Yet another ATS platform (Erlang)

Discussions about custom-built testing platforms written in C, C++, or Java.
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Joel Reymont
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Yet another ATS platform (Erlang)

Post by Joel Reymont » Thu Jul 07, 2005 2:50 pm

Folks,

I'm building a new ATS development platform on top of Erlang. I will focus on real-time trading systems and tick data. The core of the system will be open source but I'll make money on data feed handlers and add-ons.

This is a bit of a research project so any suggestions and critique is welcome. I will also eat my own dogfood and use the platform for trading.

There are several features in Erlang that make this the ideal platform for processing and analyzing high volumes of real-time data.

Please take a look at the following links. Wall St. is apparently being swamped by real-time data and companies like http://www.vhayu.com/ have sprung to fill the niche.

http://www.wallstreetandtech.com/showAr ... =164903661

http://db.riskwaters.com/public/showPag ... int=195098

http://www.dbta.com/in-depth/mar05/rugg-palmer.html

This is just the type of work that can be cheaply done with Erlang and I'm surprised that no one has thought of it before.

Data feed adapters can be easily coded with Erlang and it comes with a high-performance database that makes storing tick and instrument data easy. I will initially focus on tick data as this should make my job easier. I won't have to deal with futures rollovers, etc.

Building grids and clusters is also simple as Erlang is all about large numbers of very lightweight distributed processes running on a network of "nodes". Processes don't need to be aware of where on the network other processes are running, they just message each other.

You should be able to build yourself a server farm with real-time data feeds from various sources all going into the same database. I will enable this. And of course there's that 99.999% uptime.

What do you think?

Thanks, Joel

--
http://wagerlabs.com/uptick

AFJ Garner
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Post by AFJ Garner » Thu Jul 07, 2005 5:01 pm

Perhaps for those poor simpletons such as myself who know a bit about markets but little about technology you could explain, in simple English involving the use of as little computer jargon as possible, what it is you are offering (if indeed you are offering anything - the purpose of your post is, to me at least, a little opaque) and why you have posted here at this stage.

Joel Reymont
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Post by Joel Reymont » Thu Jul 07, 2005 5:05 pm

AFJ Garner wrote:Perhaps for those poor simpletons such as myself who know a bit about markets but little about technology you could explain, in simple English involving the use of as little computer jargon as possible, what it is you are offering (if indeed you are offering anything - the purpose of your post is, to me at least, a little opaque) and why you have posted here at this stage.
I'm offering a new platform for development and execution of very short-term futures trading strategies.

The purpose of my post is to make an announcement and solicit advice as well as critique.

I have posted here because... it's a custom platform :-).

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Post by TrendMonkey » Fri Jul 08, 2005 11:25 am

Talking about specific languages, databases, uptimes, nodes, etc. isn't going to impress anyone here and suggest your interest lies on the programming side, not the trading side. We want to hear people talk about indicators, ways of measuring drawdown, ways of expressing rules, etc.

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Post by damian » Fri Jul 08, 2005 11:32 am

TrendMonkey wrote: We want to hear people talk about indicators, ways of measuring drawdown, ways of expressing rules, etc.
Then why don't you lead by example? :wink:

I don't think this guy deserves the cold reception he has been offered.

Joel Reymont
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Post by Joel Reymont » Fri Jul 08, 2005 3:14 pm

TrendMonkey wrote:Talking about specific languages, databases, uptimes, nodes, etc. isn't going to impress anyone here and suggest your interest lies on the programming side, not the trading side. We want to hear people talk about indicators, ways of measuring drawdown, ways of expressing rules, etc.
I will talk about the trading side as that's where my real interest lies. I just wanted to make people aware of what's going on. Plus, this is the group for C++ and Java (read programming) :-). I did start http://groups-beta.google.com/group/uptick to talk about details of implementation, using and trading with my system. Not much in there but I'll flesh it out over time.

I'm looking for co-conspirators and would like this system to be for traders as opposed to programmers. I would like to know what you, as a trader need and have that implemented.

Cheers, Joel

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Post by TrendMonkey » Mon Jul 11, 2005 10:42 am

Sorry if I sounded like a prick, I have just seen way too many techno enthusiasts who think nothing of spending weeks architecting the coolest inheritance hierarchy but can't bring themselves to spend 5 minutes understanding the difference between a MA and an EMA.

I think the two biggest decisions you have to make are (1) are you going to support intra-day prices - this has a lot more ramifications than just having a lot more data to grind through - but it looks like you have already made that decision; (2) are you going to support a scripting language a-la TradeStation, TBB, etc. If you don't do #2, nobody is going to take you all that seriously because sooner or later they aren't going to be able to test their latest trading idea. I believe no amount of trying to program all the common indicators, sub-strategies, etc. will compensate for tackling the beast of creating a mini-language and figuring out how to parse it reliably.

If you are really serious you'd acquire copies of each of TS, TBB, WLD, etc. and seriously evaluate the pros and cons of each. Of course, this would cost a fair amount of cash and a ton of time, most likely not available for a research project. But just as a general comment, I am always amazed at how little time and effort the average programmer spends trying to figure out the mistakes and strengths of their predecessors / competitors.

Good luck!

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Post by Joel Reymont » Mon Jul 11, 2005 11:20 am

TrendMonkey wrote:(2) are you going to support a scripting language a-la TradeStation, TBB, etc. If you don't do #2, nobody is going to take you all that seriously because sooner or later they aren't going to be able to test their latest trading idea.
I don't think I'll need a mini-language. I do have translating from EL as an option, though. It's not THAT hard.
If you are really serious you'd acquire copies of each of TS, TBB, WLD, etc. and seriously evaluate the pros and cons of each. Of course, this would cost a fair amount of cash and a ton of time, most likely not available for a research project. But just as a general comment, I am always amazed at how little time and effort the average programmer spends trying to figure out the mistakes and strengths of their predecessors / competitors.
I bought NeuroShell and TradingRecipies a while ago and I had a copy of TradeStation 2000i someplace :-). I was also the first /and only?/ sales person behind QuantStudio for a year.

I'm looking for co-conspirators, traders who would tell me what they want and how they want it. Within limits that I set of course. Currently these limits are tick-based trading of futures. Want to contribute? Let me know!

I am here to push the limits. I don't want to develop a me-too trading platform, I think there are large numbers of very good platforms out there and I don't have to name them.

There's an explosion of tick data on Wall St, new instruments, etc. My technology shines when thinks can go parallel and concurrent, when soft real-time response is required.

I want to maintain a laser-sharp focus on a small niche that I can attempt to dominate. I want a unique selling proposition and that is tick-by-tick trading of futures.

I fully intend to make the Uptick core open source, specifically so that people can iron bugs collectively and have faith in the platform. This should help the platform spread and become a standard in the high-frequency trading niche. Then I can sell money-making add-ons built on top of the platform.

I see a nail and I've got just the right hammer. I want it to be the best hammer for this particular nail and I absolutely do not want to develop a universal tool. I will let other people cover that angle

What do you think?

Thanks, Joel

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