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Against the synchronous society
@mildbyte 1 week, 6 days ago work thoughts
PhD comics Introduction Imagine if we could turn this: into this: The first picture is a graph of how many people enter the London Underground network every minute on a weekday. The second graph is for the weekend, except slightly ...
project Betfair, part 8
@mildbyte 2 weeks, 5 days ago programming python betfair scala
Introduction Previously on project Betfair, we gave up on market making and decided to move on to a simpler Betfair systematic trading idea that seemed to work. Today on project Betfair, we'll trade it live and find out it doesn't ...
12 months, 24 albums
@mildbyte 3 weeks, 3 days ago music
Introduction This was a weird year. In the world, we experienced the first year of a Trump presidency and Britain's first attempts at trying to leave the European Union. On my side, I left my first job in the first ...
MTA, SPF, DKIM, PTR, WTF: a quick checklist on how to send e-mail from your domain
@mildbyte 3 weeks, 6 days ago programming kimonote email
Introduction While I'm writer's-blocked on continuing with project Betfair (well, more like blocked on not being able to reproduce my old research results in order to fit the narrative I thought I had), here's a quick story from the development ...
project Betfair, part 7
@mildbyte 1 month ago programming python betfair scala
Introduction Previously on project Betfair, we ran the production market-making CAFBot in Scala, got it working, made some money, lost some money and came back with some new ideas. Today, we'll test those ideas, look at something that's much more ...
project Betfair, part 6
@mildbyte 1 month ago programming betfair scala
Introduction Previously on project Betfair, we spent some time tuning our market making bot and trying to make it make money in simulation. Today, we'll use coding and algorithms to make (and lose) us some money in real life. Meet ...
project Betfair, part 5
@mildbyte 1 month, 1 week ago programming python betfair
Introduction Previously on project Betfair, we started fixing our market-making bot so that it wouldn't accumulate as much inventory. Today, we'll try to battle the other foe of a market maker: adverse selection. Order book imbalance Consider the microprice from ...
project Betfair, part 4
@mildbyte 1 month, 1 week ago programming python betfair
Introduction Previously on project Betfair, we implemented a simple market making strategy and backtested it against some horse races, with disastrous results. Today, things get better. Greyhounds Though most of this has been done on horse racing markets, I was ...
project Betfair, part 3
@mildbyte 1 month, 2 weeks ago programming python betfair
Introduction Previously on project Betfair, we started collecting dumps of Betfair order book data from the Stream API and learned how to reconstruct series of events from those with the aim of using them to backtest a market making strategy. ...
project Betfair, part 2
@mildbyte 1 month, 2 weeks ago programming python betfair
Probably the hardest thing about writing this will be piecing together what I was doing and thinking at the time. Keeping a development diary was a great idea, it's just a shame I started it 1/3 of the way into ...
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