Professional Automated Trading

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1. paladfnMay 2020
   I would recommend "Professional Automated Trading: Theory and Practice" [0]. The code is here [1].

   [0]: https://www.amazon.com/Professional-Automated-Trading-Theory...

   [1]: https://github.com/wzrdsappr/trading-core

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2. eggyFeb 2023
   The one big use case was RabbitMQ in a messaging app, not HFT. I doubt Elixir even with Nx can compete with low-level HFT code. Python DL/ML code libraries are just wrappers around C too. Maybe if BeamAsm and Nx are used Elixir could be used for more numerical or not just distributed applications.

   I've programmed in Python and Julia, and when I worked at an engineering (mechanical, entertainment engineering) company, Julia was great for its similarity to Matlab. I am a self-taught engineer, so I did not get pulled into Matlab in college.

   Personally, I took to Erlang, so I could write plugins for Wings3D back in the early 2000s, but I never stuck with Erlang, or Wings3D (Blender3D was my choice and I even contributed to have it go opensource way back when). I like Erlang's syntax better for some reason, although Elixir's is beautiful too. I was not a Ruby programmer, and I had delved into Haskell and Prolog, so I think Erlang made more sense to me. I think Elixir has a lot more momentum behind it than Erlang, but at the root it's Erlang, so I think I'll stick with Erlang for BEAM apps. My favorite language is April[1] (APL in Lisp), and given my love of J, would be a better fit for any finance apps I might write. I am trying to convert some of the Lisp code in this book, "Professional Automated Trading: Theory and Practice" to April.

   Maybe I'll write some equivalent Elixir code to compare.

   [1] https://github.com/phantomics/april

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3. eggyFeb 2023
   I have been working my way through a 2013 book, "Professional Automated Trading: Theory and Practice" that uses Lisp as the language to implement a trading system of different frequencies using concepts from artificial life and control theory (I recall studying all of the stuff coming out of the Santa Fe Institute in the late 80's - Artificial Life I, swarm intelligence, etc.). Some of the AI/AL stuff is dated, but the trading knowledge covered and how to build an automated trading platform are great. He covers a lot of ground very concisely and based on solid experience. I love Lisp, so that was also why I gravitated towards this book.

   I am currently into the April programming language, Array Programming Reimagined In Lisp[1], and I may try to implement the mathy parts of the book's code in APL and the remainder in Lisp as presented with some improvements. April is very flexible and takes advantage of the libraries and symbolic processing of Lisp. The creator of April just switched it to lazy evaluation from eager evaluation last month.

   [1] https://github.com/phantomics/april

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4. srazzaqueMay 2020
   Common Lisp on SBCL.

   I lived on the JVM for quite some time (and still do), and I wanted to explore other ecosystems out of sheer curiosity. Got to playing with Lisp/SBCL, some initial tests showed it was pretty quick, and was impressed that I could disassemble functions in the REPL and iterate rapidly. Then a while later... I noticed there wasn't a FIX library at around the same time I was exploring creating my own trading models.

   So I can't say there was a lot of analysis across the different Lisps, etc. Had the coin flipped a little differently a while back this might have been in Racket. Also the choice of language in the book Professional Automated Trading[1] did influence me somewhat.

   [1] https://www.wiley.com/en-us/Professional+Automated+Trading%3...

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