Composing trading strategies (was: Should I step into a minefield? / Writing a trading studio in Haskell)

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Composing trading strategies (was: Should I step into a minefield? / Writing a trading studio in Haskell)

Greg Fitzgerald
> My idea is to write something like TradeStation [1] or NinjaTrader, only for the Mac.
> It would be quite nifty to use SPJ's financial combinator approach

I was experimenting with a Haskell EDSL for financial trading not too long ago.  My favorite strategy so far is the parallel parser combinator approach.  It allows users to run many parallel trading strategies in a nice single-threaded way that's easy to reason about and straightforward to compose new trading strategies.

The idea is that the user composes an 'openPosition' and 'closePosition' trading strategies from a combinator library and gives them to the trading platform.  The user's trading strategies are nothing more than a numeric parser combinators.  With each incoming quote, the trading platform kicks off the user's 'openPosition' trading strategy.  When a strategy succeeds (a successful parse), the trading platform opens a position for the user.  Once a position is opened, the platform starts running the user's 'closePosition' strategy.  The closePosition parser is run the same way and when it succeeds, the user's position is closed.

To implement, I leveraged Twan van Laarhoven's ParseP library (http://twan.home.fmf.nl/parsep/), which at least for my simple experiments, was incredibly complete and stable given its 0.1 version number.   Why ParseP and not Parsec or ReadP?  Parsec doesn't have an unbiased choice operator and ReadP only works on strings.

Implementing context-free trading strategies like limit orders is very easy (limitOrder price = satisfy (>= price)), but context-sensitive strategies, such as "match the longest string of increasing numbers" is quite a bit more painful.  Below are some of my experiments (also on hpaste: http://hpaste.org/3756).  If anybody could offer more elegant solutions, I'd love to hear because this still feels overly complicated to me.  'testUpThenDown' matches an input stream that increases then decreases.  'testNumericFib' will try to match as much of the Fibonacci sequence as possible.


import Text.ParserCombinators.ParseP
import qualified Text.ParserCombinators.ParseP.Greedy as Greedy
import Control.Applicative
import Data.Monoid

testUpThenDown = print $ runParser coaster [1, 2, 1]
testNumericFib = print $ runParser (fib (Sum 1) (Sum 1)) (map Sum [2, 3, 5, 7, 1])
testAlphaFib = print $ runParser (fib "a" "b") ["ab", "bab", "cad"]

fib :: (Eq a, Monoid a) => a -> a -> Parser a p [a]
fib n1 n2 = Greedy.option [] (do
   n3 <- satisfy (== (n1 `mappend` n2))
   ns <- fib n2 n3
   return (n3:ns))

coaster :: Ord a => Parser a p ([a], [a])
coaster = do
   seed <- get
   up   <- increasing seed
   down <- decreasing (last up)
   return (seed:up, down)

increasing seed = trend (<) seed
decreasing seed = trend (>) seed

trend :: (Monad (Parser a p)) => (a -> a -> Bool) -> a -> Parser a p [a]
trend f = many1WithContext (satisfy . f)

manyWithContext p = Greedy.option [] . many1WithContext p

many1WithContext p seed = do
   n  <- p seed
   ns <- manyWithContext p n
   return (n:ns)


Thanks,
Greg




On Nov 7, 2007 5:02 PM, Joel Reymont <[hidden email]> wrote:
I need to pick among the usual list of suspects for a commercial
product that I'm writing. The suspects are OCaml, Haskell and Lisp and
the product is a trading studio. My idea is to write something like
TradeStation [1] or NinjaTrader, only for the Mac.

It would be quite nifty to use SPJ's financial combinator approach
and, for example, embed Yi (Haskell editor).

One of the key features of the product would be the ability to model
your trading logic using a trading DSL. I'm thinking that this DSL
could well be Haskell but I'm concerned about stepping into a minefield.

I will need to embed GHC into the app, for example, and I understand
that the GHC API does not offer unloading of code at the moment. I
would prefer not to bundle GHC separately so I don't think the hs-
plugins approach would work for me. Maybe I'm mistaken.

Most of all, I'm concerned that my users will need to face the error
reports from GHC and could get tripped by laziness, i.e. write
something that would make the app run out of memory. Off the top of my
head I can't figure out a way to limit what my users can do without
analyzing the Haskell AST within the GHC API and complaining if
necessary.

Can someone with experience in offering a Haskell DSL to their users
please comment?

Notice that I'm not even mentioning being concerned with the
unpredictable effects of laziness. There's probably a reason why Jane
St Capital is using OCaml instead of Haskell. I'm not going to play in
that league but my knee-jerk reaction is to use OCaml or Lisp and
avoid laziness altogether. I just can't see how laziness can help in
processing real-time price data.

       Thanks, Joel

[1] http://www.tradestation.com/default_2.shtm
[2] http://www.ninjatrader.com/webnew/index.htm

--
http://wagerlabs.com





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Re: Composing trading strategies (was: Should I step into a minefield? / Writing a trading studio in Haskell)

Joel Reymont
Greg,

Can you post a couple of examples of what the trading strategies look  
like?

        Thanks, Joel

On Nov 8, 2007, at 7:32 PM, Greg Fitzgerald wrote:

>> The idea is that the user composes an 'openPosition' and  
>> 'closePosition'
> trading strategies from a combinator library and gives them to the  
> trading
> platform.  The user's trading strategies are nothing more than a  
> numeric
> parser combinators.

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http://wagerlabs.com





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Re: Composing trading strategies (was: Should I step into a minefield? / Writing a trading studio in Haskell)

Greg Fitzgerald
Hi Joel,

> Can you post a couple of examples of what the trading strategies look like?

Here are some very simple strategies, which are written in the context of just one stock.  If these aren't very convincing, could you post some more complex strategies that you'd like to see built using this library?

-- open long when price drops to 109.34
myOpenStrategy = limitOrder 109.34

-- close after done increasing or price drops below 105.12
myCloseStrategy openPrice = increasing openPrice <|> limitOrder 105.12

-- succeed when the current price reaches or drops below the given price
limitOrder price = satisfy (<= price)

Thanks,
Greg

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