dtoma

;; https://www.emacswiki.org/emacs/DeleteSelectionMode
(delete-selection-mode 1)

;; https://www.emacswiki.org/emacs/InteractivelyDoThings
(require 'ido)
(ido-mode t)

;; https://www.emacswiki.org/emacs/TabBarMode

;; https://www.emacswiki.org/emacs/ImenuMode

dtoma

# Code quality

## Level 0

Typically a script that is ran once or occasionally. Defining characteristics include:

- No functions, code is copy-pasted rather than factored out
- No logging
- Values are hardcoded, eg. write `3.14` all over the place instead of using `PI = 3.14`
- `assert` isn't used anywhere

dtoma

import asyncio
from collections import defaultdict

import numpy as np


TSDB = defaultdict(np.array)


class Server:

dtoma

import time

import requests
from bs4 import BeautifulSoup

latex_template = r"""\documentclass[imperial, twoside, 12pt]{octavo}
\begin{document}
\centering{\large %s }
%s
\end{document}

dtoma

- https://github.com/passy/awesome-recursion-schemes
- https://compiletoi.net/garcon-theres-a-catamorphism-in-my-python/
- https://compiletoi.net/fast-scraping-in-python-with-asyncio/
- https://www.cs.cmu.edu/~rjsimmon/random/bovik2010case.pdf

dtoma

https://www.penguinrandomhouse.com/books/557104/the-man-who-solved-the-market-by-gregory-zuckerman/

- Hiring smart people and letting them tinker
- Trial & error
- Internally: open and share
- Copious amounts of good data (good = cleaned up, accurate, long history)
- Short signals seems to bring most of the performance, the longer-term fund isn't performing as well. Because more people have time to hop on long term signals? They are easier to find (data more accessible)?
- statistical significance > having an explanation for the phenomenon

dtoma

Everything can be good or bad

State Machines

Design Patterns

Interpreted Languages

Monoliths

dtoma

Notes from "Inside the Black Box: a Simple Guide to Quantitative and High-Frequency Trading"

Chapter 5 - Transaction cost models

• commissions & fees (brokers)
  • clearing: reporting, monitoring, taxes...
  • settlement: deliver of securities in exchange for payment in full
  • transaction costs
• slippage [1]

• market moves between the decision & the execution

dtoma

# https://speakerdeck.com/pycon2019/mario-corchero-how-to-properly-raise-handle-and-create-them?slide=50

try:
    # ...
exception (KeyError, ValueError):
    logging.info('Attempted to call x with invalid input', exc_info=True)
    raise InvalidDataCustomError('Invalid data used to call X') from None

dtoma

Wall squats

https://www.t-nation.com/training/tip-hone-your-technique-with-wall-squats

1. Stand facing a wall with your nose and toes against it. Your feet should be slightly wider than shoulder width with your feet angled out very slightly.

2. Squat down as far as possible with your arms hanging between your legs. (I prefer this to the variation where the arms are kept high.) With each rep, you should be able to drop a little farther.