Title: HFT trader's journal entry >:( Post by: yossarian78 on July 02, 2015, 11:36:20 AM Well about two months ago i have started my journey with bitcoin HFT trading...
I have come up with (what i thought to be) an awesome trading strategy which (in theory) would make me a millioner in a couple of weeks, and decided to dive in and develop my own trading bot to make my dream a reality. i'd like to share some of my insights/frustrations so far - hoping it might help one of you in the future: xchange java library - while being the most active github project dealing with market data and trading tools for the bitcoin market, i would rule it is not a good enough tool for automatic trading projects. yes, there is support for almost every bitcoin exchange api out there, but: - lack of support for FIX api's (on most exchanges) - almost no error handling features (you must deal with it yourslef) - (in my opinion) connection losts are not handled properly - poorly documented btcchina - CONS: horrible websocket and FIX servers. - data latency is intolerable - getting a socket connection to last more than 30 minutes without having to restart it is almost impossible the result is lack of data consistency and having about 50% of the time - outdated data. PROS: - the api supports a "quantity oriented" market buy orders (meaning you can send an order to buy X BTC at marketprice without having to calculate market price yourself). - no trading fees - supports BTC/LTC, BTC/CNY, LTC/CNY - well documented API's including github project with code examples okcoin.cn- CONS: - unlike btcchina, market buy orders are "ammount oriented" meaning you have to specify the CNY ammount of the buy order - and if your market data is not updated it would result in buying more/less BTC than you intended - does not support BTC/LTC trades PROS: - excellent service on socket, FIX and REST servers. data streaming is superb and orders can be executed in a near-realtime latency. - sockets connections can last forever. - no trading fees - well documented API's including github project with code examples huobi- CONS: - "ammount oriented" market buy orders - the api is poorly documented, it took me ages to understand what's going on under the hood, and so far i haven't managed to get a reliable market-depth data with the web socket service. the FIX api is even more difficult to understand and use - there is one jave project on github (by SUTRA) for huobi but i wasn't able to succesfuly execute trades or get a reliable market-depth data. - does not support BTC/LTC trades PROS: - no trading fees Title: Re: HFT trader's journal entry >:( Post by: arunka71 on July 02, 2015, 10:50:15 PM Thanks a lot for your insights! Working on java stuff, too. So this might help me in some way or another.
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