Difference between revisions of "User talk:Nicholasferguson"
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'''Programming performance/Nick Ferguson KDB+''' |
'''Programming performance/Nick Ferguson KDB+''' |
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| − | Language: KDB+ |
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| − | Skill: Intermediate. |
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| − | Time: Approx 120 minutes. With interruptions. |
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| − | '''Code:''' |
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| − | 1. This solution implements a real time 'continuous query' pattern. It decides to rebalance a portfolio, by running strategies, sequentially over each incoming price: first a buy strategy, then a sell strategy. |
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| − | 2. Thus it can be plugged into real time data streams. |
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| − | 3. This solution runs two strategies, while also building and updating a portfolio. (buy then sell strategy) |
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| − | 4. Thus, it allows 'n' number of strategies to be run sequentially: weights, deltas, gammas, betas, alphas, CVAR, buy, sell...etc Each strategy, is in a separate module(s): buy and/or sell. And of course different implementations can run different strategy sequences. |
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| − | 5. It lends towards ease of regression testing, since it continuously builds and updates a portfolio. |
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| − | 6. This solution builds in an ease to refactor and remix strategies, and can scale to handle a multitude of incoming data streams. |
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| − | /////////////////////////////////////// |
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| − | //cashout at the last x price.... |
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| − | k)x:|1_*(" F";" ")0:`gspc.txt; |
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| − | p:([]sh:`float$();bp:`float$();sp:`float$();csh:`float$()); |
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| − | cc:1e4; |
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| − | x2:0; |
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| − | buy:{$[(1.03*x)<x2;$[cc<1e4;$[cx>.00009;[p,:(cx*.10%x;x;0.0f;a::cx*.90);cx::a;x2::x];];[p,:(cc*.10%x;x;0.0f;cx::cc*.90);cc::0]];];x2::x}; |
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| − | sell:{$[(count p.bp)>1; $[(count pd::select r:i from p where not bp=0.0f,sp=0.0f,bp<0.94*x)>0;[p,:(-1*sum p.sh[pd.r];0.0f;x;cx::cx + x*(sum p.sh[pd.r]) );@[`p.sp;pd.r;:;x] ];];];}; |
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| − | cashout:{last p.csh + ( sum p.sh)* x}; |
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| − | \t [rebal:{ buy@x;sell@x;pd::()} each x;cashout[z:last x]] |
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| − | show p |
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| − | nicholasferguson@wingarch.com |
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Latest revision as of 16:57, 15 March 2007
Programming performance/Nick Ferguson KDB+