Multi-var Calc (part 1) + quantpylib updates
As mentioned - moving on from our notes on Cython -
this week - we are adding multivariable calculus to the market notes, part 1. We will also finish this up in 2 parts. Afterwards, we will be adding Cython examples to the part on advanced Python with ringbuffer and limit order book case studies.
These are actual optimizations made on quantpylib, and are currently available in the experimental/ folder. I have already run the benchmarks to ensure the behaviour is unchanged but significantly more performant - meaning users/market makers using quantpylib do not have to change code and will benefit from the latency improvments. I just have a few more cleanups to do and we will integrate that into the main logic flow in exchange wrappers.
For anyone who read the notes on Cython I wrote, these should be easy to comprehend.
Obtain the repo pass here.
The market notes update this week (962 pages);