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[fit] trading bot hero

@danielepolencic

inline 150%

once upon a time... ✨

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🌍 money transfer

have you ever noticed?

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eur/gbp 0.88

gbp/eur 1.1364

send £1000 to 👩

£1 ➡️ €1.13640

💁 €1136.40

send the money back

€1 ➡️ £0.88

€1136.40 * 0.88

£1000.032

😱 £1000.032 😱

surely it's just transferwise

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£1 ➡️ €1.13612

BUY €1136.12

price gbp/eur 1.13612

€1 ➡️ £0.8802

SELL €1136.12

price eur/gbp 0.8802

£1000.012

😱 £1000.012 😱

this doesn't make any sense

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🏊 liquidity 🚿

💸 just pennies 💸

fit

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BUY @1.25

SELL @0.8032

1.25 * 0.8032

😱 __£100__4 😱

2 transactions per day

20 days per month

2 * 20 * £4 = £1601

time to build something

✨ 3 wishes ✨

1. 👂

👂 to price changes

1.13612 * 0.88 = 0.99978 ❌

1.13612 * 0.882 = 1.00205 ✅

👂 to price changes

👂 to order changes

created

modified

partially matched

matched in full

👂 to price changes

👂 to order changes

👂 to balance changes

deposit 💰

withdraw 💰

orders matched in full

🕚🕘🕖

2. time travel

fit

⏪ market conditions

debugging & 🔍

3. 🛂 bulletproof testing

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"As part of its normal process, the UTP distributed test data and certain third parties improperly propagated the data."

  • NASDAQ

oops

mvp 1️⃣

scalable architecture

🐰MQ

mysql

^ ts 1.8

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😩

overengineered

😩

sync state

^ syncing state means that I couldn't reboot the server easily ^ hard to test rabbitMQ. proxy-require modules ^ no need for multiple workers ^ hard to manage deployments

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mvp 2️⃣

fit fit fit

𝒻(state, message) -> state

const message = {
  type: 'PRICE_TICK',
  price: 1.3508
};

const state = {
  currentPrice: 1.3502
};
function update(state, message) {
  switch(message.type) {

  case 'PRICE_TICK':
    return {
      ...state,
      currentPrice: message.price
    };

  default:
    return state;
  }
}

const newState = update(state, message);

console.log(newState); // {currentPrice: 1.3508};

fit

redux

leveldb

docker

^ ts 1.9

😩

crashes

😩

redux actions & orchestration

^ 1. leveldb is a 🃏 ^ 2. crashes

Bad ❌

function update(state, message) {
  switch(message.type) {

  case 'PRICE_TICK':

    /* SIDE EFFECT! */
    updateOrderWithPrice(message.price);

    return {
      ...state,
      currentPrice: message.price
    };

  default:
    return state;
  }
}

Good ✅

function getPrice(dispatch) {
  dispatch({type: 'PRICE_TICK'});

  updateOrderWithPrice(message.price).then(order => {
    dispatch({type: 'ORDER_UPDATED', order});
  });
}

Good ✅

function(state, action) {
  switch(action.type) {

  case 'PRICE_TICK':
    return {
      ...state,
      currentPrice: message.price
    };

  case 'ORDER_UPDATED':
    return {
      ...state,
      openOrder: message.order
    };
  }
}

flow and state are separated

redux saga

redux thunk

mobx + rxjs

mvp 3️⃣

𝒻(state, msg) -> [state, cmd]

function(state, message) {
  switch(message.type) {

    case 'PRICE_TICK':
      return [
        {...state, currentPrice: message.price},
        updateOrderWithPrice(message.price)
      ];
  }
}

updateOrderWithPrice(message.price)

function updateOrderWithPrice(price) {
  return {
    commandType: 'UPDATE_ORDER',
    price
  };
}

console.log(updateOrderWithPrice(1.2)) // {
                                       //   price: 1.2,
                                       //   commandType: 'UPDATE_ORDER'
                                       // }

fit

fit

fit

fit

free monad

(interpreter pattern)

^ ts 2.0, 2.1, 2.2 ^ redux-like state ^ redis

AST

const fetch = {
  commandType: 'FETCH',
  url: '/any_url'
};

const log = {
  commandType: 'LOG',
  value: 'Hello World!'
};

interpreter

function interpreter(commands) {
  commands.forEach(command => {
    switch(command.commandType) {

    case 'FETCH':
      request(command.url);

    case 'LOG':
      console.log(command.value);
    }

  });
}

no side effects

fit

[ state,

updateOrderWithPrice(1.2) ]

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1. elm

2. redux-loop

3. redux-effects

state + logic 👭

easier testing

interpreter

😩

monads are hard

mvp 3️⃣.1️⃣

actors

^ ts 2.3, 2.4 ^ redux-like state ^ redis

fit

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fully decoupled effects and business logic

200 LoC

if a 🌲 falls in a forest

does it make a sound?

testing

1. data driven

updateOrder

updateOrder(order: Order, price: number): State

enum State {
  UPDATE,
  DO_NOTHING,
  CANCEL
}

fit

fit

fit

unit testing

it('should update the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

unit testing

it('should update the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

it('should cancel the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.22;
  expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL);
});

unit testing

it('should update the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

it('should do nothing', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.12;
  expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING);
});

it('should cancel the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.22;
  expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL);
});
it('should update the order');
it('should do nothing');
it('should cancel the order');
it('should update the order');
it('should do nothing');
it('should cancel the order');

it('should NOT update the order');
it('should NOT do nothing');
it('should NOT cancel the order');
it('should update the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

it('should do nothing', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.12;
  expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING);
});

it('should cancel the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.22;
  expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL);
});

it('should NOT update the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

it('should NOT do nothing', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.12;
  expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING);
});

it('should NOT cancel the order', () => {
  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.22;
  expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL);
});

duplication 👯

duplication 👯

unit testing

it('should update the order', () => {

  const order = {id: 1, price: 1.12, active: true};
  const currentTickPrice = 1.11;

  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

unit testing

it('should update the order', () => {
  const order = {id: 1, price: 1.12, active: true}; // CHANGE ME
  const currentTickPrice = 1.11; // CHANGE ME
  expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE);
});

110%

unit testing

test(updateOrder, () => {
  given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE);
  given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING);
  given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL);
});

unit testing

test(updateOrder, () => {
  given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE);
  given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING);
  given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL);

  given({id: 1, price: 1.11, active: false}, 1.12).expect(DO_NOTHING);
  given({id: 1, price: 1.12, active: false}, 1.12).expect(DO_NOTHING);
  given({id: 1, price: 1.12, active: false}, 1.22).expect(DO_NOTHING);
});

2. sound 🎵

orders

const order = {
  id: 1,
  price: 1.12
};

orders with state

const order = {
  id: 1,
  price: 1.12,
  active: true // new field
};

old tests still pass

/(search|replace)/gi

unpredictable

typescript

orders

interace IOrder = {
  id: number
  price: number
};

const order: IOrder = {
  id: 1,
  price: 1.12
};

orders with state

interace IOrder = {
  id: number
  price: number
  active: boolean
};

const order: IOrder = { // ERROR! `active` is missing
  id: 1,
  price: 1.12
};

3. integration

110%

fit

fit

very hard to setup

harder to maintain

time consuming

but…

𝒻(state, msg) -> [state, cmd]

+

snapshot testing

const messages = [
  {type: 'TICK', price: 1.12},
  {type: 'TICK', price: 1.13},
  {type: 'SUBMITTED', price: 1.13},
  {type: 'COMPLETED', id: 1},
];

const initialState = {
  openOrders: []
};

const finalState = messages.reduce((state, message) => {
  return Update(state, message);
});

expect(finalState).toMatchSnapshot();

fit

show me the 💵!

fit

fit

fit

fit

2️⃣✖️ initial investment

957 transactions,

3 motnhs later…

fit

lessons learned

1️⃣ js is awesome

proper type system

transpilers

functional, CQRS, etc.

2️⃣ trading is coding

not only python/r/c++

no MBA/Phd

no special HW or SW

3️⃣ build once, run everywhere

bitcoin

stock

forex

hungry for more?

[fit] thanks

@danielepolencic

Footnotes

  1. best case scenario ↩