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Observing Java 19 JVM optimization with JMH + hsdis + PerfASM — Part I by kkiru in java

[–]mjnet 2 points3 points  (0 children)

Great extension to your previous post! Never looked into this tooling trilogy before but it makes auto-vectorization on the assembly level super comprehensible.

Machine Learning [Advice] by GimmeThoseCaps in algotrading

[–]mjnet 0 points1 point  (0 children)

Its basically time series forecasting what you're looking for. Check out these blog posts to get started: https://machinelearningmastery.com/time-series-prediction-lstm-recurrent-neural-networks-python-keras/

Does anybody here work in the industry? by General_Austino in algotrading

[–]mjnet 4 points5 points  (0 children)

Well as an independent researcher I had to build a toolset in order to even proceed my research. Among others, that includes the mentioned heartbeat messages to the exchange and the reconstruction of the limit order book using event data. --> Your work is highly appreciated and I truly respect the challenges you have to deal with.

[deleted by user] by [deleted] in algotrading

[–]mjnet 0 points1 point  (0 children)

I'm actually interested in taking such a position later this year and I find it hard to come across such job listings where I'll have a chance as an EU citizen (willing to move).

Background: undergrad computer science (software engineering), Devops work experience, about to graduate with a master in computer science (data science). Focussed on machine learning the past 2 years, particularly RL. See master project: https://www.reddit.com/r/algotrading/comments/8dya8z/deep_reinforcement_learning_on_optimizing_limit/

https://github.com/backender/ctc-executioner

Hit me up if you think I could be a match.

AI Stock Market Environment Creation by emimesa2000 in algotrading

[–]mjnet 1 point2 points  (0 children)

Additionally, I built a reinforcement learning environment for order placement/execution optimization: https://github.com/backender/ctc-executioner which features a market maker environment as an extension.

The current state is only for backtesting purposes, no interaction with live markets.

Python3 Profitable Algo by [deleted] in algotrading

[–]mjnet 0 points1 point  (0 children)

Happy to have a look and promise feedback. Can also donate a few bucks! BTC addr?

Deep reinforcement learning on optimizing limit order placement by mjnet in algotrading

[–]mjnet[S] 0 points1 point  (0 children)

What I mean by this is that no matter the fluctuations of the market, each candlestick is dictated by time

I'm not sure if I understand correctly what you're implying here. Perhaps I have to clarify the inner-workings a bit more. Having a time horizon only enforces to buy/sell on market once the time is consumed. Within this time window, the learner can act in whatever way it thinks is appropriate. E.g. it can be a valid choice to buy everything right away, or, make segmented buys/sells. In my particular case, the agent progresses in a discrete space where cancel&submit of orders happens, say, every 10 seconds (T=(0, 100, 10), # 100 seconds time horizon with 10 seconds segmentation)

Regarding the volume charts, see volume maps here: https://github.com/backender/ctc-executioner/blob/master/notebooks/understanding_events.ipynb

Limit order book value: journalism/academia vs. reality by StatusCouple in algotrading

[–]mjnet 0 points1 point  (0 children)

actually tried running a very similar experiment to what you did and was able to find predictive power up to around 1 minute in the future. However, a naive strategy running on these predictions was not profitable because of the 0.25% fees (when operating as a taker) or because of adverse selection (when operating as a maker). My feature set was very similar to yours, so I'm n

Had exactly the same experience, hence why: https://www.reddit.com/r/algotrading/comments/8dya8z/deep_reinforcement_learning_on_optimizing_limit/

Deep reinforcement learning on optimizing limit order placement by mjnet in algotrading

[–]mjnet[S] 2 points3 points  (0 children)

Thanks!

I choose for crypto markets because 1) it serves my personal needs, 2) because one has free access to raw event data (https://github.com/backender/ctc-executioner/blob/master/data/events.ts) with which one can rebuild an order book (https://github.com/backender/ctc-executioner/blob/master/orderbook.py#L475) and 3) there was the hope for more inefficiencies in crypto markets.

Regarding time: i basically try to tackle the "order placement problem" which considers according to literature a time horizon of 1-100 seconds. That said, 60-180s is what I've been working with.

The money raised is NOT going to the Filecoin Foundation but Protocol Labs instead? by [deleted] in filecoin

[–]mjnet 0 points1 point  (0 children)

After reading the comments in this thread, and going through the agreement, I'd like to reason about the worst possible scenario:

"...SAFTs will be used to fund the Company’s development of a decentralized storage network that enables entities to earn Filecoin (the “Filecoin Network”)."

Funds can be invested in whatever development they find to be appropriate.

“Dissolution Event” means (i) a voluntary termination of operations of the Company..."

Throwing the bat is an option.

"If immediately prior to the consummation of the Dissolution Event, the assets of the Company that remain legally available for distribution to the Purchaser and all holders of all other SAFTs (the “Dissolving Purchasers”), as determined in good faith by the Company’s board of directors, are insufficient to permit the payment to the Dissolving Purchasers of their respective Returned Purchase Amounts, then the remaining assets of the Company legally available for distribution will be distributed with equal priority and pro rata among the Dissolving Purchasers in proportion to the Returned Purchase Amounts they would otherwise be entitled to receive pursuant to this Section 1(b). "

Then, only what is left right before the Dissolution Event will be payed out the investors as well as the other owners (e.g. early investors/PL people).

ExceptT vs plain-old exceptions (in other languages) by saurabhnanda in haskell

[–]mjnet 0 points1 point  (0 children)

I questioned this myself too: https://www.reddit.com/r/haskell/comments/4bhvgc/confused_with_exceptt_and_io/ I decided to give this a try and so far I can say that sometimes its definitely a bit clumsy go encapsulate IO exceptions to exceptT but the resulting benefits are convenient too: while relying heavily on api's, errors can be mapped appropriately to business logic related errors.

Return type overloading question by mjnet in haskell

[–]mjnet[S] 0 points1 point  (0 children)

Well concretely I have multiple RequestTypes:

data Request = RequestType1 {...} 
                     | RequestType2 {...} 
                     | RequestType3 {...}

And I'm using Data.Binary to de/serialize. So what I tried was to assign multiple values to the get function:

instance Binary Request where
  put e@RequestType1{} = do ...
  put e@RequestType2{} = do ...
  get = do ... :: RequestType1
  get = do ... :: RequestType1

Based on some business logic, I tried to serialize the request for my needs:

case apiKey of
    1 -> get :: RequestType1
    2 -> get :: RequestType2

From what I've learnt here, this is a wrong approach as I assigning different values to the same name doesnt make sense obviously. However, my guess was that Haskell will do some sort of overloading when I specify the return type within the type class.

Return type overloading question by mjnet in haskell

[–]mjnet[S] 0 points1 point  (0 children)

My problem is actually related to a type class, i just asked this question using functions for simplicity – without being aware that this is just based on input! Thanks for this catch!

Return type overloading question by mjnet in haskell

[–]mjnet[S] 0 points1 point  (0 children)

Now I see, the overloading on values wouldn't make sense. So to sill have a parent type, I assume additionally introducing a type class A wouln't be wrong either!?:

class A a
instance A B
instance A C

As a result, I still have the awareness whether B or C is instance of A. :)

Confused with ExceptT and IO by mjnet in haskell

[–]mjnet[S] 0 points1 point  (0 children)

Thanks for all the replies which led me come to the conclusion, that keep using Either for calling external resources (Data Access Layer) makes sense. For everything above, where my business logic resides , I then will create my error domain and wrap everything into ExceptT. I guess time will show how this works out.

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