Logging in Large Math Models

At Man AHL, they are using an interesting approach to logging. They are storing inputs and outputs from their maths functions, serialised in HDF5 files. The HDF5 files are stored in a shared filesystem so they are available to all developers.

In building algo trading models, we had to log all the decisions made by the algorithm. This meant logging all the Order Books the decision was made on, as well as other inputs to the decision making process. We built custom Java code to handle this process.

Getting the Website back together!

Well, it’s been an age since I even thought about this website. I think I registered the domain over a decade ago, with the aim of building a site that would be a useful resource to Quant/Developers, and then never did anything with it. Lately I’ve become a fan of the “do a little bit of work on different projects every day” approach to getting things done, instead of being a perfectionist about getting the perfect website together. With this aim, I will try and post something up here about Quant/Development every day.