"I have a mind like a steel... uh... thingy." Patrick Logan's weblog.

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Thursday, February 22, 2007

AlgoKit

Like Process One, Joel Reymont is also going at it with Erlang (and OCaml)...
AlgoKit is the high-frequency automated trading platform that I’m developing in Erlang.

My focus is futures and I’m not planning to use technical analysis. I want to capture and replay ticks, build a “Depth of Market screen” in software and make it simple to write, test and execute strategies that rely on volume, market delta and depth of market. Once the trading bot is ready I want to be able to co-locate it near the exchange, run it 24/7 and monitor it remotely via web or instant messaging. I’m after low to ultra-low latency so performance is definitely something I keep in mind...

I can receive a market quote, make a decision, execute a trade and receive a comfirmation within 5-10ms if I co-locate near the exchange. I would need to monitor the health of my algorithms, though, and would want to receive periodic updates. Erlang has both a web server and a Jabber/XMPP server so I can modify parameters of my algorithms using a web browser and check up on things via instant messaging...

The ideal solution is to marry the best of Erlang with the best of OCaml and write the algorithms themselves in OCaml while receiving market data from Erlang and feeding trades back to it for execution. AMQP and RabbitMQ (written in Erlang!) may just be the connection.

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Portland, Oregon, United States
I'm usually writing from my favorite location on the planet, the pacific northwest of the u.s. I write for myself only and unless otherwise specified my posts here should not be taken as representing an official position of my employer. Contact me at my gee mail account, username patrickdlogan.