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Systematic trading

  • #1,161
  • Oct 10, 2010 10:01pm Oct 10, 2010 10:01pm
60 minutes on HFT:
http://www.cbsnews.com/video/watch/?...1n&tag=topnews
  • #1,162
  • Oct 25, 2010 3:34pm Oct 25, 2010 3:34pm
Just an update on my HDF5 based data storage.

I am doing all this in pure C using the hdf5 C api. I read a full 8 years of 1 minute ohlcv for a stock market symbol in 100 milliseconds or 0.01 second, from disk into a c array struct on the heap. Here is the ouput, for 4 stocks.

Read dataset /NASDAQ/GOOG/ohlc with 590653 items.
Read dataset /SP500/AIG/ohlc with 750562 items.
Read dataset /NASDAQ/ORCL/ohlc with 751089 items.
Read dataset /NASDAQ/AAPL/ohlc with 749860 items.
Read dataset /NASDAQ/ADBE/ohlc with 748176 items.

Total time was 0.040000 for 3590340 items

Fast enough for me.

Mark
Economists have forecast 9 out of the last 5 recessions
  • #1,163
  • Oct 25, 2010 4:21pm Oct 25, 2010 4:21pm
That is very fast, the question remains however, what are you going to do with all that blazing speed?
The breaking of a wave cannot explain the whole sea.
  • #1,164
  • Oct 26, 2010 2:47am Oct 26, 2010 2:47am
Good point, This is not simply an exercise in seeing how fast I can load data. I wanted to have a base from which i could work from, I want to be able to run strategies over data, analyse over many stocks . The next step us to run validation over all my data to look for spilts and record them and also bad data. I don't expect to be going live until after new year at earliest , so I'm in no rush and want to have a efficient stable system to build on.

I use a Intel i9 950 quad core, 12gb RAM, velociraptor hard drive, gentoo Linux optimized for my CPU. U also have a NVIDIA card that is cuda enabled so I might try running something on that .

Of course all this could be a waste of time without a winning strategy, which will be the challenging part. But I've had fun and learnt a lot doing this.

Not seen any more posts from puppet master guy, bit sad but couldn't expect great free advice forever. One of his blog posts was worth 1 million ff posts
Economists have forecast 9 out of the last 5 recessions
  • #1,165
  • Oct 26, 2010 3:38pm Oct 26, 2010 3:38pm
Quoting markmm
Just an update on my HDF5 based data storage.

I am doing all this in pure C using the hdf5 C api. I read a full 8 years of 1 minute ohlcv for a stock market symbol in 100 milliseconds or 0.01 second, from disk into a c array struct on the heap. Here is the ouput, for 4 stocks.
That is really fast, I'm kind of jealous .

In fact I have been thinking of moving back into c myself too, java is nice but at some points I just want to get to the low level stuff and java is not really good in that area.

Something totally unrelated, latest active trader has a really interesting article http://www.activetradermag.com/index...tic_Strategies - I subscribe to the magazine myself so I have the full article, it's really worth reading.
  • #1,166
  • Edited 4:01am Oct 27, 2010 2:55am | Edited 4:01am
I have been off the c for a long time and as I said, I want to try some low level tricks.. What is the current "standard" c? In the past I have used ansi c as my tool (some 10 years ago), is there some new standard c (I found iso c somewhere)? Or is it just better to use c++ (which I have to admit I seriously disliked in the past)?
  • #1,167
  • Oct 27, 2010 3:36am Oct 27, 2010 3:36am
Quoting mikkom
I have been off the c for a long time and as I said, I want to try some low level tricks.. What is the current "standard" c? In the past I have used ansi c as my tool (some 10 years ago), is there some new standard c (I found iso c somewhere)? Or is it just better to use c++ (which I have to admit I seriously disliked in the past)?
Use C++, with the recent (well, past decade or so) developments in C++ and its itinerant libraries (tr1, boost), one can write high level code without having to deal with memory issues. The only area where core C++ really falls down is in GUI work, but here QT comes to the rescue. C has also evolved somewhat, but the core issues surrounding memory management and boilerplate code remain.
The breaking of a wave cannot explain the whole sea.
  • #1,168
  • Oct 27, 2010 3:52am Oct 27, 2010 3:52am
Quoting Craig
Use C++, with the recent (well, past decade or so) developments in C++ and its itinerant libraries (tr1, boost), one can write high level code without having to deal with memory issues. The only area where core C++ really falls down is in GUI work, but here QT comes to the rescue. C has also evolved somewhat, but the core issues surrounding memory management and boilerplate code remain.
I would disagree, I tried out C++ and found it resulted in overly complex code, even for simple programs. I was only making use of strings and vectors, but you can easily write your own in C or use one of the many libraries out there.

I found that I can do without all the object oriented stuff really, and I think its been oversold, its useful in certain areas but not the silver bullet, and ends up a nightmare to debug.

There are no memory issues in C, you have to manage the memory thats true, but after some practice it becomes easy and with tools such as valgrind, you can quickly check to see if you have a leak.

For me C has everything I need, I use C99 or whatever the latest gcc supports as I don't care about portability.

Mark
Economists have forecast 9 out of the last 5 recessions
  • #1,169
  • Oct 27, 2010 3:56am Oct 27, 2010 3:56am
If you want to write truly efficient code your going to have to manage the memory, but its simply a case f using malloc and free along with valgrind.
Economists have forecast 9 out of the last 5 recessions
  • #1,170
  • Oct 27, 2010 4:01am Oct 27, 2010 4:01am
C(++) is pretty damn fast compared to java with simple low level disk operations

this is with 3,5 mil
struct candle {
int open;
int high;
int low;
int close;
};

g++ -c -o test.o test.cpp
g++ test.o -o test
Initialized 3500000 random candles
Write elapsed: 167ms
Read elapsed: 47ms

(edit: updated numbers without 100% hogging genetic framework running on bg) and this is with few years old laptop.
  • #1,171
  • Oct 27, 2010 8:16am Oct 27, 2010 8:16am
What's the style difference between Active Trader and TA of S&C


Quoting mikkom
That is really fast, I'm kind of jealous .

Something totally unrelated, latest active trader has a really interesting article http://www.activetradermag.com/index...tic_Strategies - I subscribe to the magazine myself so I have the full article, it's really worth reading.
  • #1,172
  • Oct 27, 2010 10:54am Oct 27, 2010 10:54am
This is fun.. Some numbers with actual ohlc data. This is fast

Loaded GBPUSD ascii file (3286490 candles) in 18166ms
Write (3286490 candles) elapsed: 126ms
Read (3286490 candles) elapsed: 58ms
  • #1,173
  • Oct 27, 2010 12:56pm Oct 27, 2010 12:56pm
It really depends on what level of abstraction you want to descend too, C is faster than C++, but at that level you are talking custom memory management and you can go even further with custom Linux kernels etc. I like my OO, many people never really grasp OO design, I see this all the time in my work, people that have been using C/C++, sometimes for 10 years or more still don't understand abstraction or complexity management. I can think of numerous ways in which C++/OO has helped me. One example that comes to mind is the Decimal (representing numbers like '12.34') class I wrote, operator overloading allows it to be used in a very natural way in the code. Another example is the way interfaces allow me to mix and match components, for instance: I can replace the current IB Gateway connection with a FIX connection, by simply changing one line of code, everything will just work, because the business logic deals with interfaces, not concrete classes.

Anyway, enough cheer-leading from me, every language has pros and cons, it's about selecting the one with the least cons for a specific task, I'm sure your smart enough to come to a good decision.
The breaking of a wave cannot explain the whole sea.
  • #1,174
  • Oct 27, 2010 1:32pm Oct 27, 2010 1:32pm
Most people think of C++ as C with classes. They are not aware of the 21st century C++ revolution, which gave us the so called "Modern C++".

Only after you grasp idioms like SFINAE, RAII or CRTP can you truly understand the power of contemporary C++.

http://stackoverflow.com/questions/5...more-prevalent

And now we are on the verge of C++0x, which has some really cool stuff in it. Too bad that yet again they've done the whole ++complexity thing again.

But I disagree with you that C++ is slower than C, because you can write C code in C++
  • #1,175
  • Oct 27, 2010 1:40pm Oct 27, 2010 1:40pm
True, I agree with the with everything you say, I was just trying to keep it simple 'C++ is C with classes' is one of my pet hates.
The breaking of a wave cannot explain the whole sea.
  • #1,176
  • Oct 27, 2010 2:08pm Oct 27, 2010 2:08pm
Quoting Craig
True, I agree with the with everything you say, I was just trying to keep it simple 'C++ is C with classes' is one of my pet hates.
If it was only that then it would be ok, for me it tried to do to much as a language, I prefer a small simple lang that I can build on.
Check out this comment by Linus Torvalds, I think he goes overboard but he makes some good points.
Economists have forecast 9 out of the last 5 recessions
  • #1,177
  • Oct 27, 2010 2:09pm Oct 27, 2010 2:09pm
Quoting Adal
Most people think of C++ as C with classes. They are not aware of the 21st century C++ revolution, which gave us the so called "Modern C++".

Only after you grasp idioms like SFINAE, RAII or CRTP can you truly understand the power of contemporary C++.

http://stackoverflow.com/questions/5...more-prevalent

And now we are on the verge of C++0x, which has some really cool stuff in it. Too bad that yet again they've done the whole ++complexity thing again.

But I disagree with you that C++ is slower than...
When you need to grasp all these idioms etc then its a red flag that a language is poorly designed.
Economists have forecast 9 out of the last 5 recessions
  • #1,178
  • Oct 27, 2010 2:18pm Oct 27, 2010 2:18pm
All the above are my current opinions, and I don't think you can't create good software with C++, you clearly can, I just prefer C.
Economists have forecast 9 out of the last 5 recessions
  • #1,179
  • Oct 27, 2010 4:25pm Oct 27, 2010 4:25pm
Quoting aidans
mikkom: That is really fast, I'm kind of jealous http://cdn.forexfactory.com/images/s...m/thumbsup.gif.

Something totally unrelated, latest active trader has a really interesting article http://www.activetradermag.com/index...tic_Strategies - I subscribe to the magazine myself so I have the full article, it's really worth reading..
Mikkom,
That was an interesting article. One of the few areas of interest I haven't explored too much is the idea of agent based trading (which will take a heck of a lot of computational power); and I think this article falls along these lines. I think the question or issue to contend with is the same as typical GAs, in that how do you know or estimate that the winners will persist and for how long? But I've always thought about it as pruning a growing plant-- the branches that wilt get clipped (helps with taxes as well)-- negative of course, is during high correlation events they all may get a boost of ddt simultaneously. Ways around that of course, but something to ponder.

The thing I like about this approach over simple 1 system GA is the ensemble/diversification benefits; however, while averaging reduces volatility it also reduces potential gains.

There was a program available for free I tried once without much success.
It's been a while, but I think it was this one:
http://altreva.com/index.html.
or maybe this one:
http://www.lisisoft.com/free-downloa...eler-0-97.html
I'd have to go back and look, but I abandoned it for whatever reason.
  • #1,180
  • Oct 27, 2010 4:39pm Oct 27, 2010 4:39pm
Linus's reply above is beautiful. As one who writes C for a C++ compiler.
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