I have always been interested in statistics and machine learning. Boring, you say. Yeah, I like it when that is most peoples’ opinion. It leaves more for me.
These tools give me an edge at predicting things. What things? I always think of things like the stock market, NFL games, and horse races. Things you can bet on. If software can do it for me and do it smarter than I am all about it.
How I won a bunch of cryptocurrency
When I first heard of cryptocurrency, I thought it was a neat idea, but I would not put my money in it. Then I entered a stock trading contest and won some. I didn’t check the wallet for 6 months because I didn’t even know how to use it.
But when I did, it was worth five figures in US dollars. So I opened a Coinbase account and tested cashing some out. It worked! It was real. The cryptocurrency bug bit me, but manual trading was too slow. I wanted to find a trading bot to trade for me.
Open source cryptocurrency trading bots were lacking
This was at the end of 2017, when Bitcoin had just hit 20k for the first time. I had done some investigation and knew some features I wanted.
- I wanted to do back-testing, so I could test a trading strategy on historical cryptocurrency prices.
- I wanted it to use the ccxt library, because it covered the most exchanges. If a bot didn’t use this, chances are the developer spent a lot of time writing this functionality instead of other necessary features. I also wanted to try arbitrage and the more exchanges I could connect to, the more arbitrage I could do.
- I wanted it to be in a programming language I knew.
There were a few other things I was looking for, but after looking through Github repos for hours, I settled for the list above.
I forked the best cryptocurrency trading bot I could find
A trading bot is usually a full application, not a library you can add to a project. I knew I would end up forking and modifying a project at some point. The Github project that fit the bill at the time was Titan. It checked all the marks on my list, plus it used threads in Python, so I saw that I could probably break apart parts of the application to make it quicker and handle a bigger load.
The next month went by in a blur
The cryptocurrency market was going strong, and I wanted to get this running. So I worked on it with every spare minute I had and my list of features to add to my fork, which I called KryptoBot, grew. It looked something like this:
- Simpler configuration so I could deploy to multiple servers
- SQL Alchemy so I could use models and interchangeable data sources
- Arbitrage ability
- Engima catalyst models (my second choice to fork)
- Bot integration (I thought I could have a Telegram bot to give me signals and I could reply with a trade.)
- Add (TA-lib)[https://mrjbq7.github.io/ta-lib/] to the project so I could have access to just about every indicator known to man
- Distribute the application somehow
I did all of this in a month while working a full-time job. One of the first things I did was add Jupyter to the project so I could test things quickly and print charts of my strategies.
I learned how threading in Python worked for the first time, even though I had written code in the language for about a decade. I also broke the application up into workers using Docker and Celery.
I pushed it a little too far at the end, when I had the application launch over 100 back-tests at the same time with slightly different parameters and then tried to compare the results to find the best strategy. I somehow had met my match and lost track of the threads.
But everything else went smoothly other than that. It surprised me. I had a working, if somewhat cranky, application. It did everything I had put on my requirements lists and I actually was testing some strategies that looked promising and I had made a few live trades using it.
And I made a million dollars
Not. In the end, I realized that the issue I had with my back-test launcher was something I wanted to work out. I needed it to work to use genetic algorithms to find the best strategy, and I needed to use a faster language where threads were easier to handle like Golang.
But it was definitely worth it. I would do it over even if it ended up here. I haven’t started on the Golang version yet, but now I know what I need to do. And it was the first time I wrote my own Python package, used Python threads, or used Celery.
Someday I may get back to it. It currently looks like a good time to do it. But first, I might look around again, see what’s out there, fork another project that is close to what I want, and learn some more things.
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