This project analyzes E-mini S&P 500 futures tick data, performing various transformations and statistical analyses.
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Analysis: Detailed analysis results, answering key questions about bar formation, serial correlation, variance, and normality tests.
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Architecture: Overview of the project's technical architecture, including data flow and transformation processes.
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Instructions: Step-by-step guide on how to set up and run the project, including dbt pipeline and analysis scripts.
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Data Overview: Background information on E-mini S&P 500 futures contracts and their significance in financial markets.
To get started with this project, please refer to the Instructions document for setup and execution details.
For a comprehensive understanding of the analysis performed and its results, see the Analysis document.
The following areas have been identified for potential future enhancements:
- Review the analysis results with quantitative analysts to refine the tests and ensure correctness.
- Implement infrastructure management using Terraform for better scalability and maintainability.
- Establish proper Role-Based Access Control (RBAC) with least privilege principles to enhance security.
- Utilize AWS services for the extraction and load steps to improve efficiency and leverage cloud capabilities.
- Expand test coverage by implementing additional tests for downstream models in the fact schema, complementing the existing tests for staging models.