zygomega

If you need smart algorithms operating autonomously versus motivated enemies your go to must be open source. The security guys proved that a long time ago.

You're right in that the HF bit doesn't really fit but 'fast trading' doesn't have the same ring to it.

I thought so too for a long while, then I tried to do a touch of concurrent code in c++ and had to gouge my eyes out. I'm excited about the speed up haskell brings to development. You can plan things in haskell you can't imagine in other languages.

Yeah, IBrokers is great. R is even better! Everytime I need a specialist piece of code it seems to already exist as an R package and to have been released in the last few weeks.

Long-term investors trade every day. You wake up and the market has gone down a few percent, you're going to rebalance at least. You decide to buy 30 year treasuries you're not going to hold them for thirty years - you're going to sell 29.5 year bonds and buy 30 year bonds in a few months time.

And managers turn over long-term investor portfolios quickly. The average holding period for an SP500 company shareholder is 100 days.

And every time a trade happens you run the risk of getting clipped by the faster guys who see you coming.

thanks heaps for that!

Speed is only one issue with autonomous algorithm design. Yes, the speed thing grabs the headlines but the boiler-plate objective is to front-run the slower players. There's a wealth of opportunity in processing the event stream in a more robust way than others and faster too. Think semi-HFT, semi-autonomous.

Most trading platforms are primarily loss leaders for the 'professional' version and otherwise attached to a non-open source business plan.

No, I'm already in the finance industry. There are two main reasons I'm doing this: - I think the finance industry is very closed when it comes to intellectual property development, and an open source approach can be seriously competitive. An open approach may well be the future when it comes to being 'connected' - HFT is an interesting multi-disciplinary problem and the shear breadth of expertise required - modern chip design, low-latency software/hardware interaction, lock-free concurrency, fault-tolerant system design, adaptive learning algorithms, k-means clustering - means I'm learning heaps every day.

I just don't agree that HFT is a scourge. It's an ecological shift (neither good or evil) and longer-horizon investors need to evolve.

I think you undersell yourself - kudos to your success. I'd back a hacker with a plan (and a cash flow crises perhaps) over an army of PhDs any day! Maybe the course you should think about teaching is how to how to orgainse such a high-quality hack as you've described in the article :)

I'm currently building a semi-high frequency trading solution and the problem I run into is the sheer breadth of expertise you need to get it all happening. Modern chip design, low-latency, lock-free concurrent messaging, fault-tolerant system design, adaptive learning algorithms, k-means clustering and broker APIs are just a smattering of the ideas I'm trying to get across to make progress. For me, algorithm creation comes more easily than reading about and implementing a broker interface.

There is certainly armies of PhDs out there backed by big money but they exist behind heavily guarded intellectual property walls. An open source HFT/Algo/Automated trading platform that brings a hacker sensibility to this problem domain would be seriously competitive.