Algorithmic Trading Resources

Books

• Numerical methods in Finance with C++ very concise and programming-oriented. You have to be familiar with the methods before reading it (binomial method, finite difference, implied volatility with Black Sholes...)
• All About High Frequency Trading very unpretentious book, easy to read. Gives practical tips about the physical architecture of an automated trading platform.
• C# for Financial Markets very dense. Not much prose, many bullet points. Describes patterns for bond pricing, binomial method, finite difference method, interaction with Excel, C++/CLI... 
• Financial Instrument Pricing using C++ (review by QuantStart)
• Top 5 Essential books for algorithmic trading (QuantStart)
• Paul Willmot on quantitative finance
• Architects of Electronic Trading (SafariOnlineBooks)
• Encyclopaedia of Financial Models (SafariOnlineBooks)
• Large reading list from QuantStart

Overviews

• NumericalMethod courses the slides give a rough overview of the tools/strategies used for algorithmic trading.

Strategies

• Cheat sheet for algorithm trading (PDF) Deals with margin accounts.

Sites

• Quantopian algorithmic trading platform: web app that allows you to create algorithms and back-test them using historical data.
• Quantstart has a list of free resources here.

Open Source Projects

• Algo Trader: written in Java, there is a an open source version and full featured enterprise version. The architecture diagram is interesting.

Technology

• Trading floor architecture diagram from Cisco 
• Large file storage: HDF5
• High speed time series databases: kdb, OneTick, Reuters Velocity Analytics (formerly Vhayu)
• Big data in banking: how four financial giants crunch big data.

Courses

• Computational investing 8-week online course on coursera.

Learning Japanese

What can you do when you take the tube? Read the free version of the Evening Standard or learn Japanese with flashcards.

Same as for Chinese I use cram.com so store my vocab.

I started re-arranging the vocab list in 3 columns, separating Kanji from Romaji. like this:

You can import this format into cram.com which supports 3-sided cards.

Then you download those cards to Flashcards Deluxe where you can choose which side to use for the prompt: either English or Kanji.

One backup is never enough...

I had trouble with my backup lately when switching to a new MacBook. I tried restoring the data to the new machine as a test.

The WD Passport software restore failed (it restored a 6-month old version of my files for some reason). Since the WD Passport software doesn't have a backup tool for Mac, I tried to configure it with Timemachine instead. The WD Passport USB drive died. I reformatted it from Windows: impossible to write to it any more. Surface tests with the WD diagnostic tools failed. It probably didn't like the whole traveling thing.

The Mozy restore worked fine.

So here is the new setup:

Off-site backup

• Automatic backup to Mozy using local encryption with passphrase. 

On-site backup

• Automatic backup to a USB drive with TimeMachine and Apple encryption.
• Manual backup every now and then of sensitive files to a USB key protected with Truecrypt. It's good to have a simple copy of your important data. A simple, straight copy that doesn't require backup software. Because DVDs are out, a simple USB key should do.

The main disk is encrypted with FileVault. 

I'm still using Mozy but I'm considering moving to Backblaze that also offers local encryption with a passphrase that no one else knows and unlimited storage. Also Backblaze claims to be able to backup data from a USB drive as well without getting confused. I tried doing this with Mozy and it got mad, deleting all my files from the server as soon as I unplugged the drive.