Streaming Quotes and Staleness
Treat market data as a timed state, not a timeless number.
Build the mental model first.
A stream changes a quote over time. Heartbeats, reconnects and freshness thresholds tell the interface when to stop calling the last value current.
Treat market data as a timed state, not a timeless number.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Prevents stale values from silently driving risk, calibration or user decisions.
The hedge has opinions.
Start with the quote convention, then ask which Foundations risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
Ask Bateman about this model →