5,860 reputation
31849
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 11 months
seen Oct 20 at 14:31

I do high-frequency trading, mostly in C++ and Python (formerly q/kdb+). My views are my own and do not reflect the same of my employer.

My favorite answers:

Separating the wheat from the chaff

How much data is needed to validate a trading strategy

Time-series similarity measures

Column-oriented storage for tick data

A new programming language can only succeed if it capitalizes on an emerging frontier


Jan
19
comment Equity derivatives programming
@lomaxx All devs should at least be familiar with the Black-Scholes model. Knowledge of time-series analysis in general is a requirement, though a bank might have a separate role for developers independent of the quant analysts. Note that you run the risk of being pigeon-holed to the back-office (a career dead end) if you can't get "close to the money", ie work with the traders or portfolio managers directly in some capacity.
Jan
19
comment Equity derivatives programming
This is a good answer. Options market data is quite massive, so any dev needs to be able to handle large data sets (up to 1 TB a day if doing "level 2" quotes), both historical and realtime. The OP didn't mention the specifics of the job ad, so I'll just mention that the quants who design pricing algos usually hold a PhD in a mathematical discipline. Many banks separate quant analysts from quant developers because of the divergent tasks for derivatives. (Contrast that to cash markets, where the analyst and dev are often the same person.)
Jan
18
comment Understanding the stateless internet
@David What about persistent (keep-alive) connections? Those are in HTTP 1.1.
Jan
18
comment Understanding the stateless internet
@P. It's hardly reassuring when the reference you've cited opens with: This article contains weasel words, vague phrasing that often accompanies biased or unverifiable information.
Jan
17
comment Project Manager that wants to lock in time estimate with a signed contract
@Pemdas The point of the counter-contract isn't really to lock the spec; it's to make the PM back off.
Jan
17
answered What is the point where multitreaded programming becomes slower than the problem?
Jan
16
answered Programming languages that improve your programming skill in general?
Jan
15
comment How to convince my boss to improve code quality?
+1 Enthusiasm and initiative are your best bet for getting someone's attention.
Jan
15
answered I do not have a degree but have 7 years of experience with ASP.NET, C#, can a institute offer me a degree?
Jan
14
awarded  Enlightened
Jan
14
awarded  Nice Answer
Jan
12
awarded  Nice Answer
Jan
4
comment What do you wish language designers paid attention to?
Instead of "don't listen to users", the advice is better phrased as "don't listen to users you don't have".
Dec
31
answered Does it help to be core programmer of a product (meant for social good) for getting into a PhD program at a top university?
Dec
31
comment How to avoid to be employed by companies which are candidates to DailyWTF stories?
@MainMa I think #11 is exactly what you seek. If no one asks you to write code, it's probably because they can't either.
Dec
29
awarded  Organizer
Dec
25
answered Arguments againts checking-in binary files into SCMs
Dec
25
awarded  Enthusiast
Dec
23
comment If I immerse myself in Dvorak, will I forget QWERTY?
Ditto. I've switched between US Mac and UK Sun in a previous life and I'll echo the remark of making a few mistakes initially and then getting back into the groovy. I have a friend who routinely switches between a French keyboard and a British one without too much difficulty either.
Dec
23
comment Is the ASF going to continue supporting all their java projects in the future?
Um, you should probably ask Apache this.