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Ask HN: Anyone designs financial engineering tools as a hobby?
98 points by somebodyaround on May 17, 2018 | hide | past | web | favorite | 63 comments
I enjoy doing this stuff but it's tough to find others with similar interests since I moved to the boondocks many years ago although it's super easy to find people looking for financial engineering jobs.

A bit different from what most financial engineers are interested in, but I'm in the process of developing a linear programming model for the US tax code so you can do long term tax optimizations based on your financial profile and goals. It was a lot harder than I anticipated but got a PoC working recently. Ugly landing page at https://smarterpath.co

Signed up. I have been on working on something similar for my own use. Would be glad to chat with you. Email in my profile.

Signed up! Your site doesn't look that bad - I actually like the layout. If you don't mind sharing, what did you use to create the landing page?

Yup good ol' wordpress with the Contact Form 7 addon for the early access sign-up. Would like to do a redesign at some point to make the value prop more obvious, but getting a public beta out has been the priority recently.

Doesn't anyone use the "View Source" option in browsers? It's WordPress.

We created a tool used in niche fixed income asset-backed securities (which are heavily engineered). We crawl EDGAR for ABS-EE filings which are posted in XML, clean and standardize them, drop them into a data base and then allow users to create instant stratifications of the portfolio (rather than having to download the 80k row loan file and run pivot tables).

This allows someone buying the B tranche of FORDO 2017-B to see how many people in Florida are 30-60 days delinquent, what model car they drive, the LTV, etc.

100% free: https://finsight.com/product/us/abs/ee

Note: this is not exactly a "hobby" but we offer all of these services 100% for free without restriction so thought I would share regardless.

which tool are you using to parse the xml? a long time ago i used arelle but it didn't work really well.

I'm the odd one out. I've been writing automated trading software since 2007 as a hobby. However, I'm not looking for a job doing that. 1) It's profitable enough to do it on my own. 2) I have a gig right now doing time series analysis for a company that isn't financial, which imho is just as fun (if not more), but has a bit more potential to benefit the world. 3) When I get a job doing a hobby it has the potential to burn that hobby out. It's not about making money, but enjoying life, and being a bit competitive is fun.

PhD in signal processing, amateur algo trader & economist and software engineer by day (not in the finance field unfortunately). I want to live your life!

Then go do it!

For me, I like doing the impossible. If no one has done it before, I don't need to get bogged down by books or stackoverflow. (And, you don't need a degree.) I have to figure out new ways to solve a problem. That's what makes programming fun and that is what makes this sort of stuff fun.

Like just the other day I figured out how to compress arm movement down to, so far, 4 variables (all floats atm), for every reasonably large change of movement. (Though, for small tremors while walking and other kinds of movements I'll need to output some more data.) My goal is to increase the accuracy of the signal beyond the initial noisy accelerometer data. The pain is going to be proving it through a high speed video camera or something else (Got any ideas? lol) because I'm designing this to be accurate to real life arm movement, not accurate to initial data. (If you're curious, an ellipsoid, plus an axis for like looking at a watch, and possibly a magic number or a large radius for a straight line.)

Does HN do PMs? If you want to hang out we probably have a lot in common. Though, I'm untrained and just kind of unusual.

Oh btw, I'm not sure if it is obvious, and not like I've read a book on the subject, but as far as economics goes I would think meta macro economics would help day trading. But what do I know? I'm just a rabbit.

Could you list your email address in the "About" section of your profile? I'd like to contact you. Thanks!

What platform do you trade on? Do you use a broker or trade directly on an exchange?

Interactive Brokers. If you're in the US, I can't recommend them enough.

I made some resource management tools that helped me in MMORPG's (ex EVE, WOW) and they had potential for real-life usage. There was also a episode in my life where i tried to predict random using simple neural nets in roulette, lottery and some stock markets. Fun thing to do but time-consuming.

Both of these sound incredible cool, is there a Git repo to check out or something?

Resource management tool was made before git when SVN was a thing so im more than sure that it doesn't exist anymore. That neural net thing may still be alive, but buried deep on my workstation. I'll look for it and publish it on git eventualy. There is also particle swarm optimization lib i made for it here: https://github.com/CreoOne/ParticleSwarmOptimization

Actually You made me think about going back to it. Thanks!

Well, you motivated me to actually get started with something like this - doesn't mean I can actually beat my procrastination, but if, you definetely played a big part in it. So thank you!

And if you go back and modernise it, I'm still interested in Github links :D

At one on the previous jobs I wrote a tool which takes a list of bonds/equities trades and ties buys and sells in order to count PnL. The idea was any sell should be connected with one or several buys/repos. Like, I sell 100 bonds , so I should take them from 5 buys in correct order (FIFO).

It seems easy to do this but there are tricky operations like REPOs when you have to 'borrow' papers from a reversal REPO to perform a sell or REPO operation. Then you should close this hole with a next papers arrival. I wanted to attach some web interface to visualize these crazy buys-sells-repos chains but at some moment I left that company.

I want to rewrite that tool as a side project but not sure if it would be helpful for anybody.

I also had a previous job doing exactly that... but it was an billing / accounting system at a print company.

Certain large customers (a bank, an airline) had contracts where they would order large batches of printed forms, luggage tickets, sick bags, etc, at some negotiated quantity / price (taking into account the size of the print run, our capacity at the time, etc.). We (the print company) would then print it and warehouse it, and ship it directly to their individual locations in smaller batches as they ordered it.

The billing was done on some cost + shipping basis, so at the end of the month you'd have to look at everything that was shipped, work out which original batches going into inventory that came from on a FIFO basis, and then use that as a basis for the cost plus billing.

It was a horrible messy old codebase, and it was sometimes difficult to explain the results.

Anyway, I just thought I'd share this as an example use-case for a sufficiently generic / flexible / reliable implementation of your potential side project.

It is the interesting idea to make this tool as generic as possible! Like a framework for matching different types of events based on some rules + a visual explanation for any chain of matched events. Perhaps I should think about this idea. Thanks!

Yeah, and the visual explaination part is actually just as important as getting the right results. For any complex system with financial impact there will always be people claiming that the output is wrong, so you need to be able to quickly and easily justify everything.

Yes, I agree. Sometimes there were so tricky cases that it was impossible to explain why that tool matched those deals.

I am developing Crypto analytic tool. It's like the fund, analyze your portfolio, show potential gaps and currency there you can invest. So you need to make an investment decision, the platform only shows information and analytics.

I am not sure if it matches what you are looking for, but backtrader [1] is a nice tool for trading strategies, worth a try.

[1] https://www.backtrader.com/

It's more a portfolio tracker than a financial engineering tool but I have been thinking about adding some correlation / variance measurement to optimize portfolios, see the blog:


I’ve been writing algorithmic trading software and back testers as a hobby for a couple years now, and what surprises me most is how it is possible to have decent profits without mad financial skills. The trick is good quality data and a couple spare hours a week! A rooky mistake I have made is losing too many days trying to hack myself a good source of data, so I can only recommend paying a few bucks for a reliable one. You can definitely have a good time (while making money) with basic swing trading algorithms and a bunch of historical end of day data like https://www.gourgane.io

I've had a similar problem to find proper data for cryptocurrencies while I was writing my trading tool. It was quite some work to set up a proper infrastructure to get the data. Though eventually I turned that into a full service. You can check it out on https://coinograph.io

Oh nice! I will give this a try

Is there any way you can give more details on...

Where you trade? What sort of trades? How much capital to start doing something like this?

I have been using Questrade for a while (I’m from Canada) but they are closing their API so I will have to switch to Interactive Broker...

My algorithms are mainly swing/long term, so making a few trades a month. I like to trade and back test ETFs like SPY and SPXL since they have high volumes and are more easy to « predict ».

I started with 10k and it didn’t feel risky at all since it was post 2009 :)

Any resources on learning swing/long term algorithms that you mentioned?

I'm a software engineer and I developed trading algorithms just by playing around and visualizing data. Once you have historical data, technical indicators and a simple back tester, you can test some trading strategies and get feedback quickly. Graphing the output of your tests to analyze the annual return over time also helps a lot to design algorithms.

I have limited financial knowledge but I would recommend reading about technical analysis and technical indicators (This one is short and sweet https://www.investopedia.com/university/technical/) just so you can grasp the basics.

I don't generally, but I've been hacking away at the infrastructure for high frequency trading crypto currencies for a while.

I originally just wanted to do arbitrage trading, so I built a simple tool to find opportunities using pre-existing services.

But as I slowly learned more about it, I had to expand it into monitoring the exchanges in real time with orderbooks and past trades to get around annoying false positives in my original system.

It's pretty interesting, but I haven't had the time to work on it recently. Plus the increased efficiency of the markets has made arbitrage trading a lot less desirable in 2018.

I would be happy to discuss it with like minded people.

Count me in, would love to get on a discord server or IRC channel.

edit: sorry, should point out I've been doing the same for a while and have hit some challenges I'd love to discuss.

Me too! I would like to chat

Reach out to me. Contact info in profile.

I have the same path. There is the small opportunity in crypto space. But it's enormous work to make it stable. I would like to chat.

This sounds interesting. I’d be interested in hearing/seeing more, if you want to share.

What about smaller altcoins, is it the same?

I just made a visualization tool recently.


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Firefox on windows 7 IE does not work either

Clearly, I didn't test on Firefox :( thanks for bringing that to my attention.

Experiencing the same thing on Firefox 60 running on XUbuntu

Nice. Seen anything interesting with your tool other than the amazon observation? You should update your resume with this, scatterstocks.com. The autocomplete feature isn't working with Firefox Quantum(60) on Windows 10.

Definitely the Apple example I used. For example, when Apple acquired the Google AI Chief, Google definitely takes a dip.

There's also one with a headline "Tesla stops Model 3 production" or something, and Ford, GM and Chrysler go up

That's a really neat site!


Thanks for the compliments.

Super cool

Thank You

I'm currently developing a python wrapper for the IEX API:


(work in progress)

I plan to integrate it into a larger project.

I'm coming from a biology/bioinformatics background - so I don't know too much about finance but this is my effort to learn about it.



Under heavy development and simplified. Removed the trading bots part and focusing on realising 'social overview + price alarms' for now.

Only check on chrome svp

I'm working on a (h)ledger replacement and have already a working version. Hope to release it in a few weeks.

Interesting, doing the same in OCaml right now

Quantlib api as a hobby: https://quantra.io

Backtester by author of quantstart: https://github.com/mhallsmoore/qstrader

Looks good. If you don't mind me asking, what did you use to build you web application (at https://terminal.quantra.io/)?

I guess it's a hobby right now but I hope it's not eventually.

Can i just say that I wish there was some kind of repository of information for drawing charts. And there are so many different kinds of financial charts that's it's a bit intimidating.

As someone completely oblivious to this world, is it possible to get an outline of what strategies are being refined by the tools mentioned in this thread?

This sounds interesting, do you have any examples of your projects?

I develop some algo-arb tools for trading

No, but I appreciate people who do.

I used to.

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