Andrew Milne

• Master of Engineering
• Managing Principal at yubik.com

The COVID-19 pandemic had a notable effect on the eight futures and options products tracked by 1QBit's CME Market Sentiment Meter. In some markets, such as U.S. equity index futures and U.S. interest rate futures, there were rapid increases in daily futures volumes as prices changed, and traders managed their evolving risk. The peaks in daily volu...

An illustration of Fourier analysis applied to an electrical energy consumption time series, showing that the on/off cycles of HVAC equipment inside a data center can in principle be detected in data available from the power utility. This is not new research. It is intended for use as tutorial material only.

Granger causation can be best understood by applying the Granger tests to time series that you already know. The examples in this presentation were created using Jupyter notebooks and the Python statsmodels package. They were published originally by 1QBit as marketing material for the CME Market Sentiment Meter.

The CME Market Sentiment Meter (MSM) provides a daily risk-return estimate based on end-of-day settlement data from previous days. We show how MSM can be used to ''navigate'' a reversion-to-mean (RTM) algorithm across changing market states, and, in doing so, increase its profitability (from 60% to 135% annualized ROI in our example). We then descr...

Feature selection is used to reduce the number of variables input to a classifier, e.g. for a machine learning application. The Quadratic Unconstrained Binary Optimization (QUBO) technique is used to select feature subsets that achieve a specified balance between feature independence and feature influence. With classical techniques, quadratic opt...

A symbolic modeling language for trade matching provides techniques to describe the specialized operations of a match engine in a form that can be understood by business analysts and readily translated into program code and test cases by developers and testers. Associated techniques for calculating implied markets and testing can expedite match eng...

An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. Calculating tradable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different v...

A method for matching orders is provided. The method includes receiving a first order for a product, the first order specifying a first volume, receiving a second order for the product, the second order specifying a second volume, wherein the first volume is different than the second volume, generating an implied order based on a ratio spread defin...

A computer implemented method for determining implied orders in an electronic trading system is provided. The method comprises receiving a first set of one or more real orders, wherein the orders are not tradable against each other. One or more implied orders are identified within the first set of real orders. Market data corresponding to the impli...