Most of the information on the web about configuring the Linux kernel are not targeted to trading applications so I thought a little tutorial might be useful. Isolcpus is the common name for configuring Linux to exclusively dedicate a CPU core to a certain process, such as a trading system executable. It helps minimize random […]

There are some problems with linear regression. It can only capture first-order relationships, but when the signal to noise ratio is .05:1, then there’s not much point in worrying about that. Another problem is that it’s slow if you do it the typical way. Most people will just use Matlab’s backslash operator \, or R’s […]

Currently, I’m working on Learning Machine’s submission for Max Dama’s QuantCup. That involves optimising a “price-time priority limit order matching engine”. More simply, it means ‘making a system which matches buy and sell orders really fast’. * As per the competition rules, I’m programming our entry in the C programming language. But when it comes to our […]