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eachright.blogspot.com

j/k: May 2007

http://eachright.blogspot.com/2007_05_01_archive.html

Friday, May 25, 2007. Back testing in Q. I get this all the time- how do you backtest a strategy. Well, here's a simple way. Every trade has 4 components- it's entry time, it's profit objective (ge: good exit) it's stop limit (se- stop exit) and a time exit (te). The code below will, given a table with a column "entry" which is boolean and a price will backtest the strategy (this is a version for going long). I like to back test against quotes, but this is for prices (trades). BtL:{[t;gep;sep;tep]. Prior...

eachright.blogspot.com

j/k: September 2007

http://eachright.blogspot.com/2007_09_01_archive.html

Friday, September 7, 2007. I was under the impression that riddles were out of style for interviews. I was wrong. Don't get me wrong, I love a good brain teaser- but as a criteria for hiring? My favorite are the "personal probing riddles". I actually got this today. Q:"if you were stuck on a desert island what 3 items would you bring with you". Me:"ok. a boat, a sat phone. and a tank of gas". Me:"what would you take? Q:"well, generally people say their favorite book or something". Q:"no, it wouldn't.

eachright.blogspot.com

j/k: July 2007

http://eachright.blogspot.com/2007_07_01_archive.html

Friday, July 20, 2007. Yup Worst day ever. Just further reinforcement that coming in on Friday's is bad for me, bad for business. All over by 10AM. Thursday, July 19, 2007. I've always said (and I picked it up from somewhere) that for every 9 you want to add to your uptime, multiply your initial cost by 9. So if you have a 10mm USD data center, and you want to go from 99 to 99.9% uptime, you need a 90mm data center infrastructure. Why? Well lets take a look. You need load balancing and/or fail over netwo...

eachright.blogspot.com

j/k: riddles

http://eachright.blogspot.com/2007/09/riddles.html

Friday, September 7, 2007. I was under the impression that riddles were out of style for interviews. I was wrong. Don't get me wrong, I love a good brain teaser- but as a criteria for hiring? My favorite are the "personal probing riddles". I actually got this today. Q:"if you were stuck on a desert island what 3 items would you bring with you". Me:"ok. a boat, a sat phone. and a tank of gas". Me:"what would you take? Q:"well, generally people say their favorite book or something". Q:"no, it wouldn't.

eachright.blogspot.com

j/k: Fridays (again)

http://eachright.blogspot.com/2007/07/fridays-again.html

Friday, July 20, 2007. Yup Worst day ever. Just further reinforcement that coming in on Friday's is bad for me, bad for business. All over by 10AM. Subscribe to: Post Comments (Atom). BSC- sorry about that. Amending to a Matrix. Data Mining in kdb. Kdb stat arb trader. View my complete profile.

eachright.blogspot.com

j/k: the times, they are a changing

http://eachright.blogspot.com/2007/09/times-they-are-changing.html

Tuesday, September 4, 2007. The times, they are a changing. So, the dust has settled. mostly. The world has calmed. mostly. And the market has stabalized- er, well at least it's not tanking- er, at least not as bad as a couple of weeks ago. And now is the time for change. And so, after 2 years, and my best month of trading ever (seriously- it was ridiculous. 100% win rate one day. 122mm traded. 100%! A A professional surfer for your southern California team. Or. B A new statistical arbitrage group. Or.

eachright.blogspot.com

j/k: A New Computer

http://eachright.blogspot.com/2009/01/new-computer.html

Friday, January 30, 2009. It's probably been 10 years since I've bought a new computer. I feel like it's a good habit to develop on older, less advanced hardware- it makes you write tighter code (256MB of memory anyone). But the house computer died, and it was time to build a new media center. Since this is a once a decade purchase- I got the signoff from the boss lady to do it "my way". So I went with a true media center. I got a 902 Euni Case off ebay, with the board, CPU and Fan off eBay for 700$.

eachright.blogspot.com

j/k: June 2007

http://eachright.blogspot.com/2007_06_01_archive.html

Wednesday, June 13, 2007. The devil is in the details. Getting real-time data from a financial exchange. Ensuring that data is correct. Interacting with the exchange and sending markets/orders cancels etc. Maintaining a book with offsetting positions. Really Really Really Hard:. Dealing with partial fills for new positions and/or exits. Crossing those positions internally to save a trip and the spread, including partial filling, waiting for confirmation that outstanding markets. Monday, June 11, 2007.

eachright.blogspot.com

j/k: BSC- sorry about that

http://eachright.blogspot.com/2007/07/bsc-sorry-about-that.html

Wednesday, July 18, 2007. BSC- sorry about that. Sorry, we lost all the money. Well- 90% of it, but the other 10% is ours. In other news, we have some free flights to Florida for you- and all you need to do is attend a 2 hour presentation on the wonderful oppertunity for real estate in the greater Miami area. Subscribe to: Post Comments (Atom). BSC- sorry about that. Amending to a Matrix. Data Mining in kdb. Kdb stat arb trader. View my complete profile.

eachright.blogspot.com

j/k: redundancy

http://eachright.blogspot.com/2007/07/redundancy.html

Thursday, July 19, 2007. I've always said (and I picked it up from somewhere) that for every 9 you want to add to your uptime, multiply your initial cost by 9. So if you have a 10mm USD data center, and you want to go from 99 to 99.9% uptime, you need a 90mm data center infrastructure. Why? Well lets take a look. You need double the hardware, and multiple components in all the hardware you have (dual nic etc)- 7mm. You need a DR data center in another location, with the same setup- 15mm. So thats only 78...