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> Setting it loose for the first time, knowing that any bug could literally throw away cash, was terrifying. I am interested in projects that deal with real ca

> Setting it loose for the first time, knowing that any bug could literally throw away cash, was terrifying. I am interested in projects that deal with real cash values as well and the unique concerns that come in. One design pattern I've read of is circuit breakers, like those used on the official exchanges [1] are typically implemented in HFT's; just stop trading if your total net loss that day is some order of magnitude higher than your typical expected losses. I expected the market for bitcoins was saturated with market makers. Interesting that author was able to set up shop and make money. [1]: https://www.nyse.com/markets/nyse/market-model https://www.nyse.com/markets/nyse/market-model

lucaspiller 11y ago
OP didn't say how much he was making though, I expect it's more a free trip to Starbucks every week rather than sipping mai tais on a beach.
- Rainymood 11y ago
  And it's also how much risk he's taking. Which is unkown to him I figure? If you risk 10k for a chance at free starbucks every week ... not sure if I am willing to take that risk.
cheatdeath 11y ago
A max loss is probably the first thing you should code! It's not so easy though. What if you have a bug in your pnl calculator? Also, do you just block all new orders when you hit the max loss or do you liquidate your positions when you hit the max loss - because that's more code you could have bugs in. Maybe you cancel initiating orders and go to market on liquidating orders? Maybe you have code to limit the number of orders/size you can be working simultaneously - might have a bug in there too! What if someone clears out the book i.e. a huge sell orders clears out all the buy limit orders and your pnl prints down massively for a millisecond? Should you also sell when this happens - probably getting a terrible exit price or do you wait and see if the book repopulates?

lucaspiller 11y ago

OP didn't say how much he was making though, I expect it's more a free trip to Starbucks every week rather than sipping mai tais on a beach.

Rainymood 11y ago
And it's also how much risk he's taking. Which is unkown to him I figure? If you risk 10k for a chance at free starbucks every week ... not sure if I am willing to take that risk.

cheatdeath 11y ago

A max loss is probably the first thing you should code! It's not so easy though. What if you have a bug in your pnl calculator? Also, do you just block all new orders when you hit the max loss or do you liquidate your positions when you hit the max loss - because that's more code you could have bugs in. Maybe you cancel initiating orders and go to market on liquidating orders? Maybe you have code to limit the number of orders/size you can be working simultaneously - might have a bug in there too! What if someone clears out the book i.e. a huge sell orders clears out all the buy limit orders and your pnl prints down massively for a millisecond? Should you also sell when this happens - probably getting a terrible exit price or do you wait and see if the book repopulates?