From Zero to Forex Trading Bot Hero with Node.js and Typescript

During this talk, you will discover Daniele's journey building a trading bot. From building a basic prototype in Typescript to using functional programming techniques to trade autonomously across multiple foreign exchanges and generate thousands of dollars in revenue.

By the end of the talk you will learn:

- the basics of financial trading platforms from a developer's perspective (APIs/concepts/terminology)
- how you can use the skills you've gained building full stack applications to write trading software
- how static typing and Typescript can speed up your workflow
- how functional programming can help you refine your trading algorithms and verify the correctness of your program

Transcript

1. trading bot hero @danielepolencic
3. once upon a time...
5. ! money transfer
6. have you ever noticed?
15. eur/gbp 0.88 gbp/eur 1.1364
16. send £1000 to
17. £1 ➡ €1.13640
18. ! €1136.40
19. send the money back
20. €1 ➡ £0.88
21. €1136.40 * 0.88
22. £1000.032
23. ! £1000.032
24. surely it's just transferwise
26. £1 ➡ €1.13612
27. BUY €1136.12 price gbp/eur 1.13612
28. €1 ➡ £0.8802
29. SELL €1136.12 price eur/gbp 0.8802
30. £1000.012
31. ! £1000.012
32. this doesn't make any sense
33. £1000
34. £1000 £1000
35. £1000
36. £1000 GBP/EUR 1.2
37. £1000 GBP/EUR 1.2 €1150
38. £1000 €1200
39. £1000 £1200 GBP/EUR 1.2
40. £1000 €1200 GBP/EUR 1.2 £1000 €1200
41. £1000 £1200 GBP/EUR 1.2
42. £0 €1200 GBP/EUR 1.2 £999
43. £0 €0 GBP/EUR 1.2 £999 €1199
44. £0 €0 GBP/EUR 1.2 £999 €1199
45. £1000 €1200 GBP/EUR 1.2 GBP/USD 1.3
46. £1000 €1200 GBP/EUR 1.2 GBP/USD 1.3 €1200 €1200
47. ! liquidity
48. ! just pennies
51. BUY @1.25 SELL @0.8032
52. 1.25 * 0.8032
53. ! £1004
54. 2 transactions per day 20 days per month
55. 2 * 20 * £4 = £160* * best case scenario
56. time to build something
57. ✨ 3 wishes
58. 1. ⭐
59. ! to price changes
60. 1.13612 * 0.88 = 0.99978 1.13612 * 0.882 = 1.00205
61. ! to price changes ! to order changes
62. created modified partially matched matched in full
63. ! to price changes ! to order changes ! to balance changes
64. deposit withdraw orders matched in full
65. !"# 2. ⭐ time travel
67. ⏪ market triggers debugging &
68. 3. ! bulletproof testing
70. "As part of its normal process, the UTP distributed test data and certain third parties improperly propagated the data." - NASDAQ
72. oops
73. mvp
74. scalable architecture ! MQ mysql
75. APPLICATION
76. APPLICATION WORKERS
77. APPLICATION
78. APPLICATION
79. ! overengineered
80. ! sync state
81. APPLICATION
82. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
83. APPLICATION GET ORDERS ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
84. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD
85. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GET PRICE GBP/USD
86. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GBP/USD 1.3
87. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED
88. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED UPDATE ORDER 2
89. APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED NOPE
91. mvp
93. (state, message) -> state
94. const message = { type: 'PRICE_TICK', price: 1.3508 }; const state = { currentPrice: 1.3502 };
95. function update(state, message) { switch(message.type) { case 'PRICE_TICK': return { ...state, currentPrice: message.price }; default: return state; } } const newState = update(state, message); console.log(newState); // {currentPrice: 1.3508};
96. APPLICATION
97. redux leveldb docker
98. ! redux actions & orchestration
99. Bad ❌ function update(state, message) { switch(message.type) { case 'PRICE_TICK': /* SIDE EFFECT! */ updateOrderWithPrice(message.price); return { ...state, currentPrice: message.price }; default: return state; } }
100. Good function getPrice(dispatch) { dispatch({type: 'PRICE_TICK'}); updateOrderWithPrice(message.price).then(order => { dispatch({type: 'ORDER_UPDATED', order}); }); }
101. Good function(state, action) { switch(action.type) { case 'PRICE_TICK': return { ...state, currentPrice: message.price }; case 'ORDER_UPDATED': return { ...state, openOrder: message.order }; } }
102. flow and state are separated
103. redux saga redux thunk mobx + rxjs
104. mvp
105. (state, msg) -> [state, cmds]
106. function(state, message) { switch(message.type) { case 'PRICE_TICK': return [ {...state, currentPrice: message.price}, updateOrderWithPrice(message.price) ]; } }
107. updateOrderWithPrice(message.price) function updateOrderWithPrice(price) { return { commandType: 'UPDATE_ORDER', price }; } console.log(updateOrderWithPrice(1.2)) // { // price: 1.2, // commandType: 'UPDATE_ORDER' // }
108. UPDATE(STATE, MESSAGE)
109. UPDATE(STATE, MESSAGE) STATE COMMANDS
110. UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER
111. UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER HTTP CALL CONSOLE.LOG SETTIMEOUT
112. interpreter pattern (or free monad)
113. AST const fetch = { commandType: 'FETCH', url: '/any_url' }; const log = { commandType: 'LOG', value: 'Hello World!' };
114. interpreter function interpreter(commands) { commands.forEach(command => { switch(command.commandType) { case 'FETCH': request(command.url); case 'LOG': console.log(command.value); } }); }
115. no side effects
116. APPLICATION INTERPRETER STORAGE HTTP
117. [ state, updateOrderWithPrice(1.2) ]
118. APPLICATION INTERPRETER STORAGE HTTP
119. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
120. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
121. APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS
122. APPLICATION INTERPRETER MOCK STORAGE MOCK HTTP v2
123. 1. elm 2. redux-loop 3. redux-effects
124. state + logic easier testing interpreter
125. ! monads are hard
126. mvp ! .
127. actors
128. APPLICATION ROUTER STORAGE HTTP
129. APPLICATION ROUTER STORAGE HTTP
130. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
131. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
132. APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }
133. APPLICATION ROUTER STORAGE Z Z Z { commandType: 'UPDATE_ORDER', price: 1.2 }
134. APPLICATION ROUTER STORAGE HTTP
135. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
136. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
137. APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
138. ROUTER STORAGE HTTP Z Z Z { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }
139. ROUTER STORAGE HTTP APPLICATION
140. APPLICATION ROUTER STORAGE HTTP
141. fully decoupled effects and business logic 200 LoC
142. testing
143. 1. data driven
144. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });
145. it('should update the order'); it('should do nothing'); it('should cancel the order');
146. it('should update the order'); it('should do nothing'); it('should cancel the order'); it('should NOT update the order'); it('should NOT do nothing'); it('should NOT cancel the order');
147. it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); }); it('should NOT update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should NOT do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should NOT cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); });
148. duplication duplication
149. unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; // CHANGE ME const currentTickPrice = 1.11; // CHANGE ME expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });
151. unit testing test(updateOrder, () => { given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE); given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL); });
152. unit testing test(updateOrder, () => { given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE); given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL); given({id: 1, price: 1.11, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.22).expect(DO_NOTHING); });
153. 2. typescript
154. orders interace IOrder = { id: number price: number }; const order: IOrder = { id: 1, price: 1.12 };
155. orders with state interace IOrder = { id: number price: number active: boolean }; const order: IOrder = { // ERROR! `active` is missing id: 1, price: 1.12 };
156. 3. integration
158. very hard to setup harder to maintain time consuming
159. but…
160. (state, msg) -> [state, cmd] + snapshot testing
161. const messages = [ {type: 'TICK', price: 1.12}, {type: 'TICK', price: 1.13}, {type: 'SUBMITTED', price: 1.13}, {type: 'COMPLETED', id: 1}, ]; const initialState = { openOrders: [] }; const finalState = messages.reduce((state, message) => { return Update(state, message); }); expect(finalState).toMatchSnapshot();
163. show me the !
168. !✖ initial investment
169. 957 transactions, 3 motnhs later…
171. lessons learned
172. ! js is awesome
173. proper type system transpilers functional, CQRS, etc.
174. ! trading is coding
175. not only python/r/c++ no MBA/Phd no special HW or SW
177. ! build once, run everywhere
178. bitcoin stock forex
179. hungry for more? · The Elm Architectureҁ0.18҂effect moduleϮϯ · Effect Manager ΄ͭͥΕ · How to structure Elm with multiple models? · Tribeca · Blackbird · Extensible Effects in Node.js, Part 1
180. thanks @danielepolencic