Working Directories and Build locations with Xcode 9 and C++

Introduction This post describes how Xcode manages Project Working Directories and what options do we have to setup it correctly. In the end you learn how to setup custom build locations for you compiled binaries. Definitions: Project Working Directory – is working directory associated with process created by executing built binary Project Directory – is directory with project source code …

Replicating orderbooks from Websocket stream with Python and Asyncio

Introduction We are currently working on time-series database solution for collecting high-frequency crypto-exchanges data – namely for tick data and one-minute orderbook snapshots. We’ve developed REST API collector bots which are continuously fetching data from numerous REST API endpoints and saving them to database. This solution would work in the perfect world but that’s not where we do live. During …

Bitfinex REST API C++ client

I’ve just released simple C++ static library bfx-cpp-api which interfaces Bitfinex REST API (Websocket interface coming soon). Bfx-cpp-api uses libcurl and cryptopp library which must be installed before use. Check example code and don’t forget to link to libcurl and cryptopp when compiling. Before using authenticated endpoints be sure you have created API-secret-key file where first line is API access …

Open-source database solution for daily data in R

This post will guide you through building up the database solution for market data from scratch. Database will daily update itself with data directly from CME. I will use R6 Parser class as interface between the database and CME settlement files. As a database I utilize PostgreSQL(PSQL) as it’s pretty fast, free, features rich, has clear documentation and is based …

Introduction to volatility models with Matlab (ARCH, GARCH, GJR-GARCH)

In this article you get familiar with basic concepts behind GARCH models family and practical use of it. General properties, terms and notation of conditional variance models Advantage of conditional variance models is that they better describe following time series properties: Returns of an asset have positive excess kurtosis[1] which means their PDF peak is sharper than the normal PDF …

Introduction to volatility models with Matlab (SMA, EWMA, C-C, Range estimators)

In this article I will introduce some of the tools used to model volatility with examples in Matlab. Let’s start with a definition of volatility – Volatility is the degree of variation of a price series over time as measured by the standard deviation of returns. Why is volatility of vast importance in financial world? One of the main reason …

Introduction to volatility models with Matlab (Implied volatility)

Implied volatility (IV) is the volatility of an asset derived from changes in value of corresponding option in such way that if we input IV into option pricing model, it will return theoretical value equal to the current option value. Contrary to historical volatility, IV is the volatility forecast for price of the underlying asset from current time to option …