trading systems for fun and profit

Slides from my talk at EmpireJS

Transcript

1. Roman Shtylman @defunctzombie github/shtylman trading systems for fun and profit
2. agenda • exchange architecture • modules of interest • ??? • profit! disclaimer: the opinions expressed in this presentation are mine and do not reflect the opinions of my employer
3. SELL SELL SELL • high frequency and automated trading • node.js 0.2/0.3 days ◦ random web projects • why make a new exchange? • "internet nerd tokens"!
4. bitfloor corporate seal • started Aug 2011 • moving over 700,000 USD July/Aug • various forms of deposit over lifetime ◦ USD is not easy • bitcoins are alpha from a user perspective
5. tick tock how do we create this chart?
6. may I take your order? • matching engine contains the order book ◦ bid/ask (buy/sell) • order book is the ledger indicating who wants to buy (size) at what price (level) • first come first serve ◦ there are others • module: bintrees
7. spread 'em BUY 5 @ 1 SELL 2 @ 3 BUY 2 @ 2 BUY 2 @ 1 SELL 3 @ 4 SELL 1 @ 2 • The "gap" between lowest bid and highest ask is the spread. • If you want to get "filled" you must cross the spread. • This "fill" is called an execution and creates a "tick" • This is printed on the ticker as the price. • If you cross the book and are not filled, you're gonna have a bad time!
8. diagrams! Two fundamentals • order entry • market data • order gateways • matching engine • clearing ◦ realtime vs delayed • market data ◦ realtime vs historic postgres matching engine mongo www REST FIX Websocket clearing orders multicast historic
9. matching engine • maintains the state of the order book ◦ no db communication • tcp input ◦ WAL ◦ request state • multicast output ◦ sequence numbered • JSON messages • testing ◦ state and output
10. place your bets! • user facing • order entry ◦ website ◦ REST ◦ FIX • market data ◦ REST ◦ websocket • system design makes it easy to add more
11. connectivity • multicast allows for many consumers • you don't need another pub/sub system, the network can do it for you ◦ dropping better than latency • "I know this great UDP joke, but you might not get it"
12. module time!
13. • every dependency is a new burden ◦ dependency issues are now your issues • deploying different version is a debugging disaster ◦ death to ~, >=, #.#.x, * • devs who mostly use their own modules do NOT appreciate this pinhead
14. PIN YOUR FUCKING PACKAGES
15. int/num INT sometimes I want to express your mom's weight in my web app NUM because 0.2 + 0.1 should never equal 0.3? How would you feel if your bank showed you rounding errors?
16. notp users will pick "password" as their password * and users will format their phone and then lock themselves out
17. raven (getsentry.com) • What happens when shit breaks? • Do you have 24/7 ops? • Debugging production problems with no info is awesome! • Use something!! ◦ tail, syslog, email, etc
18. logging • Unstructured logging is so 1990's ◦ console.log is for n00bs • book, winston, bunyan, debug, etc ◦ easy to add new destinations/features • don't make it harder to debug things!
19. spaceport • ip/port configurations are annoying • leverage multicast for service announcements and discovery • no single registration server ◦ avahi/zeroconf inspired