Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
1,116 documents
The document distinguishes four common quantitative finance roles: quantitative trader, quantitative researcher, financial engineer, and quantitative developer. Traders search for profitable signals and build trading algorithms. Researchers develop…
This tutorial explains how to configure SLURM on a Raspberry Pi cluster so researchers can submit parallel workloads from a login node. It outlines the roles of the control node and computational nodes, shared configuration through NFS, resource allocation…
This introduction to electronic market microstructure explains how market orders and limit orders interact. Limit orders specify a price and quantity, rest in the limit order book, may fill partially, and can be cancelled. Market orders seek immediate…
The article explains how PhD graduates can assess their fit for quantitative finance jobs. It describes competition for research roles, notes that sought-after candidates may be recruited for specialized expertise, and points out that smaller funds can offer…
The article describes high-frequency trading as automated trading that processes market information and executes orders at very low latency, with little discretionary input after deployment. It outlines the competitive, technically demanding nature of the…
The article compares the typical financial engineering master’s curriculum with the capabilities quantitative funds seek when hiring. It lists common coursework such as derivatives pricing, numerical methods, portfolio optimization, risk, programming, and…
This development diary describes changes to a forex trading system: correcting how positions use bid and ask prices, adding historical tick data from CSV files, and building an initial event-driven backtester. The position update distinguishes trade…
The article compares C++, Java, C#, Python, MATLAB, and R as routes into software roles in finance. It connects C++ with maintaining older systems, numerical pricing libraries, and trading infrastructure, and describes a further specialization in…
The document introduces the limit order book as the collection of outstanding buy and sell limit orders. Market orders seek immediate execution and consume available liquidity, while limit orders wait at specified prices and provide liquidity. The best bid…
This document is a categorized reading list for people entering quantitative finance. It groups books on financial markets, quant interviews, systematic and high frequency trading, econometrics, mathematical finance, interest rate derivatives, and…
The article considers whether someone without a formal degree can enter high-frequency trading, defining its focus as trading at millisecond or microsecond speeds. It describes the technical work involved: low-latency programming, operating-system and…
This article outlines what mathematical finance doctoral study involves and how it differs from a financial engineering master’s route. It describes graduate training as a shift toward independent research, with program structures varying between the United…
The article compares fast research backtests with event-driven systems designed to model market interaction more realistically and potentially reuse strategy logic in live trading. Research environments such as MATLAB, R, Python, and spreadsheets support…
This article extends a context-aware reinforcement learning framework for cryptocurrency trading with a risk management module. In the described two-stage setup, market conditions are classified by trend and volatility so specialized sub-agents can learn for…
The article describes an MQL5 entry signal that encodes each of the last 64 bars as a binary value: bullish bars set a bit, while other bars leave it unset. A perceptron then adds the weights for active bits to a bias to produce an activation score. The…
The article explains how to export MetaTrader 5 tick history for offline analysis using a compact binary file instead of CSV. It specifies a 64-byte header and fixed 48-byte tick records containing millisecond timestamps, bid and ask prices, last price,…
The article explains how OpenCL enables parallel calculations on compatible CPUs and GPUs and how this capability can be used by MQL5 programs. It outlines hardware and software prerequisites, distinguishes GPU driver installation from CPU SDK setup, and…
The article reviews ways to detect when a new chart bar appears and develops a more reusable event-handling approach for MQL5. It identifies problems with a simple function that stores the last bar time in a static variable: repeated calls can interfere with…
The article describes adding tick-level storage to the DoEasy MQL5 library. It treats each tick as a data object based on MqlTick, with additional symbol and spread properties, and proposes maintaining a bounded list of tick objects for each symbol. The…
The article describes implementing SHA-256 in MQL5 and using it to produce HMAC-SHA-256 signatures for cryptocurrency exchange API requests. It first compares a built-in MQL5 hashing example with a Python HMAC example, then identifies the key issue: the…
This article shows how to package OpenCL operations in a C++ DLL that can be called from MQL5, as a step toward adding GPU computation to MetaTrader programs. The example exposes functions to enumerate available OpenCL platforms and devices and to add two…
This article continues an MQL5 implementation of CATCH, a neural approach to anomaly detection in multivariate time series. CATCH transforms series with the Fourier transform, divides the spectrum into frequency patches, and uses complex-valued convolutions…
The article explains how to keep an MQL5 expert advisor responsive while it fetches data over HTTP. Since WebRequest blocks the EA’s single execution thread, incoming events such as ticks must wait while the request runs. The proposed workaround splits…
The article extends a Times and Trade display for tape reading by adding a text panel that summarizes timing and trade information. Its market microstructure discussion distinguishes changes in bid and ask quotes from executed trades, and explains that stop…