trading

README

Trading Signals

http://trading-signals.net

Collection of the micro-services for the algorithmic trading

There are a lot of signal happening all the time, which could influence the trading pattern. Usually, in past days trading solutions were built as a monolith application. Moreover, there is a huge infrastructure for the processes automation: bash, python, perl, puppet, crontasks and so on. Those infrastructure not only have the price, but also slow down the data circulation process. That process could be explained as follows:

1. application produce the data: logs, data from vendors, etc.
2. rotation move the data to the storage
3. aggregation takes the data and prepare aggregates
4. data analysis takes the aggregates and data and produce the models
5. deploy takes the models and reload the application
6. goto step 1.

The whole cycle could be hours. But during the high-frequency trading it is necessary to get signal as soon as possible. Actually some companies to build dedicated, physical network channel just because they want to react on the trading changes faster than the others.

Of cause, for this particular project is not about such speeds, but if it is possible get some signals in a seconds and infrastructure cost are close to, say 50$ per month, that is also not bad.

Data sources

• CryptoCompare() - https://www.cryptocompare.com/

Quick start

• Process Installation steps
• Process Configuration steps

run the docker-compose

docker-compose up -d

create signal

curl -v "http://localhost:8080/signals/trend" -X POST --data @.signal.trend.payload.resolved

check the logs

docker-compose logs

Installation

Clone the repository

git clone http://github.com/mshogin/trading

install docker and docker compose

please follow https://docs.docker.com/get-docker/ or run simple puppet manifest

sudo puppet apply deploy/profile.pp

To check docker-compose installation

$ docker-compose -v
docker-compose version 1.21.2, build a133471

Configuration

It comes with the default configuration of the application which is located in the configs directory.

Currency pairs values vendor:

At the moment we support cryptocompare.com only. You should obtain the api_key please follow the next document: https://www.cryptocompare.com/coins/guides/how-to-use-our-api/ Once you got api_key you need to

• put it in the system config
• or put it in the .env (see .env.example and https://docs.docker.com/compose/environment-variables/).

Google PubSub

(see https://cloud.google.com/pubsub/docs/overview)

Configuration steps:

• Create GCP service account and grand RW access to the topics
• Create topics in the GCP PubSub (see config/system.toml:Google:Topics)

Architecture

Messages flow

The basic workflow could be described as the following: user, using REST API, creates a signal he wants to receive. Once signal is created and placed in the DB, the restapi service sends a message to the signals service to inform about new signal. Then the signals service do the following:

• sends the message to the ticker service to set up a new subscription
• subscribe to the ticker.tick messages and set a process-tick callback
• once the next ticker.tick comes to the callback, the signal checks its conditions
• once conditions are met the requirements, the callback sends the following notifications
  • to the notification service, to send the email notification to the user
  • to the ticker service to remove the subscription
  • to the restapi service to update signal status
  • and remove ticker.tick subscription in the signals service

Consider the ticker service. Once it gets the message about new subscription it does the following:

• increment subscription counter (there could be several signals with the same asset)
• if it's the first time subscription, ticker requests a new subscription on vendor(cryptocompare for example)

The subscription counter is responsible for the life-time of subscription on the vendor. That means that the ticker unsubscribe from the vendor ticks only when the last signal is resolved.

Topics and events

There is a list of the topics:

• restapi
• signals
• ticker
• ticker.tick
• notification

Contribution

Please feel free to submit any pull requests.

Contributor List

User
mshogin