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…
Category: Foreign Exchange
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.…
Data, Events, Foreign Exchange, Python
QuantCon NYC 2018 review
by Saeed Amen •
John Fawcett, founder of Quantopian with Rich Newman, FactSet A big reason people visit New York is for the burgers, right? You’ve got Shake Shack, Minetta Tavern, the Burger Joint… I could construct quite a long list. OK, that’s probably just a reason which encourages me to visit New York! At the end of…
Foreign Exchange, General, Python, TCA
What I’ve learnt from developing a FX TCA library?
by Saeed Amen •
Reading is a great way to learn. However, it’s the practice of that knowledge which is a key part of the process. For example, you can read a lot about an area in mathematics, but it’s only once you’ve sat there for hours struggling to solve some problems that you begin to understand it. It’s…
Foreign Exchange, General
Regime change isn’t just for politics
by Saeed Amen •
In the past, in the UK, if you wanted a burger, well, you went to McDonalds. Perhaps there was the odd Burger King or Wimpy too. Burger-wise they were simpler times. Today, there’s been a total change in the regime, when it comes to burgers. Do you want a “fast food” burger, like McDonald’s, a…
Data, Foreign Exchange, General
At the chart of the matter & finding market patterns
by Saeed Amen •
I recently retweeted a link to a rather interesting tutorial on machine learning given by Google. One of my Twitter followers (@grodaeu) replied ‘totally missed opportunity to go “Learn machine learning by taking the same machine learning course 10000 times’. Ok, so I chuckled a bit after reading that reply. However, it did make me…
Data, Foreign Exchange, Python, TCA
Why create an open source FX TCA library?
by Saeed Amen •
The idea of transaction cost analysis (TCA) has been around for years. As the name suggests, it is analysis that can be done to understand how much you are paying for your trading. At its simplest level, it can involve calculating the slippage between the market mid and your executed price. If we are doing FX…