This document summarizes an automated trading system developed using open source tools. It discusses the components of the trading system including quote sources, strategy engines, order placement, and system monitoring. Key points: - The system uses AnyMQ to distribute quotes via RabbitMQ and strategies are implemented using Finance::GeniusTrader and a new engine called TradeSpring. - Orders are placed through brokers using JSON-RPC and position monitoring is done to ensure risk control. - The system was moved to Amazon EC2 for improved performance and monitoring is done with AnyEvent::Monitor and Ganglia. - Past performance showed net returns of 40.15% in 2009 and profits are analyzed using R and Protovis.

1. Trading
with open source tools
two years later
Chia-liang Kao
clkao@clkao.org
OSDC.TW 2011 Taipei

2. Trading System
Trading system, also known as algorithmic trading, is the use of
computer programs for entering trading orders with the computer
algorithm deciding on certain aspects of the order such as the
timing, price, quantity of order
Even with dice

3. The OSDC Trading System
(in 2009 talk)

4. Risk = controlled by you
Profit = probabilities

5. Automated Trading
Components
quote
strategy
order
(via broker)

6. bayen
2010 results
40.15% net, end of year
(Not with dice!)

7. Architecture 2009

8. quote
memcached
strategy GeniusTrader
jsonrpc
order pos: +1, -1, 0
(via broker)

9. Architecture 2011

10. quote monitoring
quote
rabbitmq
Runs on Amazon EC2 position sizing
anymq
strategy1 (ap-southeast-1)
strategy2 TradeSpring
order ensuring
jsonrpc
order
(via broker)
system monitoring emergency fallback

11. 40.15% net, end of year
95.71% gross
-21.85% cost
-33.71% slippage
avg: -2.5 in 2010
avg: -0.5 in 2011
moved to EC2
moved to AnyMQ

12. Quote
• Source
• Commercial Quote services
• Win32::DDE
• AnyMQ
• AnyEvent::Monitor
• Price AGgregation Manager: serve history
and manages real time quotes

13. Source
• was running on MicroXP in VirtualBox
• now on EC2 win32 instances
• Republish to rabbitmq with AnyMQ

14. AnyMQ
• inspired by Tatsumaki::MessageQueue
• Use Moose traits
• Available on CPAN
• can talk to amqp servers like rabbitmq

15. AnyMQ
my $bus = AnyMQ->new;
my $topic = $bus->topic("Foo");
my $sub = $bus->new_listener($topic);
$sub->poll(sub { my $msg = shift; })
$topic->publish($msg)

16. AnyMQ with AMQP
my $bus = AnyMQ->new_with_traits
( traits => [ ‘AMQP’],
# host => ..., port => ..);
my $topic = $bus->topic("Foo");
my $sub = $bus->new_listener($topic);
$sub->poll(sub { my $msg = shift; })
$topic->publish($msg)

17. AnyMQ with AMQP
my $bus = AnyMQ->new_with_traits my $bus = AnyMQ->new_with_traits
( traits => [ ‘AMQP’], ( traits => [ ‘AMQP’],
# host => ..., port => ..); # host => ..., port => ..);
my $topic = $bus->topic("Foo"); my $topic = $bus->topic("Foo");
my $sub = $bus->new_listener($topic); my $sub = $bus->new_listener($topic);
$sub->poll(sub { my $msg = shift; }) $sub->poll(sub { my $msg = shift; })
$topic->publish($msg) $topic->publish($msg)
AMQP
Server
my $bus = AnyMQ->new_with_traits my $bus = AnyMQ->new_with_traits
( traits => [ ‘AMQP’], ( traits => [ ‘AMQP’],
# host => ..., port => ..); # host => ..., port => ..);
my $topic = $bus->topic("Foo"); my $topic = $bus->topic("Foo");
my $sub = $bus->new_listener($topic); my $sub = $bus->new_listener($topic);
$sub->poll(sub { my $msg = shift; }) $sub->poll(sub { my $msg = shift; })
$topic->publish($msg) $topic->publish($msg)

18. Service monitoring
• Is it running?
• Can we fix it when it fails?

19. AnyEvent::Monitor
my $foo = AnyEvent::Monitor->new(
name => 'foo',
on_softfail => sub {
warn "==> service fail: $_[1]";
},
on_hardfail => sub {
my ($resume_check);
warn "==> service fail, should attempt to do something to fix it: $_[1]";
$resume_check->(60); # resume checking after 60 secs
},
on_resume => sub {
my ($prev, $outage) = @_;
if ($prev) {
warn "service resumed from: $prev, total outage: $outage secs";
}
});

20. PAGM
• a daemon listening on rabbitmq topic
• tells client where to look for aggregated
price ticks
• answers historical price request:
{ type: ‘pagm.history’, reply: ‘client-name’,
code: ‘XTAF.TX’, timeframe: ‘5min’, count: 180 }

21. Strategy
• the core that decides:
• when to buy/sell?
• how much to buy/sell?
• when to stop loss, take profit?
• Finance::GeniusTrader
• TradeSpring

22. Finance::GeniusTrader
• DSL for trade systems
SY:Generic
{S:G:Above {I:Random 6} 2} {S:G:Below {I:Random 6} 3}
|TF:Generic {S:G:CrossOverUp {I:Hour} 850}
{S:G:CrossOverUp {I:Hour} 850}
|TF:MaxOpenTrades 1
|CS:DayTrade
• too verbose
• designed for backtesting
• didn’t support live trading by default

23. TradeSpring!

24. ++

25. (Second largest profit this year was on 3/15,
went to Japan Red Cross Society)

26. TradeSpring
• New strategy runner engine
• backtest code = live code
• supports complex order types
• attached, OCA, trail stop, etc
• Moose based
• More abstracted
• release this year?

27. TradeSpring
method detect_direction {
for (1,-1) {
local $self->{direction} = $_;
if ($self->bt($self->better, $self->better($self->i-1)) &&
$self->bt($self->better($self->i-1), $self->better($self->i-2)) &&
$self->bt($self->close, $self->close( $self->i-1)) &&
$self->bt($self->close($self->i-1), $self->close( $self->i-2))) {
return $self->{direction};
}
} dir = -1
}
better
dir = 1

28. TradeSpring examples
method detect_direction {
for (1,-1) {
local $self->{direction} = $_;
if ($->bt($->better, $->better($->i-1)) &&
$->bt($->better($->i-1), $->better($->i-2)) &&
$->bt($->close, $->close( $->i-1)) &&
$->bt($->close( $->i-1), $->close( $->i-2))) {
return $self->{direction};
}
}
}
invoker.pm on CPAN

29. TradeSpring Order
$self->new_bracket_order(
{ dir => $direction,
type => 'lmt',
price => $self->better($self->i-1), entry
qty => $self->position_qty },
{ price => $self->worse($self->i-1) }, stop
{ type => 'mkt',
price => 0,
timed => $self->order_timed(13, 43, 00) }); exit

30. EC2
• multiple az
• ap-southeast-1 latency: 60ms
• ap-northeast-1 latency: 40ms
• (to broker endpoint)
• multiple region

31. Net::Amazon::EC2
• cloud-init, user-data
tn1:
persistent: 1
ami_name: tn-dev6
type: m1.small
security_group: default
key_name: clec
availability_zone: ap-southeast-1a

32. Ganglia
ec2 costs: ~US$100 / month

33. Analysis
•R
• protovis
• ask interesting questions and check your
records!

34. Trade result breakdown by time and day of week

35. 2011 results YOD
?
?
10% of profit will go to TPF

36. PROFIT!!

37. Questions?
clkao@clkao.org