Tag Archives: Storage

Intertemporal commodity pricing storage and how it affects a market tonite

For my Quant Elite members, here is the login info for tonight at 8PM EDT

Intertemporal commodity pricing storage and how it affects a market

http://quantlabs.net/academy/intertemporal-commodity-pricing-storage-and-how-it-affects-a-market/

Meetup details:

https://www.meetup.com/R-Matlab-Users/events/233265095/

https://www.meetup.com/quant-finance/events/233265094/

For those that are interested in long term automated trading success, please read.

I will be removing all generous bonus offers beyond a year. That time has now come upon us. I am doing this to remove extra content as I do my product/service reset in a couple of months.

Do note that this is the first notice of the final removal of all extended bonus offerings in my Quant Elite membership. There will be one last final notice going out tomorrow to close these page offering links after Thursday. That is less than 48 hours away!


Here is what I got:

  1. My 2 bonus pages are currently up for a limited time. They offer either an extra three months for a one-time payment or an extra six months as well. This is for my Quant Elite membership that includes:
  2. A. Online courses including my futures and options algorithm which goes till February 2017. Full details here
    B. There are too many software demos gems with source code to list here but you can see my detailed video here. Do remember that this will all be removed in a couple of months so this availability has a limited shelf life.
    C. As I mentioned last week, I will be doing potentially full day two live separate workshops on demonstrations of integrating your programming with Interactive Brokers TWS with Redis and Java. I am also hoping to do another with Apple IOS Swift front mobile apps for charting development. You will of course get access to both of these! These will be one time only as LIVE events.

Here is how it is different:

If you really want to learn something that is very unique in jump-starting your trading infrastructure and knowledge, this is a membership you should consider. As I mentioned above, I made a 30-minute video that lists all the hidden gems I usually don’t promote online. It is that exclusive! It is too much to list here but I will say this, it will all vanish within months forever.

Everything mentioned is on a countdown to go bye bye. Do note that many of these techniques will be used to leverage my upcoming analytics service to be released in a few months. So when that happens, this was the technology that drives many of the reports, charts, and other data analysis you will see in this new service! Once again, this will be your last chance to get access to this content.


Here is what you can do:

1. There are two pages that will stay up until midnight Thursday Eastern daylight savings time. If you are interested in any of these bonus extensions beyond a year, now is the time to act as they disappear after Thursday. That is less than 48 hours away


–> If you were interested in getting three extra months click here


–> If you were interested in getting six extra months click here

Lastly, do remember that this will be the absolute last time you’ll have these bonus extensions offered beyond a year!

Not only that, I will be removing all of the hidden gems in this membership which has been described in the video above. This will take place within a few months!

 

 

 

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Demand for storage and foreign currency trading

Demand for storage and foreign currency trading

This from my that futures and options trading course so see video

demand <- attached images

Refer to demand for storage chart image.

The shifts right  to D1 when increase in Xt, decrease in Xt+1, or increase in St+1. If expected production is to go down increase their production this. There’s a fall and expected production next period (next winter] so as we go into the winter months. Demand for storage will shift to the right need to bring more into the winter as production for current period May be affected.

Demand Will shift to the left to D2 if there is a decrease in Xt, increase in Xt+1, or a decrease in St+1

Refer to net marginal cost and supply of storage attached chart. We are mostly interested in that marginal cost of storage. Supply curve contains physical cause, risk aversion and marginal convenience yield.

The physical cost of storage represents marginal cost providing stocks. We are interested in marginal physical cost for O’t. The more physical stock stored increases O’t. The curve will be flat for a while since you have enough inventory for your warehouse storing your commodity. Once you hit a certain capacity your O’t Will rise. You get to rot so this includes a such things as our insurance of the fact that there’s not been to the cost associated with the money that’s invested in the physical inventory on maintaining the the warehouse etc. almost physical cause were part of

You also have the risk aversion factor where merchants carry inventory become risk-averse or r’t. Good morning inventory they store the more risk they carry.these merchants need to be paid for taking on this risk for storage. The marginal risk is low for a little volume of inventory but as the stockpile increases, The cost factor increases.

Marginal convenience yield is the negative cost. A producer will carry a pipeline stock which is enough to keep your plant running for a couple of weeks.they will keep an inventory on hand to keep a plant running so that becomes a yield of convenience.on the stockpile is low the convenient yield becomes hi as well.

The stocks that I keep you running for the first week are more valuable so the marginal convenient shield will decrease over time. As you add stocks to your inventory the marginal convenience yield Will decline.

When you stack all three charts on top of each other, so for small physical cost you’ll have high marginal convenient yield and vice versa.when you add all three charts of physical cost,  risk aversion and marginal convenience yield, it will total that marginal cost of storage. For Net marginal cost of storage, The line is below zero because it includes the high Marshall convenience yield which is negative. At the other end of the same line, you’ll have high physical cost and high risk aversion with low marginal convenience yield. This is why the net marginal cost of storage line is s shaped. You can find a level of supply by looking at at the price spread even if it is negative, some stock will be carried forward. If the price spread becomes negative it is the inverted market or a inverted caring charge. This is unusual. The curing charge  is supposed to be positive as there is a charge for storage. If the net marginal cost of storage line is below zero,  do you have a inverted market. You are at the low-end of the supply curve. If the storage cost is negative you only keep an inventory for the convenience yield.

 

When you look at attached supply and demand storage chart you’ll find a equilibrium that H Working referred to. He said when you look at inter-temporal prices, The price between different future months with the spot price.

For example, spot equals three dollars, July contract of $3.50 there is a price spread of $.50. With a September contract of $3.25 you will have a -$.25 spread. You can explain this by the supply and demand of storage where they intersect. If they move to the right on the supply curve, you’re demand has shifted and your spread will be larger. The supply curve will not change much. But your demand curve can be negative or do you have an inverted market.

 

For a basis convergence: cash delivery market. The basis is the difference between a future price and cash price. If the cash or spot price of the delivery are the same location in the contract, The futures price will be higher than the spot due to cost of storage. As you approach expiry these two prices a future in cash will converge so the basis will narrow. Pieces can be predictable for certain spot markets. As a result the bases can approach zero towards expiry.

In the example of actual basis image,  – Line is l

 

Which affects your currency trading?

 

You can do currency trading in the futures market. The position size are manageable for individuals. You don’t need a big movement for profit. Leverage can be used to increase your profit. Interest rates affect currency markets who pays the highest. Inflation will affect the purchasing power of a particular country. Monetary policy affects by tightening or loosening money supply. Trade balances affect importing or exporting of the country. Economic growth affected based on Business cycle of a country as in recession or recovery. Political stability where there could be a political change.

 

If you hear the cash or spot price and you want the future price, the future price will equal one divided by cash.

 

As part of risk management your order should be decided before the market opens. You also need to have an idea of where the market will go. Do you limit your with risk but let the profits run.

 

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Inter temporal commodity pricing storage

Inter temporal commodity pricing storage

Index futures
Future contracts are written on weighted index. Settlement takes place at The value of the index in the delivery month. If you long you must reverse the position by the last trading day. It’s also reversed at the price equal to value of the spot on that day. If you fail to liquidate the clearinghouse will close for you at the prevailing spot of the S&P trading day. It is 250 times the price of the index. So if you open a contract at 1000 and it moves 40 2 months later, that has a price movement of $10,000. If you long you would be up 10,000 versus shorting would be -$10,000
The NASDAQ 100 can be more volatile. So if you have an upward price movement of 100 so the contract is 100 times the price. So I could move up $10,000 in two months.

Inter-Temporal commodity prices
Soy price $5.05 per bushel and $3.87 for a wheat futures. See attached photo. Cash price is same as spot price. You need to specify the delivery location for the cash price which is specified in the contract. Most future contracts settle in Chicago but some may be delivered for Stockton. There’s a difference between cash and futures which is the basis. Basis is the difference between the futures and the cash price. In the attached photo you’ll see Soy bean futures price rise because of storage fees. If you hold the soybean commodity between November and March, the storage of it will cost money. So you can use inter temporal pricing into the future against today’s spot price and add the cost of storage.
If you’re March future went to 570 with a $.40 gap November did not change, so sell March it would go up from $5.54 to $5.74 and store buy November take delivery so sell in March take the $.40 difference but it only cost $.20. There is a risk-free arbitrage opportunity there. This price relationship between November and March, $.40 but will come back down due to everybody wanting in which may reduce back down to the price of storage. The arbitrage of buying in my market selling in another to make a profit Will ensure for a storable commodity, The temporal prices I will never exceed the full cost of storage. This is known as the full carrying charge market.
More distant future price the higher it is accommodate stores.
In the attached photo, the week prices drop as time passes for the futures contracts. The December will go up to March drop in September. At this point there is a harvest. In this case there is a negative during charge. There is a backwardation or inversion when there is a star Carrie from the old crop to the new crop. The market will then send the signal to these producers, The soy market to be sending a positive message for carrying storage. For wheat, The market is saying to not caring or store with an inventory since there’s no positive return to carry it forward. Because there’s a shortage can be a backwardation or inverse relationship in the market.
In the attached chart future and cash price pattern storable commodity. There is a time. For December March and July contract
The spot price of 250 in August to December $.20 spread, August to March spread cost of storage is $.35 where there is a discount after July $.10. So the market is not willing to pay the cost of storage on wheat at harvest time
The same example to be applied to the oil market as well where at certain times of the year can be over production which results in temporary shortages. This is when the market can go inverted for storable commodity.
In the attached chart we expect the spot price from August to go up in March to factor in the cost of storage. Used to factor in the interest rate for the opportunity cost for storing. Even for news events we should expect the spread to stay the same throughout the year.

Refer to this attached spatial price relationship for commodity like heating oil. Because of the men will shift to the right in the winter, because inventory cost are moved forward it reduces the wild price range from summer to winter. Supply and demand is what ties these commodities together. Supply can be higher than demand at a certain price in the summer. If the price is $.42 in the summer The market would not clear. This means that some of the production goes into storage. At $.42 we produce 1000 units with the demand is is 800 units so 200 units going to storage. As we raise the price in the summer volume going into inventory is equal to the horizontal distance between supply and demand so you’ll see A curve called s of i on the inventory supply and demand curve. This is where the market clears in the summer. This is derived from the supply and demand of the summer which is the horizontal difference between supply and demand.
For winter, the market demand with the higher which would clear that’s $.50. Since merchants would want to store, that we could go down to $.48 were demand is greater than supply. If you go down the $.45 the difference between demand and supply even higher. If you were the price that the demand Will rise while supply will fall. Difference between demand and supply Will be transferred to the curve to the far right towards inventory supply and demand. This is D of i and the curve. This is the same as the difference between s of w and d of w for winter. Market will clear at $.50.
You also need to factor in the cost of storage with this chart.
If the storage is $.15 per gallon this also Will limit storage. If you buy at 40 and started at 50 with the $.10 return, so no one will store if the storage fee is $.15 per gallon. Storage only take place if it is less than the price spread in the absence of storage.
If you shift The supply plus the fixed storage cost by four cents a unit. You can now have a market equilibrium of supply and demand with storage is factored in. You just include to supply and demand with inventory costs. You will have the new chart with a market equilibrium of quantity Q5 from pricing Summer to winter. This will include this distance between Q1 Q2 and Q3 to Q4. For summer, Price can still go up as people expect to put it into storage. As the demand increases in winter you can expect a price drop from $.50-$.47 as it is drawn out of Storage.

See attached chart a forecast of cold weather example
The demand for oil will shift to the right. The result is is that the D of I will shift up to the right on the inventory supply and demand curve.
Dw – sw = di
Demand in winter minus supply affects d of i future

Excessive supply or ES S is equal to Ds – Ss
The market equilibrium could be .40 where the market will clear for no storage. The market may clear at $.43 see attached charts

Attached image files

IMG_2799 IMG_2798 IMG_2797 IMG_2796 IMG_2795 IMG_2794 IMG_2801 IMG_2800

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No storage, US oil price reduction?

No storage, US oil price reduction?

This would not evolve into anything positive

US running out of room to store oil; price collapse next?

http://finance.yahoo.com/news/us-running-room-store-oil-171025359.html

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Announcing kdb with charting front end GUI for your rapid market tick data storage and access

Announcing  kdb with  charting front end GUI for your rapid market tick data storage and access

RSS feed spike for Quant Premium Membership Data

I am writing to suggest you may like to include the below snippet on

a new kdb GUI with advanced charting:

 

Kdb the advanced timeseries database by kx.com now has a new

graphical charting GIU called qStudio. QStudio is a modern IDE

featuring autocompletion, server browsing and syntax highlighting. It

is available to download now at:

http://www.timestored.com/qstudio/

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Quant development: ActiveQuant open source project now does HBASE and Hadoop for time series storage

Quant development: ActiveQuant open source project now does HBASE and Hadoop for time series storage

A comment in my Linked In group from Ulrich the founder:

 

you could also have a look at AQ2o’s server, we use hbase and hadoop for time series storage.

The uberjar runs out of the box for getting started with development.

http://www.linkedin.com/groupAnswers?viewQuestionAndAnswers=&discussionID=101112879&gid=3427378&commentID=72803560&goback=%2Egmr_3427378&trk=NUS_DISC_Q-ncuc_mr#commentID_72803560

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Where is Server I/O headed and is it keeping up with computer and storage? HIgh frequency trading review’s blog

Where is Server I/O headed and is it keeping up with computer and storage? HIgh frequency trading review’s blog

hftreview.com

An Interview with Yaron Haviv of Mellanox Technologies Sponsored by Mellanox Technologies In this interview for the High Frequency Trading Review, Mike…

 

Excellent article. I would just like to point out two things;

>>How does networking keep up with the Moore law and CPU speeds?<<

Moore’s Law, as it was initially stated, mentioned nothing about speed.

His mathematical description outlined that the transistor count in CPUs doubled approximately every two years.

It was an Intel Executive who transformed this quote into one pertaining to performance. He equated the performance increase as a function of transistor count to effectively double the processing power every 18 months, but this is not the long-term trend that Moore was modeling.

Some people might consider this “splitting hairs” but it is important to understand and note the differences.

Second item:

>>What can one do to reduce system costs or increase efficiency in the data center?

YH: Servers nowadays are quite similar…<<

That statement was true until March 5, 2012.

We designed a 5.0 GHz 2U server which is a real game-changer. With just under $1,000,000 in orders on day one of its availability, I would have to say the C-level executives in the Cloud Services Providing sector agree with this sentiment.

Smaller data centers can be designed using our High Speed Server Modules (HSSM) while providing the same “performance” to the outside clients, thereby providing the hosting center huge cost-savings over time. Or, as in the case of existing floorspace already having been allocated, higher ratios of “core-splitting” can be realized with no observable degradation in performance to the user base. This means much higher profitability to the Cloud Service Provider.

For more information, see:

http://www.liquidnitrogenoverclocking.com/news_18.shtml

 

 

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A gift waiting for IT Server and storage with HFT

A gift waiting for IT Server and storage with HFT

sales.dcig.com

One of the toughest tasks facing server and storage administrators is making a storage buying decision. Not only are there multiple storage vendors in the market, each vendor offers two, three or even more storage arrays so it…

 

A quick evaluation reveals that less than half of the arrays available in the $5,000 – 30,000 price range support SSD/Flash. Knowing which ones and how they rank compared to others may be vital to your decision making

 

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Europe’s leading Big Data event – From storage through quant analytics to real world use.

Europe’s leading Big Data event – From storage through analytics to real world use.

Two days, 42 sessions, three targeted streams, 40+ speakers addressing over 200 executive level delegates from across industries. Can you afford not to attend?

Big Data World Europe events.linkedin.com

Big Data World Europe will be the very first European event to cover all aspects of the Big Data story, from storage through analytics to real world application. Come and learn from industry leading professionals as to how organisations and governments are using driving data to the heart of

 

What about Berlin Buzzwords?

 

 

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Flash Solid state storage for HFT high frequency trading

Flash Solid state storage for HFT high frequency trading

Anybody have ideas how flash product such as Solid state storage could be applied to High performance computing? We are looking forward to work with HPC companies, is there a way to find out? Thanks.

 

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I have been looking into how to accelerate disk system performance with tiering of SSD and various speeds of spinning disk. I see it as a staging area for metadata or for frequently used small files. What are you looking for?

 

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We are looking forward to provide Solid state storage solution to all the HPC companies, do you think we are match?

 

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Please specify a product and a use case. I’ll take a look.

 

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Standard 2.5″/SSD and SATADOM, our SATADOM has been qualified by Intel and Supermicro motherboard, it mainly used to boot up purpose.
Our company web site, www.Innodisk.com

 

==

From what I know quantum chemistry apps like to have not only large memory but also large and relatively fast swap on the nodes. This could be a small specialized niche.
Example is a PC GAMESS (http://en.wikipedia.org/wiki/PC_GAMESS) .
But in general I think you need to target SAN storage solutions.

 

==

There are three tiers above SSD performance also, for those who can handle the price tag.

Modest Performance Boost = OCZ RevoDrive
http://www.newegg.com/Product/Product.aspx?Item=N82E16820227742

Even Higher Performance = Fusion ioDrive
http://www.fusionio.com/platforms/iodrive-octal/

Unbelievable Performance = RAMSan-720
http://www.ramsan.com

Each of these have their pros/cons. I believe the Fusion ioDrive cannot be booted with an OS, for example, but if you need fast, large storage, it bridges the price gap to the next jump up to the RAM San tier.

 

==

What do you think about Tiering? Say front ending a large 1PB spinning disk installation by 10 or 20 TB of SSD? Then managing hotspots into the SSD?

 

 

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