I’m a bit hopeless at cooking. I can do a bit of baking, in particular chocolate chip cookies, with a secret recipe which I’ve developed over time to make the cookies chewy and particularly sweet, to suit my tastes. Recently, I made Turkish orange cookies (above) for the first time. Whilst they tasted good, I…
Category: Foreign Exchange
Foreign Exchange, General, Python, TCA
Some perspectives on FX TCA
by Saeed Amen •
At Cuemacro, we’ve been developing a FX TCA (transaction cost analysis) Python library over the past year. We are hoping to open source parts of the library, provided we can find sponsorship for the TCA library. By open sourcing the basic framework of the library, we hope we can unlock the benefits of crowdsourcing from community to…
Data, Foreign Exchange, Macro
Want to use machine readable news to trade?
by Saeed Amen •
Before the written word, information flow was severely limited. Whatever, wasn’t in human memory was basically lost. To use a computing parallel, it was as if everything was in volatile memory. By constant, having the written word, meant we could store words on long term storage mediums, such as stone, later paper and now digitally.…
Data, Events, Foreign Exchange, Python
QuantCon NYC 2018 review
by Saeed Amen •
John Fawcett, founder of Quantopian with Rich Newman, FactSet A big reason people visit New York is for the burgers, right? You’ve got Shake Shack, Minetta Tavern, the Burger Joint… I could construct quite a long list. OK, that’s probably just a reason which encourages me to visit New York! At the end of…
Foreign Exchange, General, Python, TCA
What I’ve learnt from developing a FX TCA library?
by Saeed Amen •
Reading is a great way to learn. However, it’s the practice of that knowledge which is a key part of the process. For example, you can read a lot about an area in mathematics, but it’s only once you’ve sat there for hours struggling to solve some problems that you begin to understand it. It’s…
Foreign Exchange, General
Regime change isn’t just for politics
by Saeed Amen •
In the past, in the UK, if you wanted a burger, well, you went to McDonalds. Perhaps there was the odd Burger King or Wimpy too. Burger-wise they were simpler times. Today, there’s been a total change in the regime, when it comes to burgers. Do you want a “fast food” burger, like McDonald’s, a…
Data, Foreign Exchange, General
At the chart of the matter & finding market patterns
by Saeed Amen •
I recently retweeted a link to a rather interesting tutorial on machine learning given by Google. One of my Twitter followers (@grodaeu) replied ‘totally missed opportunity to go “Learn machine learning by taking the same machine learning course 10000 times’. Ok, so I chuckled a bit after reading that reply. However, it did make me…
Data, Foreign Exchange, Python, TCA
Why create an open source FX TCA library?
by Saeed Amen •
The idea of transaction cost analysis (TCA) has been around for years. As the name suggests, it is analysis that can be done to understand how much you are paying for your trading. At its simplest level, it can involve calculating the slippage between the market mid and your executed price. If we are doing FX…
Events, Foreign Exchange, TCA
Review of TradeTech FX USA 2018
by Saeed Amen •
Markets only go up, right? Well, equity markets, in any case. February proved that perhaps this isn’t that case. However, whilst equity cash and vol markets were rattled, the effects on FX more broadly, were relatively tepid. The USD did strengthen, but only modestly, and since then most of those gains have reversed. Against that backdrop,…
Foreign Exchange, General, Macro
Fooled by randomness?
by Saeed Amen •
Nassim Talib’s book entitled Fooled by Randomness, is a great read. The central premise is the idea that people mistake randomness for something meaningful. We always want to find an explanation or a cause for something, even if there isn’t one. Markets are inherently noisy. It isn’t always possible to understand “why” a market moved…