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VisoTech Presenting at PyDays Vienna May 4

Auto-trading with a synthetic market: AI-driven back-testing environment

VisoTech Presentation at PyDays Vienna

Did you ever stop to think how an automated trading algorithm is tested? It’s much more challenging than you might realise. A trading algorithm has to interact with live market data, analysing available orders and selecting those that fit the desired strategy. But live trades cost real money – even a small bug could be very expensive. Forget to account for some worst-case scenario and the results could be catastrophic. Thorough testing before go-live is absolutely critical.

Real market data is readily available and can even be read in live. But the lack of a realistic testing environment prevents the performance analysis of the trading algorithms. In particular, how can we know how the market would react to trades executed by our algorithm, without actually trading live on the market? How will the algorithms perform over time?

At PyDays Vienna, Austria’s largest event devoted to Python development, VisoTech developer and data scientist Larisa Chizhova will explore a possible artificial intelligence-based solution that we call a synthetic market. Recurrent neural networks, in particular long short-term memory neural networks, are very powerful tools for recognising and learning patterns evolved with time.

In her talk she will show:

  • how a suitable neural network can be created in Python, including specific tools;
  • how it can be trained to learn the behaviour of a real energy exchange;
  • how it generates market activities emulating the exchange.

If successful this approach will enable us, and eventually also our customers, to test trading ideas in a more realistic simulated environment, and also to utilise AI for creating more sophisticated trading algorithms.

Want to learn more? Come to PyDays Vienna May 4 at 3:30 pm to get the full story!

 

About PyDays Vienna

PyDays Vienna is Austria’s premier event dedicated to the Python programming language. With speakers on diverse topics covering automation, web development and data science, and numerous hand-on workshops, there is something for all levels of experience. Meet like-minded people, learn from each other, discuss the latest trends, and have a good time!

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