Posts

Showing posts from January, 2025

Backtesting Pipeline Feed to ExSan & Clustering Setup 01

ExSan ExSan iX     ilinkedIn         exsan.plusplus@gmail.com   Mon Jan 27 09:16:42 2025         x: R.J.Y       JOB: xsnPortfolio_1642xsnPortfolio Previous           Back Testing Algorithmic Trading Modern Portfolio Simulator - Some Code           Next    File: F:\\\\exsan\\\\xsn_out.txt        1        2     |ExSan| C++  |ExSan|                                 Mon Jan 27 09:16:42 2025       3        4     JOB...

🔥 ExSan Pushing the Limits of High-Frequency Trading with C++ 🔥

Image
High-Frequency Trading with C++ — Blog Update 🔗 Check out the live post on LinkedIn In the initial implementation, a new cluster was created each time new data was read from the simulator's data stream. I observed that this approach resulted in significant time consumption due to the repeated creation and deletion of clusters. To address this, I developed a method to reuse the originally created cluster, substantially reducing overhead. The method for this improved version is quite simple: the clusters are declared static from the beginning, allowing them to persist and be reused. Because of the nature of the clusters — they are implemented as Red-Black Trees — if there are not enough nodes to accommodate new data, the code simply adds additional nodes dynamically, allowing for seamless expansion. This optimization was applied while feeding ExSan with my market simulator, which mimics the asynchronicity of ...

Roberto Santander - Resume

Roberto Santander - Resume Roberto Santander robsantander@gmail.com | Professional Summary Innovative C++ Developer and Quantitative Finance Researcher with over 25 years of experience in software development, financial modeling, and applied research. Expert in developing high-performance systems for quantitative analysis, including algorithm design and real-time market data applications. A strong academic foundation and demonstrated history of publishing research on market dynamics and computational finance. Professional Experience Project Director - ExSan (Current) - Designed and developed ExSan , an advanced console-oriented spreadsheet software for data mining, quantitative analysis, and financial modeling. - Integrated with Interactive Brokers C++ API , enabling real-time market data research and analysis. - Conducted independ...