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Author Topic: Automated Trading Platform - Any Interest?  (Read 3950 times)
isis
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September 13, 2012, 11:10:06 PM
 #1

I'm just wanting to take a moment and test the waters to see what the interest level is in an automated trading platform.

In the process of writing the unit tests for the Exchange Connector for OpenPay I realized that I had essentially created a trading bot.
For fun I ran all the MtGox data I could get my hands on through a hadoop cluster and tested it against a few conservative algorithms that I had learned while pursuing my MBA.

The algorithm that showed the most potential was one that makes numerous small trades against the trendline and scales the size of each trade with a weighted volume calculation.  It sounds complex, but in reality it's not.  If the market is falling you buy, if it's gaining you sell.

Anyways to make a long story short I coded a trading engine around the algorithm and ran it in simulation mode for 48 hours.

The first day it gained 350% (It managed to turn 1 BTC into 3.5 so don't take it to mean anything much.)
The second day it lost 65% of the previous days gains which leaves me with 1.225 or a total gain of 22.5% in 48 hrs.
Near the end of the second day it also caught a null pointer exception (which is now fixed) and shut down while I was paying attention to something else.

I don't have enough data to say if this will work consistently over the long term or not, but if it does I would like to commercialize it.
Therefore I need more data.

In an effort to get this data, I'm looking for 5 volunteers who are willing to let it run against live accounts and see what happens.

I DO NOT RECOMMEND YOU KEEP ANY MONEY IN THE ACCOUNT YOU ARE NOT PREPARED TO LOSE!

In exchange for letting it run for a few weeks to gather data the product is yours to keep forever and if it's ever commercialized you will receive lifetime free upgrades.

All I ask for is a daily email with the profit/loss and the log file.  And personal testimonials at the end of the data collection run.

I'm going to limit this to 5 people at the outset so that the overall exposure is limited.  I'm willing to help with setup and debug issues, but overall I don't have a lot of time to devote to this project right now and I can't let myself get bogged down with too many support requests.

I have 4 volunteers already and we need 1 more.

If you're interested let me know.


F.A.Q.
     Q. *What platforms will this thing run on?*
     A.  It's written in Java.  I targeted a 64 bit version of the Java 6 JRE and have tested it on Ubuntu Precise 64bit.  Nevertheless it should run on anything with a Java 6 JVM.  If anyone needs a 32bit version let me know and I'll recompile it against the 32 bit JVM for you.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

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toffoo
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September 13, 2012, 11:50:55 PM
 #2

Sure, sign me up!

isis
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September 13, 2012, 11:53:40 PM
 #3

Sure, sign me up!


Original post updated accordingly Wink  Thanks!

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

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Shirik
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September 14, 2012, 12:03:34 AM
 #4

Sure, why not.

It sounds like this is either in C or C++. Is there a platform restriction? Or is it ANSI/ISO?
isis
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September 14, 2012, 12:11:35 AM
 #5

Sure, why not.

It sounds like this is either in C or C++. Is there a platform restriction? Or is it ANSI/ISO?

*Thanks for your interest, I've updated the original post accordingly*

Actually it's in Java.  I've tested it successfully on Ubuntu Precise 64bit.  I don't see any reason why it wouldn't run on anything with a Java 6 JVM although I may have to rebuild the jar if someone needs a 32bit version.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

1LMDCSAwjhT2Vp1sSf62dybEYW3MYpsoZj

Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
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http://pyramining.com/referral/f3k4xebzp
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isis
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September 14, 2012, 01:08:06 AM
 #6

Got this in my log a little bit ago.  Found it humorous and thought I'd share.

Quote
Sep 13, 2012 5:36:31 PM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: Attempting to sell 0.00000 of 24.16351 USD

Sep 13, 2012 5:36:31 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Successfully bought 0.00000 at current market price.

Two problems with that log statement, but fortunately it's just a cosmetic. 
My trading history shows an order for 2 bitcoins at $12.0817 placed at that time.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

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September 14, 2012, 01:17:18 AM
 #7

Sign me up.
mysteriousawake
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September 14, 2012, 02:20:48 AM
 #8

Hey Isis , thanks for the add with the automated tradebot, I intend to use it in a seperate account to keep the data right for you and manual trades will not be done.

Anyway I havent figured out a btc amount to put in yet, but will it try to earn btc and not usd , that is what i want.

Would 20 be good ?  Start with 20 and add more later if successful.

Thanks again

Mysterious.

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isis
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September 14, 2012, 02:39:48 AM
 #9

Hey Isis , thanks for the add with the automated tradebot, I intend to use it in a seperate account to keep the data right for you and manual trades will not be done.

Anyway I havent figured out a btc amount to put in yet, but will it try to earn btc and not usd , that is what i want.

Would 20 be good ?  Start with 20 and add more later if successful.

Thanks again

Mysterious.

The algorithm is opportunistic.  It tries to maximize gains on both sides while limiting losses.  I've added a full stop option as well.  The full stop let's you specify a max loss you will tolerate.  Since the loss is based on your account high balances it should function exactly like a trailing stop loss.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

1LMDCSAwjhT2Vp1sSf62dybEYW3MYpsoZj

Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
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http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
isis
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September 14, 2012, 02:44:30 AM
 #10

I've been doing the math.  I think 10 people for 1 month will give me sufficient data.
So let's open this up and invite 5 more, but that is seriously my personal support maximum.

In the meantime, if you want to be a part of this, just voice it here in this thread.  The pm system is very unwieldy for this much communication.

Thanks!

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

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Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
http://pyramining.com/referral/ans9km72g
http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
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September 14, 2012, 02:45:37 AM
 #11

i'll give it a shot
mysteriousawake
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September 14, 2012, 03:18:46 AM
 #12

Ok so I Have a 32 bit operating system.

This works under the security center feature Advanced Api Key Creation, So I would just grant rights to trade and get info.
Then plug the key  that was created into your program.

I set up an acct with 25 btc for it.

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September 14, 2012, 03:29:54 AM
 #13

Ok so I Have a 32 bit operating system.

This works under the security center feature Advanced Api Key Creation, So I would just grant rights to trade and get info.
Then plug the key  that was created into your program.

I set up an acct with 25 btc for it.

Yes that's correct.  There is an interactive setup feature that will prompt you on first run ONLY for your API keys. 
You only need to give those keys minimal permissions.

During first run it will also ask basic questions such as max btc to buy or sell in a single order,  stop loss threshold etc.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

1LMDCSAwjhT2Vp1sSf62dybEYW3MYpsoZj

Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
http://pyramining.com/referral/ans9km72g
http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
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September 14, 2012, 03:44:03 AM
 #14

For those who are wondering about what to start an account with.  I started with 2 btc then performed a market order to sell 1 btc which gave me 11 usd and some change.  That's frankly about all I could afford to risk.
My account as of this moment has 1.98btc and 24.00usd

Trades can be as small as the mtgox minimum trade which I think is 0.00005btc but I haven't looked too closely.  However it is the smallest trade I show in my history at the moment.
My stop loss is currently 0.25 or 25%,  I'm going to advise you folks to maybe make it 10 or 12% since your working with more money, but its up to you.

Understand the stop loss in this case is a bailout function that stops the trader from executing until the market recovers or you restart the app.  It won't close any positions since the trader works exclusively on market orders and thus all positions are closed automatically and a PL calculated at that point.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

1LMDCSAwjhT2Vp1sSf62dybEYW3MYpsoZj

Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
http://pyramining.com/referral/ans9km72g
http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
isis
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September 14, 2012, 04:10:29 AM
 #15

Ugh...

I really need to work on some of these log messages.
Quote
High: Ticker [timestamp=2012-09-14T03:32:44.963Z, last=USD 11.48, bid=USD 11.411, ask=USD 11.48, tradableIdentifier=BTC, volume=2474899142791]
Low: Ticker [timestamp=2012-09-14T02:59:20.378Z, last=USD 11.3925, bid=USD 11.3925, ask=USD 11.45, tradableIdentifier=BTC, volume=2564530722153]
Current: Ticker [timestamp=2012-09-14T03:57:13.588Z, last=USD 11.48, bid=USD 11.42, ask=USD 11.48, tradableIdentifier=BTC, volume=2521263487173]
VWAP: 11.39688
The market is trending up.


Sep 13, 2012 9:59:05 PM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: Attempting to sell 0E-8 of 1.92244874 BTC
Sep 13, 2012 10:04:09 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder

Sep 13, 2012 9:59:05 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Successfully sold 0E-8 at current market price.

Overall they're pretty clear for anything over 1mBTC, but below that it gets a bit hokey.
I have a feeling it just tried to sell 1 Satoshi Smiley

Interested in OpenPay?
https://github.com/openpay
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Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
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http://pyramining.com/referral/f3k4xebzp
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September 14, 2012, 04:11:58 AM
 #16

any more places left ?

Only 2 more slots after you.

Interested in OpenPay?
https://github.com/openpay
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Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
http://pyramining.com/referral/ans9km72g
http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
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September 14, 2012, 04:15:50 AM
 #17

am i in? Smiley
isis
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September 14, 2012, 04:31:41 AM
 #18

am i in? Smiley

Yes you are

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September 14, 2012, 04:36:34 AM
 #19

Ok I think we're all full for now.
If more room opens up I'll post here, so watch this thread.

In the meantime, I need to know what local currencies are being used.

The bot is working with USD right now, but I wasn't watching closely when I coded this stuff and some places have USD hard coded.
I'm going through and fixing it, but if everyone right now is on USD then that's something I can backburner to try and get some of the other issues cleaned up such as coming out of full stop etc.

Interested in OpenPay?
https://github.com/openpay
Donate to show your appreciation and support the effort!

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Pyramining Links - Help OpenPay and get a 10% bonus on your funds.
http://pyramining.com/referral/zre9ysgqt
http://pyramining.com/referral/ans9km72g
http://pyramining.com/referral/f3k4xebzp
http://pyramining.com/referral/nc3ag2sdb
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September 14, 2012, 12:17:58 PM
 #20

USD
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