This is a summary of links featured on Quantocracy on Sunday, 07/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Hacking a HFT system [Financial Hacker]Compared with machine learning or signal processing algorithms of conventional trading strategies, High Frequency Trading systems can be surprisingly simple. They need not attempt to predict future prices. They know the future prices already. Or rather, they know the prices that lie in the future for other, slower market participants. Recently we got some contracts for simulating HFT systems in
-
How to Build a Sequential Option Scraper with Python and Requests [Black Arbs]In the previous post I revealed a web scraping trick that allows us to defeat AJAX/JavaScript based web pages and extract the tables we need. We also covered how to use that trick to scrape a large volume of options prices quickly and asynchronously using the combination of aiohttp and asyncio. The Problem It worked beautifully until… I told people about it. Shortly after publishing, my code