I’d love to be able to cook. I’m slowly learning, but cooking anything more complicated than a pasta essentially flummoxes me. When it comes to eating, well, the inability to cook is of no hindrance for me to consume food of bewildering complexity. I have no idea how to make a duck confit (and even…
Category: Foreign Exchange
Data, Foreign Exchange, Python
Where to find free data for markets
by Saeed Amen •
If you do any sort of analysis of markets, you need market data and related datasets. Without data, you are kind of stuck! There are of course many market datasets which are available to purchase from data vendors. However, what type of datasets are available for free (aside from crypto markets, where there is a…
Foreign Exchange, General, Python
Hundreds of quant papers/libraries from #QuantLinkADay in 2018
by Saeed Amen •
I tweet quite a bit! It can involve random subjects such as burgers. However, the main objective of my Twitter account is to tweet about all thinks quant related, whether it’s trading strategies or the market or coding (in particular Python). To make sure I actually did this, several years ago, I started my #QuantLinkADay daily…
Data, Foreign Exchange, Python, TCA
How to reduce transaction costs when trading FX
by Saeed Amen •
Winter’s coming. Temperature’s dropping. It’s time to swap light jackets with thick coats. Let’s imagine it’s Black Friday tomorrow and you’re in the market for a new coat. You’d probably wait a day just in case it was discounted. Furthermore, you might check the price in a couple of shops. After all, everyone loves a bargain, and…
Foreign Exchange, General, TCA
Why does bitcoin need TCA?
by Saeed Amen •
It’s been 10 years since Satoshi Nakomoto published his paper on bitcoin (download a copy here). Since then a myriad of cryptocurrencies have emerged alongside bitcoin. The big question I suppose is what are the main use cases for bitcoin? One use case is as a way of easing payments across borders. Another might be as…
Foreign Exchange, TCA
What is the WMR fix and TCA?
by Saeed Amen •
Yesterday, it was reported in the Financial Times that several FX traders who were charged with manipulating the WMR fixing at 4pm LDN were found not guilty in a New York court. Offering a WMR fixing service actually results in a market maker taking substantial risk on a transaction, which seems to have been lost…
Foreign Exchange, TCA
Creating benchmarks for FX
by Saeed Amen •
Everything is relative. Is this burger any good? Pretty much the only way to judge is to compare it with other burgers. Is it better than a Big Mac (most likely)? How about a different burger, maybe a fancy one? We can make implicit comparisons in our mind, till we have eventually constructed a ranking.…
Foreign Exchange, General, TCA
Measuring best execution in FX and customising it
by Saeed Amen •
I’m a bit hopeless at cooking. I can do a bit of baking, in particular chocolate chip cookies, with a secret recipe which I’ve developed over time to make the cookies chewy and particularly sweet, to suit my tastes. Recently, I made Turkish orange cookies (above) for the first time. Whilst they tasted good, I…
Foreign Exchange, General, Python, TCA
Some perspectives on FX TCA
by Saeed Amen •
At Cuemacro, we’ve been developing a FX TCA (transaction cost analysis) Python library over the past year. We are hoping to open source parts of the library, provided we can find sponsorship for the TCA library. By open sourcing the basic framework of the library, we hope we can unlock the benefits of crowdsourcing from community to…
Data, Foreign Exchange, Macro
Want to use machine readable news to trade?
by Saeed Amen •
Before the written word, information flow was severely limited. Whatever, wasn’t in human memory was basically lost. To use a computing parallel, it was as if everything was in volatile memory. By constant, having the written word, meant we could store words on long term storage mediums, such as stone, later paper and now digitally.…