A Quanting We Will Go (Or what I did on summer break)

It seems a lot of my friends don't really know what it is I do on the side with Stuart and, recently added to the team, Michael. For several years now, Stuart and I have been developing, off and on, an automated forex trading system. Forex is a term for foreign currency exchange, which means we sell one currency and buy another, shifting our assets between the currencies at, hopefully, opportune times. We deal with the Euro/US Dollar (abbreviated to EUR/USD) pair for a few not-to-be-disclosed reasons. So, when the Euro is high relative to the dollar, we exchange it for Dollars; when the Dollar is high relative to the Euro, we exchange it for Euros. The system we are building is automated, so it tracks various points of data and decides whether one of the currencies is high relative to the other and executes trades at the right times. There are, obviously, many pieces of information missing there, but that's the general idea without revealing trade secrets :)

This was one of the projects I took up when I got back from HK, part of the new-Britt system and the mantra 'Make it work.' When I made it back to Stillwater to see Stuart, I kicked this project into high gear after a long hiatus. I've been working on it since the end of December and have made substantial progress on the back-end (that means the programming part of it). Michael joined us a week or two ago, which is fantastic as he is a great programmer and on the short list of intellectual equals ;) His skillset is slightly different than my own or Stuart's, which helps a good deal. Mike and I have rebuilt the code from the ground-up, implementing new features, the ability to add more features in the future, and most importantly, rigorous testing features. Previously, I had to tweak our system and then watch it run on live data throughout the week, looking for patterns and tweaking further. We can now run the program off old data, seeing the results of a week's worth of trading within seconds. The last key part was finished by Mike tonight: charting. Having nigh instantaneous results is fantastic, but it takes me vast quantities of time to go over the data and look for patterns and fixes. When I get up later today, I should be able to do a little bit of programming and then jump right into my real job of quanting (yes, I made up that word).

Mike informed me that the position I filled for the company was officially called a Quantitative Analyst, or Quant. Basically, I look at all the data, find patterns, try to codify them, and then implement them in a program that takes advantage of those patterns. Starting tomorrow, I should be able to run a month's worth of data and then start zooming into various hot points of the month to examine what was happening with the markets and our system at the same time. This should allow me to pinpoint important changes and quickly test them, arriving at a vastly improved system in a fraction of the time. It may sound geeky (and it is), but I am very excited.

That is one of the things I do outside of law school (and law completely). I also write, edit, and project manage games for Wizards of the Coast (Hasbro), but that's ending this summer and was more of a hobby that turned into a job. It also doesn't sound nearly as impressive ;)