From Zero to Forex Trading bot Hero

During this talk, you will discover Daniele's journey building a trading bot. From building a basic prototype in Typescript to using functional programming techniques to trade autonomously across multiple foreign exchanges and generate thousands of dollars in revenue.

Transcript

1. trading bot hero @danielepolencic
3. once upon a time... ✨
5. ! money transfer
6. have you ever noticed?
15. eur/gbp 0.88 gbp/eur 1.1364
16. send £1000 to !
17. £1 ➡ €1.13640
18. ! €1136.40
19. send the money back
20. €1 ➡ £0.88
21. €1136.40 * 0.88
22. £1000.032
23. ! £1000.032 !
24. surely it's just transferwise
26. £1 ➡ €1.13612
27. BUY €1136.12 price gbp/eur 1.13612
28. €1 ➡ £0.8802
29. SELL €1136.12 price eur/gbp 0.8802
30. £1000.012
31. ! £1000.012 !
32. this doesn't make any sense
33. £1000
34. £1000 £1000
35. £1000
36. £1000 GBP/EUR 1.2
37. £1000 GBP/EUR 1.2 €1150
38. £1000 €1200
39. £1000 £1200 GBP/EUR 1.2
40. £1000 €1200 GBP/EUR 1.2 £1000 €1200
41. £1000 £1200 GBP/EUR 1.2
42. £0 €1200 GBP/EUR 1.2 £999
43. £0 €0 GBP/EUR 1.2 £999 €1199
44. £0 €0 GBP/EUR 1.2 £999 €1199
45. £1000 €1200 GBP/EUR 1.2 GBP/USD 1.3
46. £1000 €1200 GBP/EUR 1.2 GBP/USD 1.3 €1200 €1200
47. ! liquidity "
48. ! just pennies !
51. BUY @1.25 SELL @0.8032
52. 1.25 * 0.8032
53. ! £1004 !
54. 2 transactions per day 20 days per month
55. 2 * 20 * £4 = £160* * best case scenario
56. time to build something
57. ✨ 3 wishes ✨
58. 1. !
59. ! to price changes
60. 1.13612 * 0.88 = 0.99978 ❌ 1.13612 * 0.882 = 1.00205 ✅
61. ! to price changes ! to order changes
62. created modified partially matched matched in full
63. ! to price changes ! to order changes ! to balance changes
64. deposit ! withdraw ! orders matched in full
65. !"# 2. time travel
67. ⏪ market conditions debugging & !
68. 3. ! bulletproof testing
70. "As part of its normal process, the UTP distributed test data and certain third parties improperly propagated the data." - NASDAQ
72. oops
73. mvp !
74. scalable architecture !MQ mysql
75. APPLICATION
76. APPLICATION WORKERS
77. APPLICATION
78. APPLICATION
79. ! overengineered
80. ! sync state
81. APPLICATION
82. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
83. APPLICATION GET ORDERS ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
84. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
85. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GET PRICE GBP/USD
86. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GBP/USD 1.3
87. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED
88. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED UPDATE ORDER 2
89. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED NOPE
91. mvp !
93. (state, message) -> state
94. const message = { type: 'PRICE_TICK', price: 1.3508 }; const state = { currentPrice: 1.3502 };
95. function update(state, message) { switch(message.type) { case 'PRICE_TICK': return { ...state, currentPrice: message.price }; default: return state; } } const newState = update(state, message); console.log(newState); // {currentPrice: 1.3508};
96. APPLICATION
97. redux leveldb docker
98. ! crashes
99. ! redux actions & orchestration
100. Bad ❌ function update(state, message) { switch(message.type) { case 'PRICE_TICK': /* SIDE EFFECT! */ updateOrderWithPrice(message.price); return { ...state, currentPrice: message.price }; default: return state; } }
101. Good ✅ function getPrice(dispatch) { dispatch({type: 'PRICE_TICK'}); updateOrderWithPrice(message.price).then(order => { dispatch({type: 'ORDER_UPDATED', order}); }); }
102. Good ✅ function(state, action) { switch(action.type) { case 'PRICE_TICK': return { ...state, currentPrice: message.price }; case 'ORDER_UPDATED': return { ...state, openOrder: message.order }; } }
103. flow and state are separated
104. redux saga redux thunk mobx + rxjs
105. mvp !
106. (state, msg) -> [state, cmd]
107. function(state, message) { switch(message.type) { case 'PRICE_TICK': return [ {...state, currentPrice: message.price}, updateOrderWithPrice(message.price) ]; } }
108. updateOrderWithPrice(message.price) function updateOrderWithPrice(price) { return { commandType: 'UPDATE_ORDER', price }; } console.log(updateOrderWithPrice(1.2)) // { // price: 1.2, // commandType: 'UPDATE_ORDER' // }
109. UPDATE(STATE, MESSAGE)
110. UPDATE(STATE, MESSAGE) STATE COMMANDS
111. UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER
112. UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER HTTP CALL CONSOLE.LOG SETTIMEOUT
113. free monad (interpreter pattern)
114. AST const fetch = { commandType: 'FETCH', url: '/any_url' }; const log = { commandType: 'LOG', value: 'Hello World!' };
115. interpreter function interpreter(commands) { commands.forEach(command => { switch(command.commandType) { case 'FETCH': request(command.url); case 'LOG': console.log(command.value); } }); }
116. no side effects
117. APPLICATION INTERPRETER STORAGE HTTP
118. [ state, updateOrderWithPrice(1.2) ]
119. APPLICATION INTERPRETER STORAGE HTTP
120. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
121. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
122. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
123. APPLICATION INTERPRETER MOCK STORAGE MOCK HTTP v2
124. 1. elm 2. redux-loop 3. redux-effects
125. state + logic ! easier testing interpreter
126. ! monads are hard
127. mvp !."
128. actors
129. APPLICATION ROUTER STORAGE HTTP
130. APPLICATION ROUTER STORAGE HTTP
131. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
132. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
133. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
134. APPLICATION ROUTER STORAGE Z Z Z { commandType: 'UPDATE_ORDER', price: 1.2 }
135. APPLICATION ROUTER STORAGE HTTP
136. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
137. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
138. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
139. ROUTER STORAGE HTTP Z Z Z { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
140. ROUTER STORAGE HTTP APPLICATION
141. APPLICATION ROUTER STORAGE HTTP
142. fully decoupled effects and business logic 200 LoC
143. if a ! falls in a forest does it make a sound?
144. testing
145. 1. data driven
146. updateOrder updateOrder(order: Order, price: number): State enum State { UPDATE, DO_NOTHING, CANCEL }
150. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });
151. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); });
152. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); });
153. it('should update the order'); it('should do nothing'); it('should cancel the order');
154. it('should update the order'); it('should do nothing'); it('should cancel the order'); it('should NOT update the order'); it('should NOT do nothing'); it('should NOT cancel the order');
155. it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); }); it('should NOT update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should NOT do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should NOT cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); });
156. duplication ! duplication !
157. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });
158. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; // CHANGE ME const currentTickPrice = 1.11; // CHANGE ME expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });
160. unit testing test(updateOrder, () => { given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE); given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL); });
161. unit testing test(updateOrder, () => { given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE); given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL); given({id: 1, price: 1.11, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.22).expect(DO_NOTHING); });
162. 2. sound !
163. orders const order = { id: 1, price: 1.12 };
164. orders with state const order = { id: 1, price: 1.12, active: true // new field };
165. old tests still pass /(search|replace)/gi unpredictable
166. typescript
167. orders interace IOrder = { id: number price: number }; const order: IOrder = { id: 1, price: 1.12 };
168. orders with state interace IOrder = { id: number price: number active: boolean }; const order: IOrder = { // ERROR! `active` is missing id: 1, price: 1.12 };
169. 3. integration
173. very hard to setup harder to maintain time consuming
174. but…
175. (state, msg) -> [state, cmd] + snapshot testing
176. const messages = [ {type: 'TICK', price: 1.12}, {type: 'TICK', price: 1.13}, {type: 'SUBMITTED', price: 1.13}, {type: 'COMPLETED', id: 1}, ]; const initialState = { openOrders: [] }; const finalState = messages.reduce((state, message) => { return Update(state, message); }); expect(finalState).toMatchSnapshot();
178. show me the !!
183. !✖ initial investment
184. 957 transactions, 3 motnhs later…
186. lessons learned
187. ! js is awesome
188. proper type system transpilers functional, CQRS, etc.
189. ! trading is coding
190. not only python/r/c++ no MBA/Phd no special HW or SW
192. ! build once, run everywhere
193. bitcoin stock forex
194. hungry for more? · The Elm Architectureҁ0.18҂effect moduleϮϯ · Effect Manager ΄ͭͥΕ · How to structure Elm with multiple models? · Tribeca · Blackbird · Extensible Effects in Node.js, Part 1
195. thanks @danielepolencic