Streaming Quotes and Staleness
Treat market data as a timed state, not a timeless number.
Define the numerical question and error budget.
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.
Specify the estimator or discretization.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Expose convergence and stability conditions.
The numerical target, discretization and stopping rule must be fixed before comparing outputs.
Convergence is assessed against bias, variance or residual tolerances rather than visual smoothness.
Finite precision, boundary treatment and input conditioning can dominate model error.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Connect controls to an observable output.
Prevents stale values from silently driving risk, calibration or user decisions.
Monitor bias, variance, and failure modes.
Report the Foundations number with its convergence evidence. A stable-looking output can still carry discretization bias or an ill-conditioned input.
Ask Bateman about this topic →