Algo Programmer [Me] for your Vanilla

[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

 

[Random.Capital]

In an interview setting, would you be able to talk coherently about all this stuff?

http://itunes.apple.com/ca/itunes-u/introduction-to-algorithms/id341597754

 

[MyTotoro]

Quote from Random.Capital:

In an interview setting, would you be able to talk coherently about all this stuff?

http://itunes.apple.com/ca/itunes-u/introduction-to-algorithms/id341597754

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

 

[Random.Capital]

Quote from MyTotoro:

But I know that the success of an algorithm is not represented by the complexity of it and fancy names in it

Not sure what you're trying to say there...?

 

[MyTotoro]

Quote from Random.Capital:

Not sure what you're trying to say there...?

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

 

[Random.Capital]

Quote from 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's an interesting perspective. Can you elaborate?

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 [/B]

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?

 

[MyTotoro]

Quote from Random.Capital:



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? [/B]

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