Pete

520 reputation

bio	website	pete.figliozzi@gmail.com
	location	Austin, TX
	age	41
visits	member for	2 years, 4 months
	seen	Jun 15 at 19:06
stats	profile views	120

I write automated trading applications in Java using the TWS API from Interactive Brokers. I use Python and C++ for data analysis and exploration.

	520 reputation	bio	website	pete.figliozzi@gmail.com	visits	member for	2 years, 4 months
49 badges		location	Austin, TX		seen	Jun 15 at 19:06

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Feb 11	comment	What is Quantization ? No idea, but this looks interesting if you haven't seen it: "Optimal quantization methods and applications to numerical problems in finance": proba.jussieu.fr/mathdoc/textes/PMA-813.pdf
Feb 10	comment	What is a stationary process? Downvote and no comment.. curious..
Feb 10	awarded	Commentator
Feb 10	comment	Proving Random Walk Hypothesis in Stock Market Thanks Bridge! Looks cool. I'll see how it performs.
Feb 10	answered	Proving Random Walk Hypothesis in Stock Market
Feb 9	revised	Is the Interactive Brokers API suitable for hft? microseconds-->milliseconds
Feb 9	answered	Is the Interactive Brokers API suitable for hft?
Feb 8	awarded	Nice Answer
Feb 8	comment	basic stock trading strategies I'm not depressed. I enjoy working in a non-deterministic space. :)
Feb 8	comment	What kind of basic framework or application do you use to run your trading algorithms? Imran, if I am backtesting using OHLC bars, and find an entry in bar $n$, I will generally take my backtest entry at the open of the next bar, $n+1$. This leaves some room for improvement during execution. I have also found if during execution, I do a market order entry at the start of the next bar, the actual entries are evenly distributed around the entry bar "open" price when I later look at historical data. So my point is: slippage adjustment is a function of the way you backtest.
Feb 7	comment	What is a stationary process? I mentioned it because I don't believe testing for stationarity through the behavior of the ACF is a good way to go, in general. I can understand that some people might work with series where an ACF test is sufficient. I just mean in general, I would not start with that.
Feb 7	comment	What is a stationary process? But you could have a stationary time series that is not independent, and an independent time series that is not stationary.
Feb 5	comment	Model Validation Criteria We view validation and verification as two separate processes. "Verification": does the program and model do what it is supposed to/designed to do? E.g. if it is supposed to trade when condition x is true, does it? "Validation": does it predict well enough to make money.
Feb 5	answered	What is a stationary process?
Feb 4	comment	Model Validation Criteria I am not a professional quant but I am a professional simulation modeler. I can tell you that a validation process is something that is agreed upon by all stakeholders, as there are almost infinitely many metrics and aspects of any non-trivial model that may be examined. In a nutshell, it's valid when you say it's valid, according to your standards.
Feb 3	comment	How does pair trading work? Lots of downvotes but no comments... please enlighten us
Feb 3	awarded	Editor
Feb 3	revised	What kind of basic framework or application do you use to run your trading algorithms? added Edit: par
Feb 3	comment	What kind of basic framework or application do you use to run your trading algorithms? I use Matplotlib (matplotlib.sourceforge.net), a Python library, for most visualization. The exception is when using JMP for data analysis, it has its own plots. JMP is a commercial product that I happen to have a license for through my company, and use it for convenience. There are plenty of numpy/scipy/etc. packages available for Python to do the same stuff. In fact I code stuff up in Python once it becomes part of a process.
Feb 2	comment	What kind of basic framework or application do you use to run your trading algorithms? PostGreSQL. Not sure why I use it over MySQL. Both are freely available.