There is a lot emphasis these days about developing a quantitative skill set for markets. Learning Python for example helps you do number crunching on large datasets. Having a grasp of statistics enables you to decipher the relationship between various market variables. All this stuff is important if you want to develop a trading strategy.…
Category: Python
General, Python, TCA
Cooking up a coding meal
by Saeed Amen •
Which is easier, ordering a takeaway or cooking a meal yourself (for sake of argument, a burger!)? Purely, from a time perspective, clearly, a takeaway is quicker, However, there are drawbacks. It will tend to be more expensive. Furthermore, it’s more difficult to know what’s gone into a takeaway. By contrast, if you cook everything…
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…
Python
Making Python parallel: a few points
by Saeed Amen •
If you want code to run super quick, you could write it in C++. If you want to code something super quick, you could write it in Python. Is there a middle ground where you can get Python code to execute quickly, without having to go through the process of writing everything in C++? One…
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…
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…
Python
Tips and tricks to speed up Python
by Saeed Amen •
I can’t walk 5km that quickly. I could just blame it on my legs. Alternatively, I could instead try running, and hey presto, I can cover 5km a lot quicker! Python isn’t the fastest language out there. It’s certainly quite a bit slower than C++ or Java. If my Python code is slow, I could…
Data, Foreign Exchange, Python
Data for analysing cryptocurrencies
by Saeed Amen •
Currencies have been around for a while. For developed markets we have had freely floating currencies since the 1970s, so you have copious amounts of data to backtest. Many emerging markets currencies also have a reasonable history. There are of course complications, such as different currency regimes, where currencies have been pegged for part of…
Data, Foreign Exchange, General, Macro, Python
Hundreds of quant papers/libraries from #QuantLinkADay
by Saeed Amen •
I tweet a lot, perhaps too much. The question is always what shall I tweet about? Sometimes it’s about burgers, other times it’ll be some puns or there might even be some vastly impressive observation in a tweet I make (well, perhaps not, but we can always hope!). Over the past 2 years, to give me…