-- for this point, there's no need to talk about China (we have plenty of Chinese newspapers on it). Just look at today's Bloomberg post on Japan - BOJ to Provide 10 Trillion Yen in Emergency Credit. The Bank of Japan said it’s ready to pump more money into the financial system after unveiling a 10 trillion yen ($115 billion) program to help an economy battered by falling prices and the yen’s surge to a 14-year high. Yen is gaining against USD in the past six months, once peaked at almost 84...
Friday, November 27, 2009
Thursday, November 26, 2009
FIX Learning Notes (2)
1. Symbol - Tag 55
ticker symbol
2. SecurityType - Tag 167
sample values: CS, FUT, OPT, WAR etc
3. IDSource - Tag 22 (symbol type)
sample values: 1-cusip, 2-sedol, 3-quik, 4-isin, 5-RIC, 8-exchange symbol etc
4. some other config's
Wednesday, November 25, 2009
RIC Futures & Options Name Convention
1. Reuters monthly codes for futures
my %futureCode = (
"01" => "F",
"02" => "G",
"03" => "H",
"04" => "J",
"05" => "K",
"06" => "M",
"07" => "N",
"08" => "Q",
"09" => "U",
"10" => "V",
"11" => "X",
"12" => "Z",
);
2. Reuters monthly codes for options
my %optionCode = (
P => { # codes for put option
"01" => "M",
"02" => "N",
"03" => "O",
"04" => "P",
"05" => "Q",
"06" => "R",
"07" => "S",
"08" => "T",
"09" => "U",
"10" => "V",
"11" => "W",
"12" => "X",
},
C => { # call option
"01" => "A",
"02" => "B",
"03" => "C",
"04" => "D",
"05" => "E",
"06" => "F",
"07" => "G",
"08" => "H",
"09" => "I",
"10" => "J",
"11" => "K",
"12" => "L",
},
);
3. for Options -- market symbol = security root + strike + option code shown above + expiry year (only one digit)
4. for futures -- market symbol = security root + future code shown above + expiry year (only one digit)
5. examples,
RIO2300X9.L - RIO.L O 20091218 2300.00 AP (RIO.L 2300 Put 20091218)
CBRY800L9.L - CBRY.L O 20091218 800.00 AC
Thursday, November 19, 2009
awk & nawk
1. nawk -F'\t' '$4==1 {print $5"\t"$1"\t"$2"\t"$3"\tYes"}; $4==0 {print $5"\t"$1"\t"$2"\t"$3"\tNO"}' xxxxx
2. grep xxxx XXXX | awk '$2 == 1 { ++total }; END {print "total = ", total} '
Wednesday, November 18, 2009
Monday, November 16, 2009
Concepts in FIX practice
1. the most important concept here is, FIX talks to IMR, and IMR talks to DBL. There're mappings between each layer.
(a) from FIX to IMR, we're basically talking about Group/Customer/Trader/Account/Broker etc
2. the FIX connectivity issues - see my other posts related to FIX
3. security search -> dup trades detection -> trades filter (trader/customer/broker/group/account mapping) -> price convert -> add trades -> calc charge based on broker -> ensureNotify_sp(?) -> update last processed trade ID
4. security search - based on what rules?
(a) securityType - tag 167
5. dup trades detection - we first check if there's an orderID (broker assigned one, unique for a single trading session) in the database already; if yes, we then go ahead, and check if there's an execID there in the database. If yes, that's great - we caught a dup trade!
6. cancel order?
7. name service - mapping name to IOR?
8. what's IOS?
Sunday, November 15, 2009
Thursday, November 12, 2009
Tuesday, November 10, 2009
Commands by Example in T-SQL
1. T-SQL - declare/select/if...else/exec
declare @user varchar(32)
select @user = '${userLogin}'
declare @groupName varchar(32)
select @groupName = 'xxx'
declare @fullName varchar(64)
select @fullName = xxx from xxx
declare @found int
select @found = 0
select @found = 1 from xxx
if(@found=0)
begin
print "--adding user %1! = %2! --", @user, @fullName
declare @id xxx
exec xxx @table_name='xxx', @nr=1, @next_id=@id output
insert xxx values (@id, @fullName, @groupName)
end
2. while/if/else etc
declare @hldQuantity int
select @hldQuantity = 0
declare @buysell int
declare @execQuantity int
declare @execId int
declare @nextId int
select @nextId = min(exec_id) from exec,order,port where order_id = id and hold_id = id and hold_id = 00001
while ( @nextId is not NULL)
begin
print '---working on %1!', @nextId
select @execQuantity = quantity, @buysell = buysell from exec,order where id = @nextId and id = order_id
if (@buysell = 0)
begin
print '---its a buy---'
select @hldQuantity = @hldQuantity + @execQuantity
end
else
if (@buysell = 2)
begin
print '---its a sell---'
select @hldQuantity = @hldQuantity - @execQuantity
end
select @execId = @nextId
select @nextId = min(id) from exec,order,holding where id = order_id and _id = holding_id and port_id= 00001 and exec_id > @execId
end
print "--the hold quantity %1! --", @hldQuantity
Monday, November 9, 2009
近期总结
1、学而不思则罔，思而不学则殆
比较喜欢目前工作的一个重要原因就是每天都能遇到新的挑战，而不是机械的重复同样的事情；每天都能接触到新的知识。但是，也有一个令人沮丧的地方，就是每天都疲于理解和实践新的东西，而没有时间和精力去好好弄懂并记住这些新的东西。随着时间的流逝，很多工作中接触的东西慢慢会忘掉。
现在重温孔子的这句话，真的获益匪浅。今后，尽量每天都抽出一点时间来温习和巩固工作中遇到和学到的知识！
2、拿得起放得下
我很讨厌自己性格的一个方面，就是做不到拿得起放得下。每次遇到一些事情和人，当触到自己心灵的时候，往往变得非常敏感和冲动，有时候甚至不能控制自己的情绪和感情。说得难听一点就是非常幼稚。真希望自己能够坚强一点，成熟一点。
3、Public Enemies
这是我近期看得一部电影。John Dillinger，一个传奇人物。Byebye Blackbird，最后听到这句话的时候，我眼眶湿润了。
some reading notes - Essential C++
1. this is doable - overload based on the constness
class T
{
public:
const tClass& val() const { return _val; }
tClass & val() const { return _val; }
}
2. a good practice - make sure two class objects are not the same when copying
T& T::copy(const T& rhs)
{
if (this != &rhs)
{
_var1 = rhs._var1;
_var2 = rhs._var2;
}
return *this;
}
3. static class members - the single, shared instance that is accessible to all the objects of that class (static members); don't access any non-static class members (static member functions)
---T.h
class T
{
public:
static bool is_elem(int);
private:
static vector _elements; // we need to put its explicit definition within a .cpp file
static const int _var1 = 1024; // no need to do that
}
---T.cpp
vector T::_elements;
bool T::is_elem(int val) { ... _elements ...} // only access static members
---Main.cpp
if (T::is_elem()) {}
4. constructor, copy constructor, copy assignment operator ...
copy assignment -
M& M::operator= (const M& rhs)
{
if (this != &rhs)
{
delete [] _elem;
_elem = new double [cnt];
for(int ix=0;ix != cnt; ++ix)
_elem[ix] = rhs._elem[ix];
}
return *this;
}
5. function object - an object of a class that has an instance of the function call operator
class LessThan
{
public:
LessThan(int val):_val(val) {}
int comp_val() const {return _val;}
void comp_val(int nval) {_val = nva;}
bool operator() (int value) const;
private:
int _val;
}
inline bool LessThan::operator() (int value) const
{ return value "<" _val; }
int count_less_than(const vector& vec, int comp)
{
LessThan lt(comp);
int count = 0;
for (int ix=0;ix!=vec.size();++ix)
{
if(lt(vec[ix])) ++count;
}
return count;
}
Concepts in ITS
For holding level,
1. Delta
For security level,
1. option volatility - strick, expiry, style (A, E), put/call
Sunday, November 8, 2009
Commands by Example in Sybase
1. drop procedure XXX; grant execute on XXX to public
2. exec disableTriggers_sp & exec enableTriggers_sp
3. bcp xxx..xxx in symbs.e98 -U xxx -P ${xxx} -S xxx -c -e bcp.err
4. bcp xxx..xxx out xxx -S xxx -U xxx -P xxx -c
5. set rowcount 10
Saturday, November 7, 2009
Commands by Example in Unix
1. split -l 5000 -a 3 (-d) theFile newFile
2. egrep -v -f subFile orgFile
3. echo xxx | tee -a /home/test.log
4. Shell example - it works with bourne shell (ie, sh), but not tcsh
PHILLY$for s in `ls -1 /home/hosts/`; do
> echo $s
> ssh $s "ls /opt/lib/defaults/license.6.0"
> done
5. grep xxx XXX | awk '$2 == 1 { ++total }; END {print "total = ", total} '
6. setenv LOG_FILE /bbb/ccc
Monday, November 2, 2009
FIX Learning Notes (1)
1. unique identifiers for executions
(a) Tag - 17; Name - ExecID
assigned by broker; it's unique within a single trading day or the life of a multi-day order (we can embed a date there).
2. unique identifiers for orders, not for executions
(a) Tag - 37; Name - OrderID
3. some other fields
(a) Tag - 60; Name - TransactTime
the time of order/execution creation, expressed in UTC (aka GMT); it's UTCTimestamp, YYYYMMDD-HH:MM:SS or YYYYMMDD-HH:MM:SS.sss
(b) Tag - 32; Name - LastShares
the qty of this fill; we only process trades with LastShares not equal to zero
(c) Tag - 6; Name - AvgPx
(d) Tag - 44; Name - Price
(e) Tag - 31; Name - LastPx
Subscribe to:
Posts (Atom)
