|
Hi all,
I'm looking for any suggestions on getting in to quant finance and development in my spare time. Well ideally I'd like to understand more what some of you guys do. Currently I'm a UNIX sysadmin in a large broker dark pool. The job has piqued my interest in the dev side of things. I can't interact with our dev guys so much of what they do is a mystery to me.
I've been researching random stuff such as sourcing free tick data (not much luck - although tradingphysics has some data), what languages (I'm fine with C and Python), and various APIs.
For development I assume much of you would create mathematical models and run them against historical data to see what results you get which could possibly help determine future price movement? Would that be an accurate if basic assumption?
I also read the work of Nanex and their HFT algo watching. It looks fascinating but the amount of data they have access to makes me feel like it's pointless to try and even look in to doing something similar (unless I pay for a good data feed).
Sorry this post is a bit all over the place but I'm just trying to find my feet...
cheers
|
|
|
|
 |
|
OK in the interest of good netiquette I decided to reply to my own post after doing some research. I've decided to push at work to learn more about our market data systems (direct feeds provided by Reuters). With this I'll help manage the data infrastructure aswell as the general day to day UNIX stuff. On the side I am brushing up on my C++ skills and learning objects, classes, templates etc. Once I have that covered I will move on to getting back into algorithms (binary,tree,trie,merge etc etc) and that would get me back in to the flow of things.
For the finance part I will pick up Paul W****tt Introduces Quantitative Finance and study that. On the side I will continue with my C++ coding looking at various small projects (I've a few game ideas to keep me occupied).
After that maybe pick up C++ Design Patterns and Derivatives Pricing by Joshi and study it closely. I will continue at work looking after market data stuff and hopefully by next year talk to my boss and see what my opportunities are.
I've a good few things at work I can make use of (Reuters C++ APIs and L1 & L2 datafeeds) so I'll find out if I can wrangle a test server to play with.
Hope that inspires someone! |
|
|
 |
Corey
|
|
| Total Posts: 234 |
| Joined: Feb 2008 |
| |
|
From what I can tell in my browsing, I think that you will find that the majority of quants on this board tend to fall into the "Q" world (the world of derivatives pricing -- if you are unfamiliar, see P vs Q).
I haven't seen many HFTers or execution quants on here, which I think is more along the lines of what you are thinking (since you are talking about L1 & L2 datafeeds). Either that or you are talking about automated trading strategies, but not at high frequency speeds; I can't quite tell.
I think you didn't get an answer because you don't know what you don't know. "Quant" is a very, very generic term for a whole lot of things. "Quant" covers such things as the guy developing down-to-the-metal software to the guy who never touches a computer and only puts pencil to paper to develop new pricing models.
I think if you were more specific as to what sort of "role" interests you, you might get some better advice. |
"Then there was the man who drowned crossing a stream with an average depth of six inches."
W. I. E. Gates |
|
|
|
jslade
|
|
| Total Posts: 751 |
| Joined: Feb 2007 |
| |
| |
|
