Thursday, September 22, 2011

One month designing the ideal systematic trading system

After all, here I am!

I'm investigating for 20 hours/week (continuing with my 42 hours/week job as software manager) at the Delta One Trading dept., how to create the systems to support market making systematic trading.

The system is based on our MetaOS (https://metaos.googlecode.com/) project applied in the short term to:
  • Forecast daily volume profile, to improve VWAP trading algorithms (no, no, I'm not programming those trading algorithms; they're provided by SunGard platform)
  • Create a system to deal with huge volumes of CSV files (tick data, you know) without using a traditional (slow) SQL database
  • Calculate proxies to improve hedging, thus "remembering that we're working in the sell side, why are we hedging an index with the whole set of instruments in the index if we can do it with other highly correlated and cheaper instruments?"
Ok, I have no time to live, but the project is lasting only six months, so I have to work hard...


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