70 karma · joined March 28, 2014
The problem is those patterns quickly disappear as automated trading picks them up. The window goes from 5-10 minutes to seconds or less. Much harder to act in such a small window.
To be fair, I didn't look very hard for a good platform. I was aware of a couple that I had heard about either through friends or tangentially through HN comments on other stories but when I looked into them they either looked super shady and untrustworthy (yeah, I know, judging the book by it's cover) or forced you to implement your strategy in their language of choice (one was Python, one was a proprietary script-y language) and I wasn't interested in that.
Surprisingly it wasn't as much work as you'd think. It started as a hobby on the side so I wasn't worried about building a full-fledged trading platform that supported every exchange and every imaginable strategy type so I was free to keep it simple and focus on the one exchange I had an account at (GDAX) and the two or three strategies I had in mind at the time.
To get started, I worked backward. The strategy is simple enough that you can execute it manually (e.g. read/interpret the indicators on a chart/graph and trade when the time is right). Once I determined a given strategy might be viable I formalized the strategy by writing a script to backtest it on historical data. Once it checked out I wrote a script that accepted real-time data from exchanges (I use GDAX, but most others with a solid API will work equally as well) and traded based on the incoming data.
I wasn't comfortable/familiar with any of the "hosted" trading platforms out there for cryptocurrencies so I built my own. It's very simple but it gets the job done and has proven very stable.
The most important part, for me, was to get the data streaming right. I ended up writing a Node.js server that listens to the GDAX web socket and feeds the data to a Redis instance. From there I have a separate process for each strategy I'm running that listens via a redis pubsub channel for new data. This was important for scalability and reliability. It also served to make the platform modular. For example, it can handle any number of data sources (exchanges) simply by adding a "connector" to the data source that feeds the data to redis. It can also handle as many strategies as you can think to throw at it simply by adding another script/process that subscribes to the relevant pubsub channel for the data it needs to execute the strategy.
It's probably overkill but it's made testing new strategies very easy and fast. I can take an idea for a new strategy, code it up, and have data streaming to it in real time in less than 10 minutes. Then it's just a matter of fine tuning the strategy.
A little long winded but I hope that answered your question...
Over the last 3 months, January to March, I've had a return of just under 50% (in spite of the massive down turn in the crypto market). Which sounds great, but I only turned it loose on about $250 so we're not talking about buckets of money here. With higher amounts of capital you run into other issues that would need to be addressed in the algorithm/strategy.
I've often been told the same thing (you can't beat HFT, large firms, etc) but in the end it's not about beating them. It's about finding a strategy that works, that can be automated, and having the patience to let it run and do it's thing. I only trade about 1 to 2 times per day (not HFT) and only rely on fundamental data (no inside info, no "get the data before everybody else and act on it", etc). Keep it simple.
Happy to answer any questions.
In light of this announcement are there any alternative APIs/data sources that you would recommend?