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Dear friends of CoSy
Time marches on ; CoSy gets ever more powerful .
I often feel dragged by what I see is possible -- or necessary ,
when a more conventional path would be much more comfortable .
But , I guess that comes with the territory and I'm addicted to
the view . ( See CoSy/Life )
Here are links to the branches of my recent activities :
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- TradeSpeed "Speed of Thought" Quantitative Analytical Applications
and Trading Systems Development .
Working with Scott Gordon and Jeanne McConnell of JTM Associates ,
we developed and demonstrated an environment integrating the "NoteComputing" environment of K.CoSy with Kx's Kdb and "Tick and Quote" systems .
In Scott's words , this marriage creates "the highest performing, most
technologically advanced, most intuitive strategic investment management
analytical applications and trading system."
Here's a screen showing the nature of the environment ( click to enlarge ). The CoSy Job window `.CoSy.Kdb on the left provides the critical "NoteComputing" interface . In the `text window , a line has been executed in Kdb ( by tapping ctrl_q ) selecting average price , etc , in 5 minute buckets from a model 'tic' data base ( peeking out on the upper right ) . The line is repeated in the variable `l and the result virtually instantly in the variable `r . The notebook character of the CoSy environment is apparent . A "day line" has been inserted ( by tapping f12 ) showing this work was being done back on March 12th . Without going into details , several other lines do such things as select first and last prices and volume , and something I find particularly interesting , delta dollars or cash flow over selected time buckets . These lines are in Ksql Structured Query Language and are clearly pretty readable . The first couple of lines below the dayline are in the K language itself in which both the Ksql vocabulary and the CoSy vocabulary are defined . These lines were executed by tapping the f7 key . While Ksql is very powerful within its domain of ordered relational data ( a super set of SQL ( which suffers from having no notion of order ) ) , K is among the most powerful general purpose notations for expressing complex structures and algorithms . An example of the sort of problem which will yield to K.CoSy is the Conic All Connect below .
The Trade Speed environment was created in about 30 working days over a month and a half , by far the greatest portion of which was spent gaining a basic mastery of Ksql with the excellent support of Danny Moore in the New York office and everybody whereever at First Derivatives , the global marketing and support partner of Kx .
Please contact Scott and Jeanne to arrange to see this environment for yourself .
- I have also found it very useful and interesting to attend the weekly Mathematical Finance Seminars organized by Marco Avellaneda and his colleagues at NYU Courant Institute . The math is at the very edge of my knowledge . The world of APL and K are totally finite data based ; Generalities from functional analysis like measures on continua are far from everyday thoughts . I learned most of my math sitting in on courses and hanging around mathematicians in my later years an NU , and I've found that eventually the major ideas connect themselves . I found out about the series from a link on Island ECN which in turn is a customer of Kx . Island is at the front of a revolution which reminds me of advent of sonar for the sport fisherman . Island displays the bid/ask limit books on the instruments they trade . Awesome .
- The great Small Cap conference host , whose frendship I will always appreciate , John Westergaard , passed away this winter . See CoSy/Home#WallSt for more .
The first half of April was spent immersed in annual slave work for the IRS .
The integration of Ksql with K.CoSy motivated and facilitated
thru the creation of the TradeSpeed demo with Scott and Jeanne ,
with a technical clue from Mike Rosenberg of DFA on the K listbox , was of substantial utility in simplifying a number of aggregations for various line items .
The universality of the K-tree structure and Arthur Whitney's brilliant electric interface make it perfect for implementing hyperlinked accounting structures , and I must admit that such problems interest me as prerequisite to time series analysis . Systems for governmental compliance are required by State force in whatever geographical monopolies of force you do business in before you can start currancies flowing .