6,108 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 2 months
seen Feb 13 at 20:30

Feb
8
awarded  Good Answer
Jan
31
awarded  Yearling
Jan
7
answered HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
Jan
7
answered FIX binary decoder
Dec
14
comment Why does the adjusted closing price take into account dividends?
@ThomasMcLeod The close is the closing price for any day before the ex-date. You can (and probably should) adjust all prices before the dividend by adding the dividend back. That will allow you to compute cumulative returns over a time period.
Nov
21
revised CVA DVA and Bilateral adjustment
Removed signature
Nov
21
revised Accrued Interest in CVA DVA
Removed signature and cleared-up some of the writing, though it's still hard to read.
Nov
21
reviewed Approve suggested edit on Finding Probabilities Using The Binomial Model
Nov
21
reviewed Reject suggested edit on What's the difference between volatility and variance?
Nov
21
comment Can I trade the volume of a security or index?
I've never heard of a volume-linked instrument, but since volume and volatility are often related, you might be able to approximate what you want via a volatility-linked instrument.
Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Rather than simply provide a link, you could explain why HDF5 is efficient. How is the data stored? What searching capabilities does it provide? Etc.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant Let's say your firm posts \$10M with the prime broker. And let's say the firm's P&L at the end of the year is \$1M. That's a 10% return. As I stated in my first paragraph above, returns are computed based on the capital under management. If your employer felt they could get more than 10% returns from an index fund, then surely they would shut the company down and put that \$10M in an ETF. You personally might not consider returns in that light, but the backers of your firm certainly do.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant How much capital did the firm have at the end of the day? More? Less? How does your employer determine your compensation?
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
Are you asking why the curve gets smoother if you increase the timescale for the moving average?
Nov
17
answered How do I calculate Sharpe ratio from P&L?
Nov
17
revised How do I calculate Sharpe ratio from P&L?
Idiomatic English. Removed nonsensical paragraph.
Nov
17
answered Question about weighted midpoint formula
Nov
17
comment Better formula than midpoint?
Are you related to this user?
Nov
16
answered How to convert trasaction log to bid-ask ticks
Nov
15
comment How to convert trasaction log to bid-ask ticks
If you don't know what the quotes are, then you can't recreate the quotes. The trades don't tell you anything. There could be hidden liquidity. The bids and asks could have moved around a lot. Etc. You can't just recreate the quotes given a list of trades.