Algorithmic Trading with Go

• intelligent-trading-bot

  25 737 8.5 Python

  Intelligent Trading Bot: Automatically generating signals and trading based on machine learning and feature engineering

When developing an automatic trading system the following aspects are important:

- Data feeds and data ingestion. It can be a fairly independent component which collects data from different sources (might be even discussion forums) making it available to other components in some uniform format

- Feature generation. The source data is rarely used in its original form for decision making and having good (informative) features is frequently the primary factor of success. Moving averages is an example but nowadays this will hardly work

- Signal generation. Here some logic should be applied in order to emit discrete decisions and such models are heavily parameterized with thresholds.

- Real trading and order management as well as coordination of all activities.

The article sheds some light on the technological aspects and the general pipeline used to process the data and manage orders. Although it might be interesting indeed, I would expect more details about how to scale the solution and how to implement it asynchronously. Especially if it uses Go which has a special construct for that purpose - channels.

I understand that it is not the focus of the article, but having some general information about its trading logic and how to plug new and parameterize existing strategies would help. Some links at the end are quite interesting for me because I am developing an intelligent trading bot based on ML and feature engineering (https://github.com/asavinov/intelligent-trading-bot) for which such articles might be quite important

• quokka

  23 1,081 8.3 Python

  Making data lake work for time series (by marsupialtail)

Hi Justin, you might be interested in my blog: https://github.com/marsupialtail/quokka/blob/master/blog/bac... advocating a cloud based approach.

You don't have to use the system I am building, but it's worth thinking about that design.

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• go-talib

  3 726 0.0 Go

  A pure Go port of TA-Lib (http://ta-lib.org)

Not a complete answer but I quite liked https://github.com/markcheno/go-talib for technical indicators.

• GoIB

  1 384 0.0 Go

  Pure Go interface to Interactive Brokers IB API

  

Yeah, I ended up taking https://github.com/gofinance/ib and wrote my own wrapper. This took a long time but has been stable since. I'm basically only doing buy lmt, sell lmt, cancel, and updates orders though. So, the logic is pretty simple. Catching all the return messages and structuring them correctly took tons of debugging, trail, and error. Basically, mapping the messages into the correct orders.

• cempaka

  1 3 2.9 Java

  "Write a trading bot which buys low and sells high." Sounds simple enough, right?

While I was laid off and looking for work, I connected with a cryptocurrency market making firm that had access to a private broker feed which is not attached to any matching, so would occasionally go crossed and offer a pure arb opportunity for the same pairs. I had done some algo trading with Java in Kospi 200 options in 2011-2012 so I decided to put together a simple bot for them to try and grab the crossed markets when they occur. Even an incredibly simple trade like this requires quite a lot of work to get the risk management in place. I also took it as a chance to catch up on new Java features since I had been out of that ecosystem for awhile.

It did successfully grab the arbs but there wasn't enough juice to justify more work on it and I got a job in the meantime, so I open sourced the whole thing: https://github.com/abissell/cempaka

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