Most times I go to a burger joint, I seem to be happy. Is there correlation or causation, when it comes to my state in these instances? I would argue that there is some causation going on here, in that going to burger joint makes me happy. I’m pretty sure, most folks would agree with…
Category: Data
Data, General
Getting buy in for alt data
by Saeed Amen •
When I buy a steak, the motivation is relatively simple: I’d like to eat it. The same goes for a burger. Or indeed, some cheesecake. I suppose I could derive some value from snapping a photo of it and putting it on Instagram, without eating it, but that frankly seems like an utter waste. Ultimately,…
Data, General, Python
Why try Linux for Python and how
by Saeed Amen •
I went on a long walk yesterday. You could argue that it was pointless. I was going nowhere in particular, and ended up where I started. However, on the way I got a bit of exercise, and it was a nice break from being at home. Another good reason is that I often seem to…
Data, General, Macro
Managing risk through planning
by Saeed Amen •
Today is July 4th. For America, it is a day of celebration recalling the Declaration of Independence. As well as remembering the past, it is also a time to think about the present and to think about the future of America. This year, more than any in the recent past has been a challenging…
Data, General
Finding the missing data factor in a trading strategy
by Saeed Amen •
Something’s been missing the past few months. It’s been pretty easy for me to identify that very specific missing element… burgers. I have made my own burgers at home, and they were pretty good. Yet, there were still something missing. It’s not quite the same as the ones you get at Burger & Lobster, and…
Data, Foreign Exchange, General
Political market making
by Saeed Amen •
It is challenging to understand how to model external shocks when trading financial markets. However, in recent years, it has become particularly notable that these risks, such as Brexit, the election of Trump, or coronavirus can greatly impact markets. Hence, we need to have a way to model them. In this paper we investigate the…
Data, Foreign Exchange, General, Python, TCA
Using Python to explore FX market microstructure
by Saeed Amen •
I am sure like most readers, I’ve lost count of the number of weeks since things were “normal”. When will things get back normal? Maybe weeks or more likely months? I suppose that using a Python function random.random(), might be the best approach here! However, in the meantime, I’ve been trying to work hard at…
Data, Foreign Exchange, Python, TCA
How to do TCA with tcapy in Python
by Saeed Amen •
Over the past few years, I’ve been working on tcapy, a transaction cost analysis library in Python, which I’ve recently open sourced. As a result I’ve been thinking about TCA for a long time. Why is it important to do transaction cost analysis on your trades? Ultimately doing TCA can save you money on your…
Data, General, Python, TCA
Speeding up tick data calculations in Python
by Saeed Amen •
Time, time, time. At the current moment, we likely have a bit more time than usual. Despite this, it’s unlikely any of us actively want to wait longer for code to execute! Last week, I wrote about libraries for working with large datasets, like Dask and Vaex, or using databases like kdb+/q. This week, I’ll…
Data, General, Python
Libraries for large datasets in Python
by Saeed Amen •
People say the best way to learn something is to teach it. It’s obviously a bit of cliche, but I have to admit it’s one of things which really does ring true. When I’m researching the markets or coding something, I’m generally pretty focused at the task at hand. I’ll learn what I need to…