Alpha of The Week (#69)
Last week was an important share on trading costs.
This week (and the next), we will look at 2 things.
We have shared the code on programming a database service - but that was still rather crude, where operations on 300 tickers with full read/write capacity took us 3 minutes (down from 14.5minutes on the original version)! Can we do EVEN better and get it under 1 minute? - for paid readers!
We implement a simple asynchronous Python engine for setting up an order fill infrastructure with i) limit orders and ii) market orders on unfilled orders at the end of an execution window. This will be the template for which we can expand into more advanced execution strats.
We will share the basic engine to all readers - and paid readers get future revisions!