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seen Sep 2 '13 at 11:07

Apr
1
comment Is there any thing out there as a substitute for KDB?
1) Storing each tick as a separate record/row is neither sensible nor feasible (as you already mentioned). The most common approach is to split tick data by day and store days of data as plain arrays, either in files or in database LOBs. Such approach makes the amount of data perfectly manageable. 2) possible duplicate of What is the best data structure/implementation for representing a time series?
Dec
18
comment How to account for market movement when some exchanges are closed?
@Tal Sometimes that's a usable workaround. Just switch from thinking in terms of DD/MM/YYYY to week of year.
Dec
3
comment When people say calculate moving average for 30 days include weekends or not?
lmgtfy.com/?q=moving+average
Nov
3
comment Can social media be applied to algorithmic trading?
You can also use Google searches for that. Visit <a href="www.freakonomics.com/2011/10/07/can-google-searches-predict-stock-price-pe‌​rformance/"> this page </a> for more details.
Oct
25
comment What is a medium to low frequency trading strategy and why is it less hyped?
How did you get that fixed number (14.8 milliseconds)?
Oct
17
comment What are the typical “realized latencies” across different products and infrastructures?
This question is overly broad, I'd say - haphazard. It mixes various ideas that are commonly named 'latency': from the stock market's matching engine latency (not even mentioned directly), thru network latency to latencies introduced by third party products.
Sep
21
comment What benefits are there to employing agile software development methodologies for quants?
"software development methodologies are a religious war" - Nothing can be more true than this statement.
Sep
21
comment What to ask for in a good prototyping framework?
To the points above I'd also add a broadly understood "Database connectivity". Having to manually export data from your source just to import it into your framework is a frustrating activity that is prone to mistakes than may have disastrous effects - as the old adage says "garbage in, garbage out".
Aug
25
comment Why is C++ still a very popular language in quantitative finance?
To sum up your answer: "Risk aversion" ;)
Aug
24
comment What kind of specialized hardware is used in trading?
You'll find this presentation interesting: ra.ziti.uni-heidelberg.de/coeht/pages/events/20110208/…
Apr
11
comment How good is managed code for algo trading?
There is a guy that states (in a comment below scottlocklin.wordpress.com/2011/03/24/…) that Goldman does its CEP using OCaml. But no reference, alas.
Apr
9
comment Efficiently storing real-time intraday data in an application agnostic way
@chrisaycock "You can have a "spool" process that subscribes to your ticker plant and whose sole purpose is to log ticks every few seconds to non-volatile storage. That will take care of (2)" Note that my solution for (2) isn't designed "to log ticks every few seconds": its architecture (series as BLOBs) renders doing that ineffective, esp. as the day advances - its not possible to append data to BLOBs without rewriting them. That's why I need (1) as a separate subsystem.
Mar
6
comment How should I store tick data?
What filesystem do you use? In my case the NTFS (initially empty) broke down after putting some 18 millions (about 10 years of historical data) files into it. Then 'chkdsk' took half a day... Putting the same amount of files into a DB has proven to be much better idea in terms of performance, space and stability.