker)

Automated TradingComponents

bayen2010 results

40.15% net, end of year

(Not with dice!)

Architecture 2009

quote

strategy

order(via broker)

memcached

jsonrpc

GeniusTrader

pos: +1, -1, 0

Architecture 2011

Runs on Amazon EC2(ap-southeast-1)

quote

strategy2

order(via broker)

rabbitmqanymq

jsonrpc

TradeSpringstrategy1 order ensuring

position sizing

quote monitoring

system monitoring emergency fallback

moved to AnyMQmoved to EC2

avg: -2.5 in 2010

avg: -0.5 in 2011

95.71% gross-21.85% cost-33.71% slippage

40.15% net, end of year

Quote

• Source

• Commercial Quote services

• Win32::DDE

• AnyMQ

• AnyEvent::Monitor

• Price AGgregation Manager: serve history and manages real time quotes

Source

• was running on MicroXP in VirtualBox

• now on EC2 win32 instances

• Republish to rabbitmq with AnyMQ

AnyMQ

• inspired by Tatsumaki::MessageQueue

• Use Moose traits

• Available on CPAN

• can talk to amqp servers like rabbitmq

AnyMQ

my $bus = AnyMQ->new;my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)

AnyMQ with AMQP

my $bus = AnyMQ->new_with_traits ( traits => [ ‘AMQP’], # host => ..., port => ..);my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)

AnyMQ with AMQPmy $bus = AnyMQ->new_with_traits ( traits => [ ‘AMQP’], # host => ..., port => ..);my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)

my $bus = AnyMQ->new_with_traits ( traits => [ ‘AMQP’], # host => ..., port => ..);my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)

my $bus = AnyMQ->new_with_traits ( traits => [ ‘AMQP’], # host => ..., port => ..);my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)

my $bus = AnyMQ->new_with_traits ( traits => [ ‘AMQP’], # host => ..., port => ..);my $topic = $bus->topic("Foo");

my $sub = $bus->new_listener($topic);$sub->poll(sub { my $msg = shift; })

$topic->publish($msg)AMQP Server

Service monitoring

• Is it running?

• Can we fix it when it fails?

AnyEvent::Monitor my $foo = AnyEvent::Monitor->new( name => 'foo', on_softfail => sub { warn "==> service fail: $_[1]"; }, on_hardfail => sub { my ($resume_check); warn "==> service fail, should attempt to do something to fix it: $_[1]"; $resume_check->(60); # resume checking after 60 secs }, on_resume => sub { my ($prev, $outage) = @_; if ($prev) { warn "service resumed from: $prev, total outage: $outage secs"; } });

PAGM

• a daemon listening on rabbitmq topic

• tells client where to look for aggregated price ticks

• answers historical price request:

{ type: ‘pagm.history’, reply: ‘client-name’,

code: ‘XTAF.TX’, timeframe: ‘5min’, count: 180 }

Strategy

• the core that decides:

• when to buy/sell?

• how much to buy/sell?

• when to stop loss, take profit?

• Finance::GeniusTrader

• TradeSpring

Finance::GeniusTrader

• DSL for trade systemsSY:Generic {S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3} \ |TF:Generic {S:G:CrossOverUp {I:Hour} 850} \ {S:G:CrossOverUp {I:Hour} 850} \ |TF:MaxOpenTrades 1 \ |CS:DayTrade

• too verbose

• designed for backtesting

• didn’t support live trading by default

TradeSpring!

♨++

(Second largest profit this year was on 3/15,went to Japan Red Cross Society)

TradeSpring

• New strategy runner engine

• backtest code = live code

• supports complex order types

• attached, OCA, trail stop, etc

• Moose based

• More abstracted

• release this year?

TradeSpringmethod detect_direction { for (1,-1) { local $self->{direction} = $_; if ($self->bt($self->better, $self->better($self->i-1)) && $self->bt($self->better($self->i-1), $self->better($self->i-2)) && $self->bt($self->close, $self->close( $self->i-1)) && $self->bt($self->close($self->i-1), $self->close( $self->i-2))) {

return $self->{direction}; } }}

dir = -1

better

dir = 1

TradeSpring examplesmethod detect_direction { for (1,-1) { local $self->{direction} = $_; if ($->bt($->better, $->better($->i-1)) && $->bt($->better($->i-1), $->better($->i-2)) && $->bt($->close, $->close( $->i-1)) && $->bt($->close( $->i-1), $->close( $->i-2))) {

return $self->{direction}; } }}

invoker.pm on CPAN

TradeSpring Order

$self->new_bracket_order( { dir => $direction, type => 'lmt', price => $self->better($self->i-1), qty => $self->position_qty }, { price => $self->worse($self->i-1) }, { type => 'mkt', price => 0, timed => $self->order_timed(13, 43, 00) });

stop

exit

entry

EC2

• multiple az

• ap-southeast-1 latency: 60ms

• ap-northeast-1 latency: 40ms

• (to broker endpoint)

• multiple region

Net::Amazon::EC2

• cloud-init, user-data

tn1: persistent: 1 ami_name: tn-dev6 type: m1.small security_group: default key_name: clec availability_zone: ap-southeast-1a

Ganglia

ec2 costs: ~US$100 / month

Analysis

• R

• protovis

• ask interesting questions and check your records!

Trade result breakdown by time and day of week

?

?

2011 results YOD

10% of profit will go to TPF

PROFIT!!

Questions?

clkao@clkao.org

謝謝！