I used to go to the gym quite often for the purposes of box ticking. A few minutes on the rowing machine, then maybe 5 minutes on Twitter. Then perhaps a few minutes browsing through the music stored on my iPhone. Perhaps, a bit more time on the running machine, before going back to walking…
Category: Foreign Exchange
Data, Foreign Exchange, General, Macro
Alternative data for FX
by Saeed Amen •
I recently visited the USA. I managed to visit a number of different cities. Whilst I was there primarily for work, I managed to squeeze in a few days to look around the various cities I visited. I visited Philadelphia for the first time, and I saw Independence Hall and the Liberty Bell, both of…
Foreign Exchange, General, TCA
Going with the FX flow
by Saeed Amen •
In this paper, we discuss using CLS intraday hourly flow data to understand FX markets. Using two different trading strategies (daily and hourly) against a generic trend model, we find that CLS’s flow data relating to funds and non-bank financial firms (NBFIs) tends to have a positive contribution to spot returns when viewed on an…
Foreign Exchange, General, Python, TCA
Learn now, rather than later
by Saeed Amen •
I visited Paris several months ago before Christmas. I had been there many times. Despite that, I had never visited Notre-Dame. There was always some excuse why I hadn’t gone. Too far. Too near. Takes time. And so on. However, finally on this last trip I did take the time to visit. It was truly…
Data, Foreign Exchange, General, TCA
TCA usage across different asset classes
by Saeed Amen •
In London, burger joints have proliferated hugely in recent years. As result, there are simply too many and unfortunately some have closed (including my local favourite, a branch of Gourmet Burger Kitchen, this week). Despite, their proliferation, it seems as though we simply aren’t eating enough burgers, despite the fact, that I’m personally trying to…
Data, Foreign Exchange, General, TCA
The Beatles.. and TCA for FX options
by Saeed Amen •
I’ve heard many explanations for how the Beatles got their name. I have to admit I never quite put two and two together to realise it could be a pun on the word “beat”, until someone on Twitter pointed it out a few months ago (despite my predilection for coming up with awful puns to…
Data, Foreign Exchange, General, Python
How to collect market tick data
by Saeed Amen •
A lunch break is probably more of a necessity from a break perspective than anything else. You could make the “break” aspect as short as possible, by getting a ready made takeaway. However, that kind of negates the whole break aspect of it all. I end up going through various cycles of what I have…
Data, Foreign Exchange, Python, TCA
Reducing TCA maintenance costs
by Saeed Amen •
I love cars. I always have. The cost of a car is never purely the sticker price in the showroom. Of course there’s the cost of petrol. Despite being wrought of steel, cars have a decidedly human quality, going wrong. The stealth cost is related to that very specific human element of cars, the maintenance…
Data, Foreign Exchange, General, Python, TCA
Having source code for TCA is useful
by Saeed Amen •
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…
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…