Topic: ATP [Advanced Trading Platform] - page 5. (Read 20894 times)

That will make a lot of people happy

Nice to see activity with the atp and atpx

Thank you for keeping us informed

And yes it's pretty amazing what aido is doing!

Well both of you!

Talk soon

I have an implementation of the MtGox streaming sockets API working.
I used the weberknecht websocket client and then exposed it's internals to the Java scripting engine.

It still needs some work, but I've been able to successfully stream the mtgox ticker as a proof of concept.

At least though, there is no reason to rely on Xchange API

I'm excited to see the changes you're making.  For a first time Java dev you've got some serious skill.
ATPx hasn't seen a commit yet because I'm having trouble testing it out.  My MtGox account is empty and BTC-e is too low to trade with.  That will likely remain the case until July.  However I'm about 80% code complete on it now.  40% if you figure that I'm going to tie in the scripting engine to the intimate parts of the system
Still I think the module based approach is better in the long haul for what we're trying to accomplish.

Also I'm adding AES encryption to the values stored in preferences API, so that all prefs are stored encrypted.  It's a simple enough change you should look at backporting it into AidoATP once it's committed, it adds a nice strong layer of security.

Is already Java 7 for AidoATP.

New commit in develop branch btw which cleans up the trade locking mechanism.

Still trying to fix up the Arbitrage code.

Java 6 was EOL'd today.  Guess we should move the build target to JDK7.

That's why I use a single OrderBook in my code to send orders to exchanges.

Good point, I think you mentioned previously that the arbitrage manager is not blocking trend trades properly. I'll look into it.

I will also make sure it blocks any other arbitrage trades that may be triggered in another thread. Although this is highly unlikely using the current polling method but it could possibly happen if we use a streaming ticker and we get two ticks in quick succession.

Not positive here, but have your checked this to ensure the code is not re-entrant?  It seems like it could attempt a trade while another is in progress.  This could cause interesting and unexpected behavior.

Good job though, the code looks really good overall.

OK, I'll flip it on the next release. Schoolboy error but I keep mixing that up.

Don't worry too much about the profit %. I haven't done the calculation for that yet and had hardcoded a very high number to ensure it outputs something even when there is a very small actual profit.

Thanks for the feedback.

thanks Aido
if you want to flip it then I will run( sim Mode ) it for 24 hours and post back the results

thank you

You need to flip the direction of that calculation.  It's actually found a 9% loss in that direction.  Looking at the numbers I would say if you flip the calculation around (and fix the numberformat to report it properly.  You'll find a about a 9% opportunity in either USD/GBP or GBP/USD frankly I'm not sure which.

10,000% profit should be something we check for in an automated regression test though.

Yeah, I also noticed that user is posting a lot of posts like that.  Seems to be going through and hitting another thread every few seconds.

Doesn't make sense to me either.

?

New commit available in the develop branch:

commit 3d17d46dc146cf4aa63ee7ecc3d9a1ce15f876ba

    Rough draft of new arbitrage class

This is a very rough and ready draft of the arbitrage code for testing purposes only. I'm not even sure if its going to work. It is in no way ready for the big time yet so please review code and provide feedback.

As part of testing, please check if the arbitrage engine is identifying the correct opportunities if there were no fees involved.

Ignore the double reporting of the opportunity, I'll fix that somehow.



Although it's reporting the opportunity twice it still just triggers one trade pair i.e. sell the 'from' currency and buy the 'to' currency.

By the way, arbitrage is still intraexchange not interexchange

Actually its a bit impressive.
Buys and sells add up to 15 BTC.
I only ever had .41BTC.
I lost .05 BTC leaving me at a loss of .33 repeating % or 0.0033 repeating. 
MTGoX charges .6% so I lost less then the fee. At least if I look at it as a loss per BTC transacted.

Understood.

I will look into the Streaming ticker code when I get a chance.

The logic isn't the problem well at least my trading logic isn't. When MTGoX ticker was reliable for me this logic made me ~3% per day easily. By reliable I mean with a polling interval of 30 and a max tick age of 60 I had a USD with 90+ ticks. I was missing 1/4th of the ticks or less.

Currently with a 30 second polling interval and a max tick age of 120 I get less then 110. The perfect number would be 240. So I have 110 data points and am missing 130 data points. How accurate can I expect any trade logic to be missing half its data? I would say maybe 50%.

Currently on MTGoX I get reliable ticker data sporadically and I miss blocks of time of at least 2 minutes and usually 5 minutes regularly. How accurate could the trade be on the tick after a 5 minute sabbatical? I would bet not very. Add to that fun fact that the ticker frequently goes AWOL when the market heads a direction quickly and I get a lot of missed trades.

Even if the logic is great it is very hard to fight the nothing storm from MTGoX. I can sit on MTGoX website and when ATP loses its ticker at a weight of .009BTC of .01 BTC minimum (MTGoX tells me that is the minimum). I can watch the market go in the required direction for the trade to execute at a rate fast enough the ticker isn't bumped around much. The trade is missed by the nothingness. When the next tick comes in half the time the market is up slightly and it buys if the market had been heading down.

I'm not saying ATP is bad. But with a large near term gap in data maybe a trade isn't the best thing on the next tick. Possibly I am the only one having this much trouble with MTGoX ticker. I doubt it. Maybe the 50X errors crashing ATP only happen to me. I doubt it. Maybe the missing ticker data only happens to people who haven't paid MTGoX enough in fees. I don't know. Some one is trading when I can't get data. I can literally watch it happen.

Right now I have a max tick age of 120 and a polling interval of 15. I should have 480 data points. I have 130. I am averaging 25% successful polls. If I actually got 1 per minute reliably I would be OK with it. I get bursts of 2 minutes of polling then nothing for more. When I am lucky I get 2 in 60 seconds. It doesn't matter what I set the polling interval to I average a low %. I really doubt that any trading logic deals well with intermittent data. If you can point out one that that actually times out so it would stop trading when I am missing too much data I would very likely add it.

I appreciate both Aido and Nova's work I asked about the ticker because I am quite sure it would fix my problem or at least lessen the problem.
Some other fun facts.
I started with 0.41 BTC.
Today I had more then 15 BTC trading volume for the month.
Today I had 0.36 left. I have lost maybe 6$.
The logic is solid. It buys USD when I would want and sells USD when I want.

I got it, I'm going to try running with similar settings, but I have a feeling the other trading logic didn't know how to deal with the shortened ticker.  The VWAP logic should have just caught it and waited until it had sufficient recent ticks to make a decision. 

HAHA  

SEE MEN CANT MULTI TASK NOVA

I  did PM my settings over to you  ( I  hope I have not done a you ) and pinged it to the wrong place lol

and the amount I lost with the MTGox hiccup was not massive,  quite small like £5

so no major shakes

edit
but then I am not playing with massive amounts of money

just playing with 1btc at the moment

seeing what different formula do, doing some reading to find out what best

its would be perfect if I was clever enough to be able to do a proper back test in ninja trader  or something  like that

but have never been able to import the data to get it working or find the time to get it working

with many of us

I do this in my spare time

I work Full time in my "real life" and have a lovely wife and daughter  to look after, so don't tend to be on the computer in front of them.

but
its slow but i will surely learn from the mistakes I make

And of course I posted that to the wrong thread.  Sorry.