I’m working on something pretty fun right now, it’s a rust NIF for performant chart analysis. PineScript is a really efficient language for testing ideas, but its usefulness falls off as soon as you get past the basics, so I think there’s a neat opportunity to build an equivalent in elixir and rust.
The way that PineScript works under the hood is that it generates a table, where every candlestick in the chart is a new row in the table, and each variable in your script generates a column in the table. So I prototyped a fixed-length rolling table in elixir, but I think the performance boost from using rust and a NIF would be worthwhile. I’ve also wanted the opportunity to write a NIF, and just needed a use case I’m invested in.
Some additional motivation: PineScript also has zero support for strategies that involve more than one asset, so strategies like stat-arb are out of the question. I’m planning on solving that, as well as portfolio-wide testing.
I’ve spent a lot of time with QuantConnect lately but I keep coming back to elixir because python and C# both irritate me.
I will probably reimplement the trade indicators in rust and provide a NIF for elixir. I’m also thinking about the potential to write elixir macros to make indicators and trading rules really concise, but I don’t know if that will be warranted, I’ll see when I get there.
Just wanted to share this in case anybody is interested.
