Today is July 4th. For America, it is a day of celebration recalling the Declaration of Independence. As well as remembering the past, it is also a time to think about the present and to think about the future of America. This year, more than any in the recent past has been a challenging…
Author: Saeed Amen
Data, General
Finding the missing data factor in a trading strategy
by Saeed Amen •
Something’s been missing the past few months. It’s been pretty easy for me to identify that very specific missing element… burgers. I have made my own burgers at home, and they were pretty good. Yet, there were still something missing. It’s not quite the same as the ones you get at Burger & Lobster, and…
Data, Foreign Exchange, General
Political market making
by Saeed Amen •
It is challenging to understand how to model external shocks when trading financial markets. However, in recent years, it has become particularly notable that these risks, such as Brexit, the election of Trump, or coronavirus can greatly impact markets. Hence, we need to have a way to model them. In this paper we investigate the…
Data, Foreign Exchange, General, Python, TCA
Using Python to explore FX market microstructure
by Saeed Amen •
I am sure like most readers, I’ve lost count of the number of weeks since things were “normal”. When will things get back normal? Maybe weeks or more likely months? I suppose that using a Python function random.random(), might be the best approach here! However, in the meantime, I’ve been trying to work hard at…
General, Macro
It’s ok to not have a market position
by Saeed Amen •
Equity markets have surged over the past few weeks off the March low. High beta currency pairs such as AUD/USD have pretty much wiped out the losses they experienced at the start of the crisis. Whilst the speculators have largely expected falls, building up large short exposure in for example S&P500 futures, the retail “Robinhood”…
Data, Foreign Exchange, Python, TCA
How to do TCA with tcapy in Python
by Saeed Amen •
Over the past few years, I’ve been working on tcapy, a transaction cost analysis library in Python, which I’ve recently open sourced. As a result I’ve been thinking about TCA for a long time. Why is it important to do transaction cost analysis on your trades? Ultimately doing TCA can save you money on your…
Data, General, Python, TCA
Speeding up tick data calculations in Python
by Saeed Amen •
Time, time, time. At the current moment, we likely have a bit more time than usual. Despite this, it’s unlikely any of us actively want to wait longer for code to execute! Last week, I wrote about libraries for working with large datasets, like Dask and Vaex, or using databases like kdb+/q. This week, I’ll…
Data, General, Python
Libraries for large datasets in Python
by Saeed Amen •
People say the best way to learn something is to teach it. It’s obviously a bit of cliche, but I have to admit it’s one of things which really does ring true. When I’m researching the markets or coding something, I’m generally pretty focused at the task at hand. I’ll learn what I need to…
Data, General, Macro
How to improve your trading through P&L analysis
by Saeed Amen •
We learn from our mistakes. Or in many cases, we just keep on repeating them, by having a selective memory. Or we might remember our mistakes, and just blame someone or something else, when perhaps we are the ones most to blame. Obviously, in a scenario like we’re currently living in, it’s one of those…
Data, General, Python
Learn Python to automate regular market tasks
by Saeed Amen •
Over the past few weeks our routines have changed somewhat. I’ve made fresh pasta, which resembled something quite unlike any other pasta I’ve tasted. Entirely coincidentally, I’ve discovered why I should not make fresh pasta, and there’s a reason why folks buy ready made pasta. Aside from delving into the world of pseudo-pasta creation, like…