experienced prop trader details his custom Python algo trading setup

Discussion in 'Automated Trading' started by Jack_Larkin, Mar 31, 2019.

  1. fan27

    fan27

    Sounds tight! I have a C# .NET Core ML implementation but I had to write it from scratch. It suits my needs but the Python ecosystem definitely has more to offer in terms of ML libraries.
     
    #21     May 1, 2019
  2. istavnit

    istavnit

    The fundamental difference is real support for tuples/vectors and operations on them. Many of the operations have direct counterparts in CPU/GPU and do not have parallel in C#.

    I don't know why anyone would do anything ML in anything other than python.
    1. In order to get proficient in ML, one had to go through a gazillion of python examples. It would take a deliberate effort not to learn it.
    2. Just complete lack of anything remotely matching python ecosystem. A glaring example would be a Light GBM. Microsoft-developed ML library that does NOT have C# interface.
    3. Subject matter at hand (building ML-based trading sys) is complicated enough, why make it any more difficult with exotic tools that WILL have spotty support.
     
    #22     May 1, 2019
  3. fan27

    fan27

    Python was not the right tool for what I needed. I had specific requirements and .NET Core worked perfectly.
     
    #23     May 2, 2019