How do you eat an elephant? I have wanted to write a reading list but I have been apprehensive since I didn’t want to include too much and wanted also to explain why the books were in the list. If you want to trade crypto there is no point reading the Hull interest rate model book. This list

I was re-reading some older posts, and I realised I owed some readers a follow up. Hopefully I will be forgiven that this took 2 years. This post will be short and the core of the ideas are a follow up to the original article here. The key takeaways from the original article are: IO and Logging

Writing an OMS for an HFT platform is a really difficult task that is often taken for granted. It is made more difficult in crypto because the exchange infrastructure is unreliable. It is not uncommon to simply be told “go away and come back later” when trying to call api functions. There is

There is a common debate when people are discussing code optimisation that relates to how fast code needs to be. A recent Twitter post about parsing binance BBA messages stated processing times of around 200ns. This is, in my admission, very fast. To put it into perspective, Serde is a common rust

Candlesticks are a common way to represent price and volume of an asset over a period of time. There are various common types of bars such as time, volume, tick bars, hieken-ashi, renko to name a few. There is a lot of information about the implementations of these on the internet so their details

In this article we’ll be discussing a fast way of logging in Rust and its application to high frequency trading. The code presented here solves two problems, one is well known, the latter less so. It is a imperative to avoid using IO operations within the strategy thread, but logging operations

So the crypto markets on May 19th were fun!? If you have been a part of these markets for any time, this volatility is not that surprising. That said it is still pretty amazing that the price can drop 30% in a single day. This is maybe more surprising since it is to the backdrop of an increase in

I love programming! There is something really satisfying about solving a complicated problem concisely. That said I see programming languages as a tool to solve a problem rather than purely coding for coding sake. I have used a lot of programming languages over the last 20 years namely Java, R,

I have been thinking a lot about risk lately. The liquidity injections from the FED are pushing risk assets higher and higher. There seem to be bubbles in nearly every speculative assets. The main concern long term would be rising rates at the same time as a falling dollar suggesting there is no