6,243 reputation
31660
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 10 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.


Sep
8
revised Where does CME store Security IDs for FIX messages?
Added "cme" tag so that future visitors may benefit.
Sep
8
revised Ordering of CME Level 2 FIX Market data?
This question has nothing to do with backtesting.
Sep
8
revised Where does CME store Security IDs for FIX messages?
added 568 characters in body
Sep
8
revised Where does CME store Security IDs for FIX messages?
added 113 characters in body
Sep
8
revised Where does CME store Security IDs for FIX messages?
This question has nothing to do with backtesting.
Sep
3
revised Test for stationarity and make use of non-stationary points in financial market?
Formatting
Aug
29
revised Question about option theta
LaTeX
Aug
20
revised Trade matching versus affirmation
Removed signature line -- advertising is prohibited here.
Aug
16
revised Black (1976) model: relationship between spot and forward prices
LaTeX
Aug
15
revised futures wiki description
added 1 characters in body
Aug
14
revised Is HMM of Volatility any different from a simple filter?
typo
Aug
13
revised Electricity volatility smile
typos
Aug
10
revised Black model - volatility estimation
Formatting
Aug
8
revised Growth of Order Book size during day
Formatting
Aug
6
revised How to price an option with two volatilities?
LaTeX, typos, idioms, punctuation, etc.
Aug
5
revised How to choose a rolling window type and size?
Removed all the stuff that had nothing to do with the question.
Aug
3
revised How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?
English. Always the English
Aug
2
revised Trend in Cointegration relationship
English
Jul
31
revised How do you handle order tracking (without unique Lot ID's)
Formatting. Always formatting
Jul
30
revised Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
typo