6,243 reputation
31660
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 9 months
seen Nov 12 at 21:39

I do high-frequency trading, mostly in C++ and Python (formerly q/kdb+). My views are my own and do not reflect the same of my employer.

My favorite answers:

Separating the wheat from the chaff

How much data is needed to validate a trading strategy

Time-series similarity measures

Column-oriented storage for tick data

A new programming language can only succeed if it capitalizes on an emerging frontier


Sep
20
revised Using QuickFIX in a C project
added 4 characters in body
Sep
20
revised Using QuickFIX in a C project
Made to be more idiomatic in English.
Sep
19
revised Fastest algorithm for extracting 25% and 75% marks
Slight clean-up
Sep
17
revised Aftcast Generation
Stack Exchange posts don't have a signature, as per the FAQ.
Sep
16
revised Calculate the “ten year zero rate” given two bonds with two prices
Removed the incredibly unprofessional opening and closing remarks.
Sep
16
revised Varswap Basis - What is it in practice?
Deleted the throw-away sentence.
Sep
7
revised Historical data on short rates
Removed signature.
Aug
30
revised Brent Crude Data
No signatures needed.
Aug
8
revised What is the best live options data API?
typo
Aug
8
revised How to limit the nbr of cross-gamma calculations in a delta-gamma VaR calculation?
Removed signature and "hardware" tag.
Aug
8
revised How to normalize different instruments by volatility?
Removed signature and cleaned up.
Aug
7
revised How credible is Knight pointing the finger at Rule 107C?
Removed URL shortener link.
Aug
6
revised Reference request: Survey article on GPU in Finance
rolled back to a previous revision
Aug
5
revised
Hardware programming is NOT about GPUs. I've scrapped the original and rewrote it.
Aug
5
revised
Hardware programming is NOT about GPUs. I've scrapped the original and rewrote it.; deleted 2 characters in body
Aug
5
revised Reference request: Survey article on GPU in Finance
rolled back to a previous revision
Aug
5
revised Limit order book size
Made to be readable.
Aug
5
revised What are some computational bottlenecks that quants face?
rolled back to a previous revision
Aug
5
revised How to choose a data center for deploying high frequency trading strategies?
rolled back to a previous revision
Aug
5
revised Help With Quant Modelling Software
rolled back to a previous revision