Mr. Blue Sky
Cloud tick storage with Azure and Python
Previously I built a local tickstore (covered in the blog post "Building Behemoth") based on HDF5, pandas and RAID storage. While the RAID storage gives me a degree of confidence, depending on a single Linux server sitting on the floor next to my desk is not ideal. Furthermore, it would be even better if researchers didn't have . . .
Introducing Pelican FIX
Starting Serenity's core FIX engine
After reviewing the available Python FIX implementations I decided to create my own, both as a learning exercise and to fill some functional gaps. In particular I wanted Python-friendly code generation from any FIX specification from 4.0 to 5.0SP2 with a rich metadata model so later on I can build tools like a FIX schema validator if I want . . .
Serenity MVP
Creating a minimum viable trading engine
This weekend I finally got Serenity 0.2.0 up-and-running with an example trading strategy. The code is messy; the example strategy is brittle and likely dangerous to your financial health; it's missing unit tests all over the place; etc.. But it starts up and trades the Phemex testnet based on a hypothetical trading signal using live . . .
Research-to-Go with Kubernetes
Revisiting Jupyter Lab with Kubernetes
In Research-to-Go with Docker we used Docker and Docker Compose to create a Serenity research environment. Unfortunately all good things must come to an end, and what's described in that previous article is currently not working because Jupyter Lab has moved on to the 2.x series, but the Git extension has not kept up; the Docker Compose . . .
The Tau of Market Data
Applying Tau for real-time market data recording
In the last post on Serenity we looked at the Tau functional reactive programming library. In this post we will move beyond simple math processing with Tau and start connecting it to I/O, in particular the Websocket channels commonly used for distributing marketdata from cryptocurrency exchanges. To do this we'll need to make some big . . .
Tau
Functional reactive programming for Python
For over a year I have been thinking about better programming models for functional reactive programming, or FRP. It's a natural paradigm for financial software, which often deals with processing rich streams of data, and so the foundation of Serenity will necessarily include it. The problem is API: while I agree with and admire many . . .
Goddess of Fame
Automating the Phemex exchange with Python
Phemex is a new cryptocurrency derivatives exchange founded by a group of ex-Morgan Stanley developers. Its name comes from a combination of the Greek goddess of fame, Pheme, and "mercantile exchange." Its primary offering is what it terms a perpetual futures contract, which most closely resembles a CFD or contract for difference: . . .
