274: TZ Discussion – All Things HFT

Justin and Jason discuss Justin’s rebound project and the myriad questions Justin has about HFT (high-frequency trading), learning to code with CodeAvengers and CodeCombat, the latest on Operation Superhero and MV Code Club, scaling with Node.js at Uber, posting error messages toย Slack and HipChat, scaling and managing servers at Digedu, Jason’s interview onย Get Up and Code,ย why iXL didn’t work for the math team and how to setup a backup configuration using MySQL and EC2.

14 Comments
  1. Justin says:

    @all – Here’s some high frequency techzing for ya! Only 6 days after the previous episode… ๐Ÿ˜‰

  2. Hey guys,

    Here’s an idea for ya!

    You code up some sort of trading simulation running off the real data that Justin is about to capture.
    The Techzing listeners then write their own bots to run on there. Your simulation pits them against each other as though they were live trading at the same time.
    We have winners, runners up… Kudos is awarded.

    Then you divide the bots into quartiles by results and share all the code for the top quartile bots among the top quartile entrants, all the second quartile code, and so on.
    We get to hybridise and learn from each other and make new bots before we go again in another round.

    At any point, any of us who is daring could hook our bots up to a real trading system and start getting rich :).

  3. Jon Medding says:

    Hereโ€™s some high frequency techzing for ya! Only 6 days after the previous episode

    That is high-frequency for you guys ๐Ÿ˜‰

  4. Jason says:

    @Andrew Cox – That’s actually a *great* idea and sounds like a lot of fun. In fact, it reminds me a lot of how the RoboCup simulation league works:

    http://www.robocup2013.org/2d-simulation-league/

    Incidentally, my friend Peter Stone, who we interviewed a while back, won it a few times:

    http://techzinglive.com/page/1128/197-tz-interview-peter-stone-robot-soccer-and-multiagent-learning

    Also of interest might be the interview we did with David Fogel on how he evolved a world class checkers playing algorithm:

    http://techzinglive.com/page/288/techzing-58-david-fogel-evolving-a-world-class-ai

    …. and the interviews we did with Chon Tang and James Thomas about HFT:

    http://techzinglive.com/page/849/151-tz-interview-chon-tang-inside-the-black-box-of-algorithmic-trading
    http://techzinglive.com/page/1049/185-tz-interview-james-thomas-headlands-technologies

    I’ll brainstorm with Justin about how best to implement it. The guy LIVES for brainstorming after all. ๐Ÿ˜‰

  5. Justin says:

    @Andrew I LOVE that idea

  6. Ayoub MAZA says:

    Thank you guys for this great episode, I am too just starting with Bitcoin trading and Jason’s answers helped me clear many things for me, thanks again.

  7. Jason says:

    @Ayoub MAZA – Awesome! I worried that I wasn’t explaining things very well because I sometimes have a habit of reversing my examples or just not stating things very clearly, so I’m glad to hear that I didn’t confuse you even more. ๐Ÿ˜‰

    What do think of the simulated trading competition that Andrew suggested? Would you be interested in participating if we managed to set something up? Not that we’re committing to anything quite yet, of course. ๐Ÿ˜‰

  8. Woo! Another one so quickly, and with topics I REALLY want to hear about! Excellent!

    You guys just made my international flight (boo) listening list.

    I am all for the bot trading idea. I have always wanted to play around with trading and was pretty close to doing so with some alt-coins, but assuming this works out I could try before I actually front any cash (although $10-100 is not really anything to worry about)

  9. A coder says:

    Interesting stuff as always!

    In the last part of the podcast you were talking about infrastructure. How do you guys handle authentication on stuff like APIs. Any expertise/lessons learned you can share?

    Thanks!

  10. @Jason & @Justin,

    Great, glad you like it :).

    My colleague actually won the simulation version of the RoboCup with his university team some time ago. I might be able to interest him in thus too: he is very competitive.

    Episode 58 was rattling around in the back of my mind but it was so long ago I wasn’t even sure it was Techzing. I will listen again.

    Hope you guys stay interested.

  11. This episode was very interesting! I had to listen to it twice just to make note of the terminology. It got me thinking about playing around with some APIs.

    Thanks guys, always love the show.

  12. Ayoub MAZA says:

    @Jason I am not yet in the level to enter such a competition yet, I am still trading manually (some times I end up chasing the price) to get a grip on the basics of trading and to understand the Bitcoin market (not that I understand other markets).

    I want to ask you if you know any good technical analysis books that could help me with algorithmic Bitcoin trading knowing that I have computer science master degree but I am not very good with math especially calculus. And which Indicators you think would be best to fallow in the case of a high volatility market such as the Bitcoin market.

    Thanks in advance, keep up the great work.

  13. Jason says:

    @Ayoub MAZA – I’m really not a big believer in technical analysis because most of that stuff has been shown to not have a whole lot of predictive value, if any. But what I have found though is that reading interviews with expert traders can give you ideas on how to think about and potentially trade the market, so I’d encourage you to do that. Any of the Market Wizards books by Schwager would be a good place to start. But ultimately it’s really all about creativity and experimentation on your part.

  14. Jason says:

    @David Walz – Thanks! Let us know if you get anything going.