A New Market 

The appearance of cryptocurrencies and its increase in capitalization has led many traditional investors to mathematically analyse these assets and add them to their portfolios. However, the increasing number of new cryptocurrencies/exchanges and intrinsic volatility makes the trading of these assets challenging and not accessible to many investors.

Goal

Our client lacked the in-house experience to develop a generic trading platform for backtesting crypto trading strategies. DataSpartan was brought in to resource and managed the challenge of creating the first in-house platform for crypto-trading on multiple exchanges that would help the client to do market making in this space.

Our Approach

We created a multi-disciplinary team of software developers and traders to develop a platform that was aligned with the needs and limitations of the crypto space. In addition to developing the software, we analysed the intrinsic and technical risks of the crypto space and developed the first prototypes of professional trading strategies.

The backtesting system was built in Java using Big Data technologies such as Spark Streaming, Kafka and HDFS to accommodate highly demanding exchange-transform-load (ETL) pipelines. We created a continuous data gathering system both from exchanges and other related sources such as social media which led to the the accumulation of proprietary data and signals. The live trading systems were developed using C++ and other low latency technologies.

Our Results

The system is fully functional and continues to be used by our quants to further research profitable strategies in both the high frequency and medium frequency space for market making. Currently, several market tested strategies of above market Sharpe Ratio have been found and are traded by our partners.