panthema / 2019

YouTube Video: "Animation of the US Treasury Yield Curve with Inversions from 1962-01-01 to 2019-04-01"

Posted on 2019-04-03 23:30 by Timo Bingmann at Permlink with 0 Comments. Tags: market fun

Today I published the first animation of market data by my new charting tool on Youtube. In light of recent events this was an video of inversions of the US Treasury Yield Curve. The video is created with QCustomPlot and a large Qt program to process data.

The dancing green line plots the yields of all constant maturity treasury notes. The trailing blue line shows the efficient 30 day Federal Funds rate. The orange line is the broad stock market SPX index. The background of each day is painted red if an inversion of the 1y/5y, 1y/10y, or 2y/10y yields occurs. The darker the red color, the greater the inversion.

Watch the yield curve and the stock market index change over the decades, notice their behaviour in times of crisis. The video ends with the current inversion around April 2019. More about the yield curve and inversions: https://en.wikipedia.org/wiki/Yield_curve#Inverted_yield_curve

The Federal Funds rate data was taken from FRED (Federal Reserve Bank of St. Louis), series DFF: https://fred.stlouisfed.org/series/DFF. The US Treasury yields data was also taken from FRED, series DGS1MO, DGS3MO, DGS1, DGS2, DGS5, DGS7, DGS10, DGS20, DGS30, e.g. https://fred.stlouisfed.org/series/DGS30. Across the decades the various durations were sometimes not emitted, which is visible by points being added or removed from the green curve. SPX data was taken from Stooq.com, series ^SPX.


Photo of a Samsung NVMe SSD

NVMe "Disk" Bandwidth and Latency for Batched Block Requests

Posted on 2019-03-22 16:00 by Timo Bingmann at Permlink with 0 Comments. Tags: c++ stxxl thrill

Last week I had the pleasure of being invited to the Dagstuhl seminar 19111 on Theoretical Models of Storage Systems. I gave a talk on the history of STXXL and Thrill, but also wanted to include some current developments. Most interesting I found is the gap closing between RAM and disk bandwidth due to the (relatively) new Non-Volatile Memory Express (NVMe) storage devices.

Since I am involved in many projects using external memory, I decided to perform a simple set of fundamental experiments to compare rotational disks and newer solid-state devices (SSDs). The results were interesting enough to write this blog article about.

Among the tools of STXXL/FOXXLL there are two benchmarks which perform two distinct access patterns: Scan (benchmark_disks) and Random (benchmark_disks_random).

The Scan experiment is probably the fastest access method as it reads or writes the disk (actually: storage device) sequentially. The Random experiment is good to determine the access latency of the disk as it first has to seek to the block and then transfer the data. Notice that the Random experiment does batched block accesses like one would perform in a query/answering system where the next set of random blocks depends on calculations performed with the preceding blocks (like in a B-Tree). This is a different experiment than done by most "throughput" measurement tools which issue a continuous stream of random block accesses.

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