[Python-ideas] PEP 485: A Function for testing approximate equality
Skip Montanaro
skip.montanaro at gmail.com
Fri Jan 23 22:15:39 CET 2015
On Fri, Jan 23, 2015 at 2:42 PM, Antoine Pitrou <solipsis at pitrou.net> wrote:
> I can't understand why a "non-maths person" would want to write one
> implementation of that - apart from recreation or educational purposes,
> that is.
I'll give you a real life example. I never thought of myself as a
"maths person," so I guess that makes me a "non-maths person." I am a
software engineer. I leave the math to people with PhDs in
mathematics, statistics, and engineering.
In my day job at a trading firm, I work on automated trading systems.
Most models do all their internal calculations using floating point
math. At some point though, the desired order prices calculated by the
model's indicators need to be converted to actual prices acceptable to
the exchange. Floating point numbers being what they are, a computed
value will almost never correspond to a valid order price. If your
computed price is very close to, but not exactly on a tick boundary
and you're not careful, you might erroneously price your order too
aggressively or too passively. In these situations you need to
recognize when the floating point value you have is within some small
tolerance equal to a price on an exact tick boundary. Furthermore,
these comparisons need to take into account the different tick sizes
of different contracts, The CME's Yen/USD futures contract (6Y) has a
tick size (minimum change between two valid prices) of $.000001 while
their Euro/USD futures contract (6E) has a tick size of $.0001.
In my world, this is done in Python, though the problem arises
independent of the language used. It also has nothing to do with the
relative sophistication of the math used internal to the model. It is
more-or-less just a case of format conversion on output.
Skip
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