understanding tools for analyzing data
Note: You can now subscribe to my blog updates here to receive latest updates. A typical kdb+ architecture (in a market data environment) is composed of multiple q processes sharing data with each other. These processes usually are: feed handlers, ticker plants, real-time subscribers (rdbs, pdbs, bars etc), historical databases (hdbs) and gateways. Here is what the …
Continue reading “Bringing the power of pub/sub messaging to kdb+”
Last year, I wrote a q/kdb+ and python API for getting data from IEX. IEX, Investors Exchange, is an American exchange which provides a lot of financial data for free. You can get access to more data by getting a paid subscription. Last year’s API was based on IEX’s v1 API which has now been …
Continue reading “q/kdb+ API for getting data from IEX Cloud”
Few months ago, I wrote an api for getting market and financial data from IEX in python. As discussed earlier, IEX makes a lot of its data available to the public through its webservice api (link). In this post, I will show you how to use the api I wrote in q/kdb+. Let’s get started. …
Continue reading “q/kdb+ api for getting market and financial data from IEX”
Most of you have probably heard about IEX: The Investors Exchange. IEX is the exchange started by Brad Katsuyama who was the protagonist of Michael Lewis’s famous book Flash Boys (review). Just last year, IEX scored a major win when SEC approved its application to register as a national securities exchange. As time passes by, IEX …
Continue reading “Python api for getting market and financial data from IEX”
What comes to your mind when someone mentions ‘ECNs’? Stock exchanges? NYSE and NASDAQ? Prior to reading Scott Patterson’s Dark Pools, I knew very little about Alternate Trading Systems (ATS) and how famous public exchanges such as NYSE and NASDAQ came to be. This post is not meant to be a detailed history of (US) trading …
I was lucky enough to get a complimentary pass to The Trading Show from one of our vendors – OneMarketData. They were one of the sponsors and had some spare tickets. The Trading Show is a conference on “quant, automated trading, big data and high performance computing (HPC)”. I have never attended a conference at …
You can, most likely, work with market data without knowing much about the data itself. You can capture it, save it and deliver it to your clients who can use this data to do transaction cost analysis, trade surveillance, P&L and a lot of other stuff. But in the long run, you will find yourself …