Tag Archives: HF

The case of Python vs R vs Matlab vs an incredibly fast HFT platform vs the FPGA option

Once again, this is the continue dialogue with highly intelligent Youtube Channel (youtube.com/quantlabs). This one is about the performance of Python and what I plan to do!

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Here it is:

 

Also, I saw your video on r vs matlab. It doesn’t really apply to python, because python is far more flexible. You can develop python from spyder or eclipse (IDEs capable of debugging).

 

So, if python people ask you about why matlab or open-source, it is still not going to be a convincing argument unless you focus it on simulink and integrated fpga development. Python really doesn’t have anything comparable to a system like that. That should be the main reason, and it is really a good enough answer

 

Jython for integrating python with java. Jython can use eclipse.

 

IronPython for integrating python with .net. Ironpython does in fact have Visual Studio integration.

 

You can generate c/c++ code using Cython. The c/c++ code can call the optimized cython libraries (much faster than the standard python libraries).

 

Plus you can use SciPy, NumPy, Matplotlib. You can call c/c++ code using cython or swig.

 

Examples for interfacing the ta-lib libaries with cython:

 

Interfacing ta-lib with Python using Cython : moving average function example

 

https://github.com/mrjbq7/ta-lib

 

Python also works with quantlib and quickfix. For speed, the basic python is on par with matlab.

 

You can run some basic code for FPGA:

 

Programming FPGAs with Python

 

Intro

 

Although, it is nowhere near the capabilities of Simulink.

 

Python is used extensively by JP Morgan and man hedge funds, etc. Scientific Agencies like CERN and NASA also use Python.

 

You can generate guis with pyqt.

 

Spyder is similar to Matlab’s IDE in many respects:

http://en.wikipedia.org/wiki/Spyder_(software)

 

 

Here is a nice portable distribution of python with pyqt, numpy, matplotlib, scipy, and an integrated IDE (spyder), etc.

 

 

https://code.google.com/p/winpython/

—-

You can try-out the bundle I linked to you in your spare time if you want to, you don’t need to, it’s just to inform you what python is capable of doing.

 

You also have this:

 

https://pypi.python.org/pypi/statsmodels

 

Capable of GARCH, ARIMA, VAR, etc.

 

Many different free tools like this.

 

The point is that it is possible to replicate a lot of the functionality you have in matlab and in the case of integrating your algorithms into c#, java c/c++ applications, or for using it on the web or building ground-up desktop applications with pyqt, python has matlab beat.

 

The real advantages of matlab is that it was designed to be an easy-to-use pseudo-language for non-programmers (mainly engineers) and of course simulink. So, it is easier to use matlab for non-programmers than python. Simulink provides a separate field that python does not specialize in and cannot compete.

 

You have been looking into various different platforms over the past few years, but it looks like now, that this is as good as it gets. It may be possible to use a cracked version of deltix for personal use, but in an enterprise, it is basically too risky. Tradelink is sort of redundant when you already have matlab. I think a lot of the research has been done, it is now more about implementation of the whole end-to-end system from strategy design to execution from within the program (simulink/matlab). Provides execution from within matlab, c++ code-generation and FPGA code generation and deployment all under the one banner.

 

What do you think?

 

–> I know about this Python debate. The CEO of the proposed  HFT system  feels there is more potential with it vs R or Matlab. From my perspective, Matlab is still the top pick just due to its extensive options available including the ability to extend M scripts to so many environments. The performance is all the same but as I said in my video, I am not going to risk millions of dollars on unproven technologies. I don’t have the resources of a JP Morgan for army of coders.

With what I Just saw in this HFT platform, your jaw will be left in the dinosaur’s age compared to what I saw. Honestly nothing compares to it. Anyone who wants to argue it down would be purely stupid and a moron of another dimension. Between Matlab/SImulunk and this platform, you are looking at the ultimate trading machine that will do circles around anything. It makes all those other technologies look so dated and obsolete. In terms of FPGA, the Simulink is a nice option but I am really startng to think this HFT platform still beats it hands down. I am of course referring to its relative ease of use and rapid development capabilities.

 

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For HFT: About to code generate into C++ using my Matblab moving average algorithm

For HFT: About to code generate into C++ using my Matblab moving average algorithm

I am going to try this with the Matlab Coder toolbox. I am find Simulink will be overkill for this scenario.

Yahooooo…I was able to code generate it. Now is the question how to implement with logic for trading decisions.

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Youtube video: Strategy building with trading models and algo for HFT. I start with simple moving average

Youtube video: Strategy building with trading models and algo for HFT. I start with simple moving average

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Recommended specs for a high perfomance computing server for high frequency trading HFT purposes with Windows HPC?

Recommended specs for a high perfomance computing server for high frequency trading HFT purposes with Windows HPC?

Specs would be needed with number of cores, types of processors, RAM, drive, etc. Needed to run with Windows HPC but I would like to keep a budget of around $1100 per server.  Comment below

 

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There is a lot of buzz about HFT. Would like to know what is the optimum time range in seconds to achieve low latency?

There is a lot of buzz about HFT. Would like to know what is the optimum time range in seconds to achieve low latency? Do we have any standard architecture

 

You should be thinking in microseconds.

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HFT: We are looking for low latency Ticker Plant Technology.

HFT: We are looking for low latency Ticker Plant Technology..
My Company HFT Technologies LLC produces Ultra Low Latency Gateways and Price Feed Handlers, we have both software solutions and hardware accelerated solutions. We also consult on Proximity Co-Location, Network Design, Automated Trading and develop custom trading applications.

What exchanges are you looking to connect to?

Tony Verga
CEO: HFT Technologies LLC
info@HFTTechnologies.com
www.HFTTechnologies.com
773.554.5993
Skype: HFTTECH

 

 

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estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ?

aIf you need to estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ?

I run back-testing on e-mini S&P500 and the software takes 100% fill ratio (for my limit orders) by default which is unrealistic for a HFT. The fill ratio should depend on the speed of execution and the size of orders, but how it can be estimated before real-money tests ?

How do you simulate a fill?

For simulations based on trades:
* You get a complete fill on your limit order when your limit price is traded
* You get a complete fill at your limit price as soon as a better price is traded
* You get a partial fill at your limit price as soon as the a better price is traded with the fill size the traded size.

Or do you have market depth data you can use?

est with a 1 lot , only assume fills when the price is breached. If your system still works trade live.

et’s say, I have Omega TradeStation and I don’t have market depth data. So the only situation when I can be sure in a full fill of the limit order is one when the order was generated “relatively” (to be defined) long before the trade occured (so it was actually in a queue) + the next price after the trade was better than the price of the trade (which means the limit orders of that price were executed 100%). In all other cases the order – in reality – might be executed partially or not executed at all due to too big latency in the route … Is there a chance to find a kind of 3D empirical graph linking actual latency, order size and fill ratio? Yet, there is also a time of the session parameter

Great! This is exactly the way I usually do it. I run optimization of the limit order price and then take the number of trades (frequency) from the “more distant limit price” set of parameters while the profit per trade – from the “less distant limit price” set of parameters. Multiplication gives an adjusted TotalNetProfit. Still the problem remains if there is a need to increase the size (for instance, for a business plan) or to move into HFT area. When frequency is high the role of latency becomes too uncertain/important.

You might like this paper:

Order Book Simulator and Optimal Liquidation Strategies.
Su Chen, Chen Hu, Yijia Zhou
http://www.stanford.edu/class/msande444/2010/2010p8.pdf

If you enjoy modeling, you could define a limit order flow model, simulate the orderflow and the orderbook, and tweak parameters untill the limit data you have and the simulated equivalent match.

If you go low latency then Tradestation is not the best tool.

ight you are. I used to work with it on slow strategies. It’s like old shoes – they do not work any more, but you still love them.

where did you get those rules? Any market practitioner would reason that you cannot blindly assume near-low-latent limit order execution. @Alexei, yes 100% (absolute) fill is unrealistic for HFT. The low-latency objective seeks to reduce slippage for flash traders. Flash traders are not seeking limit orders. Understand the assumptions in HFT. Separately, the fill-ratio is demand-supply, volatility dependent. Speed of the LIMIT ORDER’s execution would become increasingly significant in a increasingly active/volatile market, where the market is deviating from idle/low volume&volatility to active/high volume&volatility, esp. if you consider market makers moving the the price away from its center during low volume (less) and during high volume (more) periods. If I am mistaken/wrong, please provide citations / papers :: links.

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HFT next to go? Are high frequency trading algorithms next to be on the chopping block at investment banks?

HFT

next to go? Are

high frequency trading algorithms

next to be on the chopping block at investment banks?

With the recent FBI busts, one investigator said:

One focus of the criminal investigation is examining whether nonpublic information was passed along by independent analysts and consultants who work for companies that provide “expert network” services to hedge funds and mutual funds. These companies set up meetings and calls with current and former managers from hundreds of companies for traders seeking an investing edge.”  Some say that this is the new way of doing research and that there really is no story here.

SEC defines insider trading as:

“Illegal insider trading refers generally to buying or selling a security, in breach of a fiduciary duty or other relationship of trust and confidence, while in possession of material, nonpublic information about the security….Rule 10b5-1 provides that a person trades on the basis of material nonpublic information if a trader is “aware” of the material nonpublic information when making the purchase or sale. ” http://www.sec.gov/answers/insider.htm
Some one analysis was done that stated:

Private market data feeds are insider training:

This changes make their private data feeds available to everyone.  Some exchanges charge for this information, others give it away for free.  The data feeds are filled with enhanced trading information.  The information that you can receive on these feeds is much greater than what the public sees via the SIP (the securities information processor).  Not only can you see orders and trades, but the private data feeds also supply information on revisions and cancellations.

2) Flash Orders – Almost 18 months after the controversy, flash (or step up) orders have still not been banned.
We believe that if the FBI and SEC feel that information that investors are getting  from some “expert networks” is defined as inside information,  then a case can be made that the data that the exchanges are providing could also be considered an “expert network”.  The question becomes is the information that the exchanges provide in their private data feeds considered “material, non-public information”?

The fact of the matter is not all investors are looking at the same information.  Whether this is  technically inside information is not for us to decide.  But there are two simple ways to level the playing field:  1) Private data feeds should only contain information that can be seen by the general public via the SIP and 2) flash orders should finally be banned.

See these exact HFT points!

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