At 03:14 UTC, our automated trading backend started dropping connections from three major institutional liquidity providers. In our execution logs, the er…
Read entryIf you read academic literature on market microstructure, Order Book Imbalance (OBI) is presented as an easy source of alpha. The classic formula:
Read entryIf you are running quantitative research agents that take more than five minutes to execute, your current stack is probably built on a house of cards.
Read entryWe run high-frequency, event-driven sentiment analysis pipelines that parse corporate earnings transcripts, SEC filings, and real-time news feeds. Our pip…
Read entryIt was 2:00 AM on a Tuesday when I realized my backtester was lying to me. I was reviewing the performance of a daily-horizon mean-reversion strategy on t…
Read entryIn quantitative trading, tracking execution costs down to the tenth of a basis point is a prerequisite for survival. When I shifted from high-frequency ex…
Read entryThe promise of LLM trading agents is intoxicating: ingest unstructured global news, parse sentiment on complex macro shifts, scan corporate filings, and e…
Read entrySix months ago, I was building an automated equity research assistant designed to parse thousands of pages of earnings transcripts, 10-K filings, and macr…
Read entryWe built a semantic search and retrieval system for 12 million financial filings and real-time news articles. Our choice of vector database wasn’t a speci…
Read entryBacktesting a high-frequency or market-making strategy using simple daily or even bar-by-bar data is a fast track to losing capital. In my early days buil…
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