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Tr8dr's Blog

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Blog Moved

September 24, 2017 Comments (0)

After a long hiatus, have started writing again., however have moved the blog to GitHub. The new URL is: https://tr8dr.github.io   Advertisements

Market-Making Portfolio & Hedging

May 2, 2015 Comments (0)

With market making we can try to be neutral by skewing prices in such a way as to maintain a neutral position.   To the extent that the market can become 1-sided (in momentum) or may have large sized requests … Continue reading →

Bitcoin, In its own Universe?

March 29, 2015 Comments (0)

Investors are often looking for uncorrelated returns so as to better diversify.   If one looks at world indices &  equities, there is much less diversity between assets than there was a decade ago, indeed the cross-market correlations are remarkably … Continue reading →

Musings on HFT in Bitcoin

March 14, 2015 Comments (0)

I have 4 Bitcoin L3 exchange feeds running smoothly out of a data center in California (which is slightly closer to Asian exchanges and Coinbase than the east coast).  It took a bit of error handling and exponential back-off, to handle the … Continue reading →

OxyPlot, Bitcoin progress, etc.

February 28, 2015 Comments (0)

I’ve been a bit distracted recently brainstorming some blockchain-related ideas with colleagues, and working on a research & trading UI. OxyPlot First I wanted to give a plug for OxyPlot.  If you use F#/C# or the .NET ecosystem, OxyPlot is a well designed … Continue reading →

Bitcoin: Needs Cross-Exchange “Prime Brokerage”

February 11, 2015 Comments (0)

Ok, what I am going to say here is probably Bitcoin heresy, in that I am going to advocate more centralized clearing and management of assets wrt exchange trading. I want to be able to scale trading in bitcoin and … Continue reading →

Bitcoin L3 Feeds: Status

February 10, 2015 Comments (0)

I have implemented 4 bitcoin exchange interfaces now that produce a live L3 stream of orderbook updates + trades of the form: Given the above, can reconstitute the orderbook as it moves through time, and can likewise be used to create … Continue reading →

Bitcoin Exchanges: State of the Market

February 8, 2015 Comments (0)

In the previous post outlined intention to put together high quality L2/L3 feeds for the top 4 bitcoin exchanges, collect L3 data, and provide a consolidated live orderbook for trading.   So far have implemented OKCoin and been experimenting with the others … Continue reading →

Consolidated Source of Data for Bitcoin

January 27, 2015 Comments (0)

It seems like every other month there is a new bitcoin exchange.  For the purposes of trading research & backtesting it is important to have historical data across, at least, the most liquid exchanges.  My list would be at least: … Continue reading →

Reinventing the Wheel

January 27, 2015 Comments (0)

I guess I am old enough to have seen the wheel reinvented a number of times in both software infrastructure and financial technology spaces.  Unfortunately the next generation’s version of the wheel is not always better, and with youthful exuberance often ignores … Continue reading →