Examples

Technical Knowledge + Worked Examples

Unix Command Line (trade log retrieval)

For BA analysis into trade messages, I regularly use command line prompts to navigate and view directories/files in Unix environment on Windows. Used to view both internal trade messages and ones communicated from external systems.

ls -altr, cd, less, more, /, grep, cat

I do this by:

Launching PuTTy session (SSH) and login to correct host address (dev, prod, uat, qa etc)
Session logging to create txt file of lines viewed during session
Alter PuTTy window display properties to view greater/fewer lines of code per screen

SQL query/scripting

Current role uses SQL for database extracts of trade data where analysis into specific use cases is required. Generally I work with developers to define the SQL query before they run it and return csv of data for me. This is particularly useful for HFT algo flows with exceptionally high trade volumes (other flows we may do a simple date range extract of all trades in Splunk as that is quicker to run/export).

Commonly used commands: SELECT, WHERE, CASE, AND, OR, THEN, BETWEEN, FROM, ELSE

e.g. if investigating a data quality issue where strike price is sometimes populated incorrectly as a negative value, may use something similar to the below to return relevant trades for analysis from order management system database

SELECT tradedate, tradeID, strikeprice FROM tradedata 
WHERE tradedate <= 20230416 AND tradedate >= 20230116
AND strikeprice < 0
AND strikeprice IS NOT NULL

-- general rule I try to select as few columns/fields as possible to reduce runtime.
-- Only exceptional cases would use SELECT *

Python – Commodity Futures pricing/valuation example (Brent Oil)

> Click here to view code

Output:

Improvements to further build out:

Create ability for user to input desired variables, e.g. trade and expiration dates, no. of units, estimated spot price on expiration date etc
Display as a pop out window
Automated pull in of current spot price and risk free rates from external sources (e.g. here could use web scraping, business setting can parse a lookup to other systems)
Ability to calculate prices when there is FX exposure (settlement currency different o underlying currency)
Ability for user to choose current timezone to reference calculations to
Ability to compare projected profits for more than one estimated spot price
Add error loops and ability for user to run through pricing more than once before exiting the code

MATLAB – University coursework coding examples

Please note: these codes will not run without original data sets, I have instead attached screenshot results below to show output.

Regression analysis of insulated high voltage power lines

> Click here to view code

Performed regression analysis on large .txt dataset for high voltage power cables with varying insulation: