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NautilusTrader: Open-source algorithmic trading platform

• mapontosevenths 1y ago
  Finally, a way for me to lose all of my money automatically. What an exciting time to be alive! More seriously, for anyone else who was curious below is a list of the existing integrations. https://nautilustrader.io/docs/latest/integrations/ https://nautilustrader.io/docs/latest/integrations/
  • deleted 1y ago
    [deleted]
  • no_wizard 1y ago
    Interesting not a single one of them is in the realm of traditional trading. Can you actually buy real stocks / etfs / mutual funds with this platform?
    • TimMurnaghan 1y ago
      Interactive brokers is real
    • gosub100 1y ago
      Generally you can connect your OMS to a FIX connection or similar directly to a broker.
• William_BB 1y ago
  Interesting stuff. I'm a bit confused on several points though. If your strategies care so much about performance, can you really achieve the same or comparable performance with Cython? At that point, wouldn't those strategies be better suited for a custom "re-implementation"? I suppose I'm not exactly sure how "high performance" and "low latency" this project is. Are there any latency stats on this project?
  • blitzar 1y ago
    I am guessing it is "low latency" as in not taking 2 minutes to calculate an order size and submit it rather than "low latency" for HFT and 1,000 trades a second.
• UK-Al05 1y ago
  I wouldn't be surprised if this is sponsored by trading platform in order for customers to lose all money in record time...
  • Tepix 1y ago
    I think the trading platforms earn more money if you make more trades. So it's in their interest that you trade for as long as possible.
    • drtgh 1y ago
      I read it does exists trading platforms were if you earn money they lose it because they launched the order internally between their affiliates, and not to the external trading networks (or whatever they are called). This if they even really launch the orders... We can not see the traders' internal code so anything can happen. I think they look like money-collecting machines. Take care guys. Edit: Wow, that downvote sounds very interesting, as the first that I pointed is widely known, the so called "Market Makers".
  • mapontosevenths 1y ago
    Trading platforms would make more money if you made just enough money to continue to trade long term. Especially the bucket shops crypto and forex exchanges that make most of their money front-running customer orders. Unregulated exchanges are just a way to bring back the bad old days of "boiler room" penny stock scammers of the 80's. Most of the people making money are running 40 year old scams on 20 somethings who don't know better yet.
  • world2vec 1y ago
    The website does say they're partners with OKX, nothing better than bringing more retail customers (that will promptly lose their money). I've seen stats from other crypto exchanges that are something like "90% of the retail customers lose 90% of their funds in 90 days or less".
    • andrepd 1y ago
• bhasinanant 1y ago
  Interesting choice to be using CPython. Very impressed with the completeness, and in particular the Risk Engine. Not having delved in too deeply yet, it does have the basics, but the markets are very highly regulated, and automated trading is always in the microscope. At Goldman, my team's whole job was to make sure the automated trading desks have all the checks implemented. It's a little spoilsport, but anyone seriously looking to use this, it's not gonna be very plug and play, at least while comlying with the market regulations.
  • hiatus 1y ago
    I know FINRA has regulations but the CFTC proposed regulations were shelved. Are little guys who are not FINRA members encumbered by regulations here too?
    • bhasinanant 1y ago
      Particularly for India, for example, all algo's have to be pre-approved, and the core principle is that you cannot operate in isolation; your broker is your gateway and your primary point of compliance. For the US, the SEC and FINRA place the onus on the broker-dealer to supervise all trading activity, including automated trading by retail clients. This includes having risk controls to prevent erroneous or manipulative orders. An individual is not typically required to register their specific algorithm with the SEC, but they are subject to all overarching rules against market manipulation and fraud. So, end of day, you'll still have to do a ton of back and forth with your broker, to make sure their controls cover your implementation. Not really feasible for the retail trader from the looks of it, regardless of location. But some smaller firms can perhaps utilise it.
• monkeydust 1y ago
  A long time ago I figured out the difference between a Trader and Investor and realized I am very much the latter. After a few years this realization lead to my wealth increasing.
  • InMice 1y ago
    I just have to say your post starts out just like those bots do on youtube finance video comments, esp with the caps. I sorta felt like replying in their style to you really
  • grantseltzer 1y ago
    [flagged]
  • jebarker 1y ago
    Yep, it’s amazing how many people seem to get sucked in by the idea you can reliably make money as a solo/small trading operation.
    • monkeydust 1y ago
      Yea incredibly hard to do so consistently. Those that do (the hedge funds) have the security of the ~2% fixed fee they earn to weather the periods when the returns are not there aka "others peoples money".
    • TuringNYC 1y ago
      >> Yep, it’s amazing how many people seem to get sucked in by the idea you can reliably make money as a solo/small trading operation. You can right!? You can make beta. Sometimes the beta is negative. Hard to make alpha.
      • blitzar 1y ago
        Everyone that bought and held on the up movement this week is a legendary "Trader".
    • gosub100 1y ago
• payeurp 1y ago
  How does this compare with the LEAN engine[1] and QuantConnect[2]? [1]: https://www.lean.io/ https://www.lean.io/ [2]: https://www.quantconnect.com/ https://www.quantconnect.com/
  • omarhaneef 1y ago
    There are a few dozen of these out there. That’s the first question anyone should answer.
• browningstreet 1y ago
  I've been wading into algo-trading for a little while now. I've read a few books, set up a few strategies on paper trading platforms. Right now I'm trying to figure out how to consistently make $1/day as a POC exercise. That's it. I did ask the various advanced LLMs the path to earning/clearing $200K/year as an algo-trader. Fun & sobering responses. I'll give the LLMs this -- no uplift in these conversations.
  • IshKebab 1y ago
    Surely you can't? You don't have the latency advantages of big trading firms, nor the gazillion PhDs they employ. There's absolutely no way you are going to consistently make money, let alone $200k/year. At best you'll get lucky and think it's skill.
    • joshcsimmons 1y ago
      Of course you can. If you have $17M invested in $VOO you'll make about 200k every year in dividends. What's difficult is getting a higher rate of return. $200k is totally doable with $2M investment capital and a bit of disciplined options trading.
      • palantird 1y ago
        Finally some advice for the common man.
      • TuringNYC 1y ago
        >> $200k is totally doable with $2M investment capital and a bit of disciplined options trading. 10% probably. Though with the higher-than-market rate, there would also be dispersion in the consistency of the return. I could see some lean years where no money is made. I could also see a decade where you are buying at ever-higher valuations rather than dollar-cost averaging -- thus you could see a lean decade following. It all depends on how much consistency you want.
      • IshKebab 1y ago
        Obviously we're talking about returns above the market. You don't need an algorithmic trading platform to invest in index funds.
• cahaya 1y ago
  Wondering how average users can benefit from this platform with Claude Code and the relation to Vending Bench that tracks how much money LLM's can make. https://andonlabs.com/evals/vending-bench https://andonlabs.com/evals/vending-bench
• GolfPopper 1y ago
  Obligatory xkcd: https://xkcd.com/1570/ https://xkcd.com/1570/
  • nwhnwh 1y ago
    Gold.
• iav 1y ago
  This is pretty comprehensive. I work at a quant firm, and we don't even have some of this implemented in code. The tricky part is always going to be the integration. Nautilus has its own OMS system, but so does IBKR, and there is no guarantee that they are going to match. For very small funds, running entirely on IBKR platform (or Alpaca if you can live with their constraints) makes sense. For very large funds, you invariably will have a home-grown system that integrates with all of your expensive vendors. But if you are starting from scratch and want to scale up, using this to bootstrap quickly is most efficient.
  • mathiaspoint 1y ago
    I've heard ibkr will ban you if they can detect algorithmic trading.
    • blitzar 1y ago
      You heard wrong.
    • chollida1 1y ago
      The fact that they have an api says otherwise:) Lots of small hedge fund use them as a stop gap until they get bigger, or fail.
  • mtillman 1y ago
    I wrote homegrown systems for HFT firms (citadel, RGM, etc) 23 years ago and it’s incredible what they just open sourced but agree with you that it’s the backend that might be the limiting factor. We got to a point where we had to license dark fiber at an alarming rate to stay competitive for our customers too.
  • SilverElfin 1y ago
    Since you work in a quant firm, I am curious if there are any good public resources to learn about the techniques used by such firms. Aimed at a novice I mean. I’ve always had a curiosity about it, but I feel like whatever I can find is more basic than what is truly being done in production.
• jjangkke 1y ago
  I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock and holding is the best and most successful approach to making money. Maybe when AI becomes sentient it will know on which days it make sense to buy and sell iron condors with huge ass wings....
  • cosmicgadget 1y ago
    Held stocks provide minimal gains. Perhaps a bot to sell calls. Then your main risk is wiping out potential upside as you cry into your pile of realized gains.
    • 01HNNWZ0MV43FF 1y ago
      > minimal gains Vanguard says I've had a 12% rate of return. I guess I could have done active trading if I'd gone on fewer dates
      • cosmicgadget 1y ago
        Realized return or portfolio growth?
    • fyrabanks 1y ago
      High reward, high risk. I have a day job and don't really want to sweat the details. I have over 140% gain on my long term holdings this year alone--with continued investment and on top of compounding from two decades. I'm quite happy as a Boglehead.
      • rytill 1y ago
        > Boglehead > 140% gain on your holdings this year Choose one.
• SilentM68 1y ago
  I understand that most, if not all, are in the business of making money. A platform that is sorely missing is an interactive, teaching platform for trading which has suggestions on what to trade, how to trade it, why to trade it and when. A platform that teaches the art of trading without risking any capital, by providing trading simulations, using real-time pricing of as many asset classes as possible. I think people would pay a reasonable price to learn, and gain confidence. I tried to trade on my own and ended up losing, in the end.
  • deleted 1y ago
    [deleted]
• bproctor 1y ago
  Having wasted 6 years of my life intensively working to create an algorithmic trading system (and failing to make it consistently profitable), what they have here is the easy part. You need a system for discovering strategies. That's were almost all your effort will go. The simulator for backtesting, integrating with a broker, etc. is such a small part of it, if you're serious about it, you're probably better off writing your own.
  • TheAlchemist 1y ago
    This is the right comment. This is also why people in algo trading that are able to discover or already know working strategies, they are paid big bucks.
• narrator 1y ago
  I've tried to write automated trading systems over the years, but they always perform worse than the stocks I pick to buy and hold and trade at most a few times a year. People do make money at this, so it's not impossible, but it's a bit of a white whale.
• k9294 1y ago
  I spent almost 6 years trading crypto. Our best month's volume was $6B. 1. Nothing we tried with usual strategies worked consistently. Backtesting parameters, ML with smart feature selection, boosting, neural networks - everything failed out of sample. Maybe we were dumb, I don't know. 2. What worked was having a clear edge: - Private exchange programs with rebates for high-volume teams - Pure latency arbitrage - Weird arbitrage trading obscure instruments (e.g. on chain AMMs vs crypto exchange futures). Both market maker and arbitrage strategies were very sensitive to latency. We built a low-latency trading engine in Java (on top of https://github.com/OpenHFT/Chronicle-Queue https://github.com/OpenHFT/Chronicle-Queue). We got 130mqs from market event to order send in a hot loop on 99.99 percentile. It was fun to optimize and benchmark. - Tail latency matters. You can have 100ms at the 90th percentile and 10-50ms at the 99.9th percentile. For low latency strategies, this is pure loss. - Tail latency matters even more when markets go crazy. Event rates can jump from 10 per second to 1-2k per second. If your trading engine uses trades or bid/ask events, be ready. For OHLC bars it doesn't matter, but nothing based on OHLC worked for us. --- p.s. I wouldn't recommend trading to anyone. It's very stressful and exhausting. More importantly, all your hard work disappears like trying to hold sand in your hands. There's very little compounding of your work. Strategies constantly churn. You're always negotiating with managers for fees and API limits. You're always negotiating with managers for fees and API limits. They force you to buy and hold exchange tokens like Binance's BNB just to get slightly better fees, VIP status, or direct API access that bypasses firewalls. The industry is extremely secretive - it's a zero-sum game with no incentive to share anything. When you meet someone who trades, it's usually hard to have a meaningful conversation. At least that was true for me. All our strategies were small-scale and we couldn't invest all our capital in them. So discussing what we did was basically saying "yes, we print money, here's how you can take it from us". Overall, I was super lucky. We built a money-printing machine that worked for a few years. But in the end, my co-founder and I decided not to pursue it long-term. One day when yet another strategy stopped working, we just shut down all operations.
• copypaper 1y ago
  Algorithmic trading is a deep rabbit hole that will drive you mad the more you try to understand it. There are just too many variables to account for and I genuinely don't understand how you could make a stable trading system that reliably makes money as a retail trader. Excluding HFT (which is reserved for people with hundreds of millions to invest in infra, fresh Ivy league quant analysts, and a fiber optic cable hooked up directly to the exchange; they likely already have an in-house tool that does what this project does), you're really just left with intraday trading or long term investing. Investing doesn't require algorithmic trading or back testing, so it seems that this projects demographic is aimed toward intraday retail traders. With intraday trading, your chances of making a successful trading algo are near 0%. I mean, think about it: you have to account for every single variable in the stock market. How are you supposed to account for a truth social post imposing or lifting tariffs? Or a ransomware attack crippling a company? Or if a whale decides to sell all their $BIGCORP shares on the flip of a coin? It's impossible. Your only odds of success with intraday trading is manually doing it. You yourself are an "algo" trader that is capable of changing their strategy on the fly and accounting for unknown variables. A pre-programmed algo can not, no matter how much context you give it. Furthermore, with back testing, it's impossible to accurately capture the context of the market during that time. Let's say you back test on 180 days of data. Well, do you know exactly what happened on the 71st day of that data? Did you account for that fed meeting, that tariff hike, etc? What about all the other days? Testing on OHLCV alone is not enough; you need the entire context of the market. While the project itself it neat, I just don't see how algorithmic trading could lead to any long term success.