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For any programmers curious about how HFT actually works in practice --- I recommend checking out our very own patio11 & tptacek's https://www.stockfighter.io h

For any programmers curious about how HFT actually works in practice --- I recommend checking out our very own patio11 & tptacek's https://www.stockfighter.io https://www.stockfighter.io [1] It's a stock market simulator with a websocket API that you can code against to run your own trading bots in various scenarios. I am currently on level 3 where the exact goal is to write a profitable market maker bot. So far my bot is decidedly UN-profitable, but I hope to change that soon. [1]: And here is the thread when Stockfighter launched on HN: https://news.ycombinator.com/item?id=10724592 https://news.ycombinator.com/item?id=10724592

jiniba 11y ago
Hi, that's a really cool project! However, something I noticed with a lot of 'virtual market' simulations is they never take into account bid-ask volumes and allow unlimited volume trades at market values. Unfortunately, a lot of strategies people come up with that are 'profitable' in reality don't work. Do you guys have some sort of mechanic in place to stop this, or are working on one in the future?
- patio11 11y ago
  Unlike most simulations [+], we run an actual order book. You can very, very easily exhaust the shares available at the best bid or offer and experience price slippage. Avoiding that is literally the goal of level two. + Most investment games generate a spot price by magic and let you transact at it as much as you want. We have actual counter parties (bots) running their own strategies, the number, composition, and interaction of which determine the prices available. This is complicated; most simulations abstract it away to focus on their particular areas of interest. Having a nice crunchy view of market microstructure wrapped in an API is our interest; we in turn punted on a lot of other things. A big one: many people interested in stock markets want to trade Google; Stockfighter doesn't have Google but might have e.g. Amalgamated Tree Frog Airlines (ATFA), with a fake-but-almost-plausible market dynamic to it much of the time.
  - jiniba 11y ago
    Sorry for the late reply, but that is incredible! The simulation overall sounds incredible and I sign up. Thanks for creating something so cool!

jiniba 11y ago

Hi, that's a really cool project! However, something I noticed with a lot of 'virtual market' simulations is they never take into account bid-ask volumes and allow unlimited volume trades at market values. Unfortunately, a lot of strategies people come up with that are 'profitable' in reality don't work. Do you guys have some sort of mechanic in place to stop this, or are working on one in the future?

patio11 11y ago
Unlike most simulations [+], we run an actual order book. You can very, very easily exhaust the shares available at the best bid or offer and experience price slippage. Avoiding that is literally the goal of level two. + Most investment games generate a spot price by magic and let you transact at it as much as you want. We have actual counter parties (bots) running their own strategies, the number, composition, and interaction of which determine the prices available. This is complicated; most simulations abstract it away to focus on their particular areas of interest. Having a nice crunchy view of market microstructure wrapped in an API is our interest; we in turn punted on a lot of other things. A big one: many people interested in stock markets want to trade Google; Stockfighter doesn't have Google but might have e.g. Amalgamated Tree Frog Airlines (ATFA), with a fake-but-almost-plausible market dynamic to it much of the time.
- jiniba 11y ago
  Sorry for the late reply, but that is incredible! The simulation overall sounds incredible and I sign up. Thanks for creating something so cool!