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Notes from the desk.

Market structure, models, and the engineering behind a systematic desk, written as we work. Every conclusion keeps its assumptions.

Latest noteThe desk does not name the modelThe harness runs a local model, and nowhere in its configuration is that model named. It holds an address and an alias. Everything else about which weights are loaded is answered at runtime, by asking.Open the note
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The whole archive, read in the writer’s own voice.

Every note has an audio version narrated by a cloned model of the author’s voice. Play-all runs the archive end to end with a short spoken introduction before each piece, and keeps playing while you move around the site.

Notes
15 narrated
Runtime
57 min
Voice
the author’s, cloned
The archive

One idea at a time. Kept on the record.

15 notes, newest first
The desk does not name the modelThe harness runs a local model, and nowhere in its configuration is that model named. It holds an address and an alias. Everything else about which weights are loaded is answered at runtime, by asking.
The walk-forward labA single backtest is a memory test — it tells you a strategy could fit the past, not that it has an edge. The lab walks forward instead: optimize on what was known, test on what came next, roll, repeat.
The squawkThe harness has a voice channel — a desk that talks to you, calling out only the events worth interrupting for, so you can step away from the screens and still stay in the loop.
Teaching a model to read the tapeWe're training a model to learn a trader's reads — not to forecast prices, but to compress what an experienced trader notices into features the harness can watch across the whole board. A signal to the human, not a replacement for judgment.
Agents on the deskWhat our agents actually do day to day, and the line they don't cross. They carry the surface area; a human keeps the wheel on anything that moves real capital.
What runs whereThe harness splits the work by nature: Python thinks, Rust acts, and one terminal keeps a person on the calls that matter. Each kind of work lives on the side where it belongs.
Introducing 115 — a personalized trading harness115 is a personalized trading harness: software that wraps one human trader in a full engineering stack. Here's what we're building, and why.
Standing on the shouldersWhat the most secretive quantitative firm actually teaches — not its signals, but its posture: hire scientists, respect the data, and treat the market as a research problem.
The mechanics of a fillA mechanical walk through everything that happens between wanting to trade and having traded — the order book, price-time priority, order types, why latency became an edge, and why slippage and impact are costs you cause rather than fees you pay.
Standardizing the futureA mechanism-first look at what standardization, novation, and daily mark-to-market actually buy you — and why margin, basis, and convergence are the plumbing behind every futures position.
The risk-free foundationHow the US Treasury ladder is issued, why "risk-free" makes it the anchor everything else is priced against, and how the curve and the repo market turn that anchor into a signal and a plumbing system.
Where risk gets pricedHow an exchange born to trade butter and eggs became the place the world converts uncertainty into a price — and why the clearinghouse, not the contract, is the real invention.
The first electronic market1971 as the origin of the screen-based market, and what it means for price discovery that the negotiation moved onto competing quotes rather than a single obligated agent.
The auction that never closedThe oldest venue as a lens on what an auction market actually is, and why a single obligated agent and the closing print still matter in a world that clears electronically.
How we see the marketBefore we built anything, we had to be clear about what a market is: a system of humans, machines, and incentives, priced in public and never quite in equilibrium. This is the worldview the rest of the work rests on.
Elsewhere

The system these notes are about.

Most of this writing is a longer version of something visible on the desk. If you want the short version, it is on one screen.

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Risk disclosure

  • Trading involves substantial risk of loss and is not suitable for everyone.
  • Hypothetical and backtested results have inherent limitations: they are prepared with the benefit of hindsight and do not represent actual trading.
  • Past performance does not guarantee future results.
  • Nothing on this site is investment advice, or a recommendation to buy or sell any security, futures contract or other instrument.