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: . . .
RAPIDS at Home
Building a GPU-accelerated Ubuntu Server
On Thursday night my new RTX 2080 Super GPU card arrived, which means it's time to crack open my home-built Linux desktop, Charger. The goal of this project is to create a dual-GPU Ubuntu server running nvidia-docker so I can experiment with RAPIDS, Nvidia's GPU accelerator for data science.
Getting started
After . . .
Inception
Running a local Kubernetes cluster with kind
So far we've been using Docker and Docker Compose for running components of the Serenity trading system, but at a certain point we will need the power of Kubernetes to orchestrate and provision resources for the trading system.
The Kubernetes in Docker project, or kind, is a more featureful alternative to minikube for running . . .
Death, Taxes and Bitcoin
Building a database for tax reporting
Once a year I need to pay taxes for the capital gains on my Bitcoin trades, which in prior years has meant also paying the Bitcoin Taxes service to generate a TXF file with the necessary inputs for TurboTax to do its thing and generate a statement. Unfortunately this year Bitcoin Taxes could not handle the complexity of trading across . . .
Research-to-Go with Docker
Containerizing Jupyter Lab and Git
With our tickstore building up every day with all the BTC-USD and BTC-USDT trades from Coinbase and Binance, it's time to create a research environment. For this part of the project I wanted a combination of Jupyter Lab with its integrated Git plugin, plus a means of sharing the RAID store of ticks on the local PC. Docker and Docker . . .
