Author Archives: regadmin

EDGAR timestamps

I need precise timestamp in order to study the market reaction to news. Sadly, the SEC has not joined the exchanges in providing nanosecond timestamps from GPS-synced rubidium atomic clocks. Rather, it looks like the best EDGAR timestamps I can get from the SEC are only accurate within a couple of minutes. Here are three ways to get the timestamps:

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EDGAR tickers

EDGAR is the Electronic Data Gathering, Analysis, and Retrieval system used by the SEC. Companies submit regulatory filings (such as quarterly reports) into the system, which are then made public for us to download. These filings are the primary focus of my research. In order to study the market reaction to them, I need to match each filing against a ticker.

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Poor man’s cluster

This part might just be me cargo-culting, but I feel like even a startup quant fund needs a compute cluster. I once even heard a joke that any self-respecting quant should be able expand their computational needs to fill an arbitrarily large number of servers. The cluster I’ve just built is a low-budget clunker, made of a motley bunch of leftover and refurbished servers, linked together with parts off eBay. But I’m very proud of it!

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Reviews of distributed filesystems

I have a lot of data to work with, and I want to do it with just my mismatched bunch of servers, desktops, SSDs, and spinning disks. My equipment is old, so I want a filesystem that is robust not only to the failure of any drive, but also to the failure of any one machine. My preference is to build a hyper-converged system, where each machine hosts data in addition to working on compute jobs. Following are reviews I found on the main open-source distributed filesystems out there:

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Securing a research VLAN on a retail router with DD-WRT

I’m building a lean operation here, and I don’t really have need of a high-end firewall, along with their associated licensing costs. So, I’ve decided to try firmware-modding a retail router. I’m hoping it will be an inexpensive way to increase security and get a few more features than a typical WiFi router.

After a bit of reading, I settled on the Netgear Nighthawk R7000, partly because it was in stock at Walmart. Right on the box, it promotes a firmware-modding website run by Netgear. It is compatible with DD-WRT, which has some nice features.

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And so it begins

Today I am taking my first step toward building a quant hedge fund completely from scratch. I have no partners or intellectual property, and only enough savings to support my family for five years at our current burn rate. I know it will very likely not work out, but I’m still going for it.

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