High Frequency Trading on the Coinbase Exchange

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I’ve recently started trading bitcoins algorithmically on the new Coinbase exchange. After reading about high-frequency trading in the book Flash Boys by Michael Lewis, I decided I’d give it a shot myself, albeit in a clumsier, more amateurish way. The experience has been fascinating, both on a technical level, and in a strategic sense. Writing logic that controls money itself is a strange thing. Setting it loose for the first time, knowing that any bug could literally throw away cash, was terrifying. Bitcoin is an incredibly open system that is particularly friendly to no-name developers. The exchanges have open API’s that allow anyone, literally anyone, to trade. There’s no premium access, no expensive trading floor credentials. It’s totally open – I love that. Shark infested waters As I’ve designed my trading bot, I’ve come to realize how much strategic depth there is to these sorts of games. The exchanges are already rife with trading bots; these are shark infested waters. Bots dance around each other in a chaotic swirl. They employ so many diverse strategies. It’s like so many microbes competing in the primordial ooze. Entering into this environment, I had to be immediately cognizant of other bots. Algorithmic traders …