Hi!

We want to let you know that Alpaca is launching a newsletter for quants and developers!

In the newsletter, we will update you on market & research as well as industry job openings and internships, along with Alpaca’s products and community developments.

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Here is the first newsletter that we sent out earlier today.

Let us know if you have any feedback or topics you want us to cover.

(P.S. Here’s our privacy notice 😊)


https://twitter.com/AlpacaHQ/status/1249375485630480385?s=20

Alpaca Updates

  • Brand New Alpaca Data API - Beta Testing - We want to let you know about the upgrade of Alpaca Data API that we have been working on, and now we started a beta program on an invitation-only basis. In addition to the existing Get Bars endpoint, we are adding these to the Alpaca Data API: last trade, last quote, and realtime websocket streaming trades, quotes and minute bars. If you are interested, please DM @Hitoshi Harada (Alpaca) on Slack if there is a still room in the beta program!
  • Alpaca has begun collecting interest from non-U.S. residents seeking commission-free U.S. stock trading. Please voice your interest [Source]
  • Alpaca Trade API CPP is a C++ client library for the Alpaca Commission Free Trading API [Source] — The community wrote a great overview including Client Usage (e.g.  environment Variables, Client Instantiation) as well as examples (e.g. Account Examples and Assets Examples)
marpaia/alpaca-trade-api-cpp
C++ client library for the Alpaca Trading API. Contribute to marpaia/alpaca-trade-api-cpp development by creating an account on GitHub.

Market News

  • Man Group is facing a rise in withdrawals after being hit by $10.7 billion of losses last quarter amid unprecedented volatility in global markets [Source]
  • Credit Quants faced challenges after liquidity storm upends trading. As buyers vanished during the market volatility, quants had to determine the trade-off between following their algorithmic buy-and-sell signals and paying for the transactions. [Source]
  • Quanthedge - One of the World’s Best Quant Funds  - plunged 29% after a stellar 2019, with flagship fund up 70.5% Fund delivering annualized returns of 22% until February [Source]
  • Renaissance Technologies’ flagship hedge fund Medallion has dipped its toes into the wild world of cryptocurrency trading, in a sign that the computer-driven investment group is willing to play in more esoteric markets to generate its industry-leading returns [Source] Meanwhile the company is having another record year with its Medallion Fund up 24% year to date [Source]

Research Updates

  • Trend Following Reality: You Need Trends to Trend-Follow - By Elisabetta Basilico, PhD. The authors study the following research questions (i) Has the efficacy of trend-following changed?, (ii) What factors explain the divergence in recent performance and long-term results? [Read More]
  • Inverting Differentiated Time-Series in pandas for Deep Learning Prediction Analysis: The use of differentiated time-series may require the application of the opposite process to compare true/original (out-of-sample) price-series with the predicted ones by your Deep Learning network.  [Read More]
  • Working with High-Frequency Tick Data - Cleaning the Data: Tick data is the most granular high-frequency data available, and so is the most useful in market microstructure analysis. Unfortunately, tick data is also the most susceptible to data corruption and so must be cleaned and conditioned [Read More]

Industry Job Openings

  • Quantitative Researcher, Global Quantitative Strategies - Citadel - Chicago [Apply]
  • Quantitative Engineer - Crypto Trading Core Dev - Dexterity Capital - San Francisco [Apply]
  • Quantitative Researcher - PDT Partners - New York [Apply]
  • Quantitative Research Analyst - Tower Research Capital - Chicago, Gurgaon, London, New York, Singapore [Apply]
  • Senior Quantitative Analyst - D.E.Shaw - New York [Apply]

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See Alpaca's privacy notice.

Technology and services are offered by AlpacaDB, Inc. Brokerage services are provided by Alpaca Securities LLC (alpaca.markets), member FINRA/SIPC. Alpaca Securities LLC is a wholly-owned subsidiary of AlpacaDB, Inc.

You can find us @AlpacaHQ, if you use twitter.