zygomega

17 ms·

31.
by zygomega 14y ago
The graphviz dot language: http://www.graphviz.org/Documentation.php It has good support in org-mode and a there's a nice haskell package that takes the dot code and turns it into an internal graph representation.
32.
by zygomega 14y ago
Yes, very loose terminology. I was thinking of a combination of two events: 1. VWAP based trading of large positions, which creates assymetric momentum effects in volume and price (and which is then somewhat forecastable) 2. Not then recog
33.
by zygomega 14y ago
That's why I thought the DNQ iqfeed was a suitable choice - no consolidation at all. Would love to know what the "interesting" effects are (beyond the fixed book CME effect) - will be looking a bit harder at the stream to find them!
34.
by zygomega 14y ago
Extremely helpful - this really clarifies the differentiation in the Julia approach and I'm excited your team is taking this direction. There's a lot of people cheering Julia on, even if we're wimping ut remaining on the sidelines. It woul
35.
by zygomega 14y ago
I get the sense that the Lodestone project is now defunct.
36.
by zygomega 14y ago
Not having to register and login is one immediate differentiator. Marketcetera is a big, big code base - I think our ambitions are more focused.
37.
by zygomega 14y ago
It does feel like I'd be swimming against the tide heading down the R path. Thanks for the offer :)
38.
by zygomega 14y ago
It's not specific, it's just my recent experience. Hadley released his bigvis package a few weeks ago, and it contains the beginnings of a weighted average routine I sure can use. mmap is a package that let me create a fast db from scratch
39.
by zygomega 14y ago
thanks mangrish, quant. How could you tell? I'm conecting with an aggregator cause the direct market feeds are monopolistic price gougers. It's an easy switch if we make it up that curve. I'm not sure if I even understand what middleware
40.
by zygomega 14y ago
Wow, that's a pretty low ranking being shoved into the patent troll category of evilness. When someone goes and patents an obvious algorithm at some point in the future and my little project shows up as prior art would I be redeemed :)
41.
by zygomega 14y ago
So, yes, on my toy wannabe hft feed, I'm currently clocking about 10 million ticks per day on about 8 futures tickers I'm tracking. The raw feed is between 1 and 1.5 gig per day. I can imagine the petabyteness of the bigger guys.
42.
by zygomega 14y ago
It is - I can't imagine working without it. But I'm not sure I'm the poster child for how to use org-mode properly. Every piece of code in the repo actually resides in the org file which is a big monolithic journal of where I'm at. o-blog
43.
by zygomega 14y ago
Classical landing page had me hooked anyways :-)
44.
by zygomega 14y ago
Isn't MtGox over as a bitcoin trading platform? I agree more generally that bitcoin could be a useful market to test out. And your story fits exactly with a hands-off automated approach to trading. We wont ever be charting a price series
45.
by zygomega 14y ago
Yep, I've poured over the technology and concepts there and its awesome. So awesome I think you can increase complexity without too much of a latency penalty. Just behind the fast guys but way ahead of the straight algo guys is where I th
46.
by zygomega 14y ago
I've been in the industry for too long (though not in low-latency) - I'm doing this to break out of the industry! And I think the finance game is long overdue for a good disruptive technologic event (not implying my humble project is it).
47.
by zygomega 14y ago
Yes, but the concurrency has been shifted to the two disruptors at either end of the business process logic. And I suspect the business logic is fairly simple and lends itself to the straight through solution. If you want to react to a news
48.
by zygomega 14y ago
Thanks Kasey, I'm probably thinking of algos more generally and generically. For example, whatever the class of trades, I think that what you are doing is making a stochastic forecast of future price movements. So maybe there's a good sepa
49.
by zygomega 14y ago
I like your thinking V, and that's not too far away from one of our ideas. Take some algos that are representative of typical market makers and trader behaviour and fit the parameters so that the simulated trading starts to look like the l
50.
by zygomega 14y ago
definitely. I intend to move all of that code into haskell once I get a handle on whether the algo design is on the right track.
51.
by zygomega 14y ago
yes. Julia looks like a quality language but suffers the usual new kid on teh block hassles - very few packages so you have to spend too long rolling your own.
52.
by zygomega 14y ago
Hi fawce, I'm a big fan of quantopian but didn't realize that zipline was a separated project. Will have a good scout around the project and see what you guys are up to :)
53.
by zygomega 14y ago
I have no idea yet. I see you're geeking out in go and there's been a lot of advocacy coming through to look at go as an alternative.
54.
by zygomega 14y ago
No need to apologise - curve fitting is a big issue. But I would think that everything that happens on kaggle would be curve fitting by your definition right? And how is the stuff that happens in brains something other than curve fitting?
55.
by zygomega 14y ago
Thanks Dan, the analogy is a stretch maybe, but most algorithms fail due to being narrow models of reality, and criticised by too few eyes. If I discover something, it's extremely unlikely that others will believe it anyway (unless I prov
56.
by zygomega 14y ago
I wish I could get down to nano units. iqfeed (a good value feed) just got millisecs in so will settle for that. I'm preparing some speed tests between C++ and haskell on an identical block of processing so stay tuned! You might be surpri
57.
by zygomega 14y ago
There is a rather large economic rent attached to HFT at the moment. If my project or others like it can eat into that rent a touch, it might not stay that way.
58.
by zygomega 14y ago
Sounds great, but way beyond either my paygrade or budget.
59.
by zygomega 14y ago
> Going from matrix operations over the whole timeseries ... to deploying to an environment that streams updates to the timeseries one at a time. I think that this is an area that haskell has the potential to excel at, given it's strong
60.
by zygomega 14y ago
I see the research as production. There's an autonomous system processing the event stream and deciding on trades that's hands free. I see that as a haskell codebase with C speedups for critical stuff, with no R anywhere to be seen. But t

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