Alpha of The Week (#61)
A couple of days ago, we sent out the full report containing ~50 pages of code on data retrieval methods for an assortment of asset classes and security types. I intend to continue to add on to this - but perhaps will only include intermittent versions and publish the mature version of it much later on or in a compiled book for paid readers. The main thing I wanted to highlight is the code structure and how expansively we want to incorporate the data library in our system. I think most of the extension of additional features can be extrapolated from what we demonstrated.
Now, we cannot be making hundreds of thousands of API calls everyday to retrieve data for what we need. Network trips are expensive and so are the API endpoints. We want to introduce a certain layer of data service storage, but this is a non-trivial task. The next discussion/paper is regards to designing and implementing a quant database system.
The idea is that we will demonstrate the process and improve our solutions iteratively. Paid readers will get access to the full code and the iterative improvements, while all readers will get access to some of the discussions and thought processes behind our implementation.
For paid readers,