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Wow. I didn’t think that algo trading would be that easy

August 30, 2015

So I’ve created a basic framework for algo trading

https://github.com/joequant/algobroker

It’s all BSD licensed, so anyone can just fork it from my repository.

I’ve already gotten it so that it can send test messages to my cell phone, and within a day or so, I’ll have it so that it monitors various stocks on the HK stock exchange and then sends a text message if it goes above or below certain limits.  Once, I’ve got that done, I will have it track bitcoin, and then next thing that I can do is to automatically execute orders on the bitcoin exchanges.  At that point it would be really easy to create a system that can execute orders with Interactive Brokers.  I should have the HK quotes and bitcoin parts done by the end of the week.

The basic idea is to just have tiny python scripts that send messages to each other. Since everything ends up being a tiny script, I can swap out parts and add in new parts that respond to the messages.  Also because everything is based on message passing, I can have different scripts running on different machines, and scale complexity, up and down.

As far as why no one seems to have done this before:

  • it turns out to be vital that I’m actively trading bitcoin and HK options.  The trouble with having a group of software developers build out the infrastructure is that they wouldn’t know what features are not necessary.  In my case, one thing that I have to balance is the amount of time I sink into getting the script working, versus the amount of money I make or loss for not getting this working.
  • As far as business model, I’m not interested in selling the software.  I’m interested in using the software to make money.  It also makes a big difference that I’m in markets which need more liquidity.  If I was in a mature and static market, it would make sense to keep everything that I’m doing secret to keep other people out.
  • big companies already have massive sunk costs, and they have no incentive to make things easier since they already have everything in place

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