Algo Programmer [Me] for your Vanilla

Discussion in 'Programming' started by MyTotoro, Feb 20, 2012.

  1. MyTotoro


    I’m new to trading and I’m interested in algo and traditional trading.

    A bit of background about myself: Math background (actuarial science with pure math). Off paper – I’m been in the shadows of Reverse Engineering (Themida, tuts4you, I’ve worked closely with a member of SnD before). I’ve coded and worked with ASM/C, I’ve also coded in Java and Python. Along with the software side, I’ve tinkered with the hardware side, built a few gaming systems, multi-monitor setups, etc.

    I want to offer my programming skills to gain exposure to algorithms and strategies, I don’t mind if you keep sensitive information private because I want to hone my skills and just develop a better understand – programming vanilla is fine.

    I don’t have any preferences to systems/language/api because I’m comfortable with programming and I’m still getting exposure to different systems

    Feel free to PM/post questions

    I’ll try to answer everything as best as I can
  2. MyTotoro


    I'm from UWaterloo, I know a few of them but not all - but I'm definitely willing to learn.

    I can't produce code in the same night and you aren't going to get the same code as someone with an Masters in Financial Engineering

    But I know that the success of an algorithm is not represented by the complexity of it and fancy names in it
  3. Not sure what you're trying to say there...?
  4. MyTotoro


    I said I don't know all of them, I have friends who are in Comp Sci and I know a lot of that is just lingo

    That reference was made to Black-Scholes, where during the original derivation - economists and mathematicians tried adding more and more stuff and making it more complex. I only made it because I'm studying for an exam that concentrates around Black-Scholes and it's in front of me right now

  5. That's an interesting perspective. Can you elaborate?

    Not clear where you were going with that - are you trying to say black-scholes doesnt need to be made more complex, or ar you drawing a connection between red-black trees and derivatives pricing?
  6. MyTotoro


    Could you also explain what 'red-black' trees are?

    Well to answer your first question, this is also a bias from when I've worked with ASM. Everything just became simplified, a pointer, a comparison, a flag check, moving memory around and basic arithmetic.

    Heaps: working with nodes, trees, similar to lists. The basis for these ideas is the node: an object with one or more fields, containing data and possibly pointers to other nodes. So herein the lingo is 'heap, list, queues' - which is a glorified node.

    If you asked me what object-oriented programming was: I'd say adding dots to the end of things to make variables and attributes easier to remember.

    For the Black-Scholes reference, when academics first tried to concoct a formula for options pricing, they added layers upon layers of complexity - variable after variable after mathematical function. Our result after clearing away all the bullshit (and while we know BS is flawed because of volatility) is an elegant and simple formula. A lot of the mathematical code like matrix calculations would already exist in most cases as well.

    Like I said before, I probably won't be able to produce the best HF code, but I'm also learning as well