For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

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18
votes
10answers
17k views

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
1
vote
1answer
36 views

Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)

I am trying to find a book for our study group that teaches the bare minimum C++ needed for financial applications. I am trying to teach it in a project based manner. In case, I don't settle on one ...
0
votes
5answers
4k views

Which library shall I use for time series analysis in Java?

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. ...
7
votes
2answers
95 views

Are there any integrated framework that I can back-test and paper/live trading in one place?

I'm trying to start working on a fully automated algorithmic trading system, and I'm a little struggling with the framework to use. The requirements I have in my mind are: Needs to support ...
5
votes
1answer
82 views

Bloomberg & R: Accessing multiple securities with getBars() in R

I am attempting to access 1 minute trade data for 50 securities using Bloomberg API (rblpapi). Following is the code I got from the CRAN: ...
1
vote
0answers
113 views

Trouble verifying roll rate model

I found this paper on roll rate analysis via a google search. I would post a link, but every page is stamped with "CONFIDENTIAL" at the bottom (humorous since it is easily found). In a nut-shell, ...
3
votes
3answers
124 views

Real-time Tick Data API for the Italian Stock Market

Hello community. I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should ...
1
vote
1answer
45 views

Getting quote stream via fix-api 4.3

I'm new to FIX api,so far i did following (on QUICKFIX) logged on to quote-session subscribed to market data sent "single-message" quote-request for an instrument (EUR/USD for example) ...
1
vote
0answers
14 views

How to enter to economics/finance sector [closed]

Although my question is a general question, I would appreciate your suggestions or help me to find a proper "stack exchange" in order to ask my question: I am a Ph.D student in (Pure)Mathematics and ...
3
votes
1answer
168 views

Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
4
votes
1answer
76 views

What is the best / most used / recommended C++ non-blocking networking library for low-latency / real-time development?

I'm coming from Java and there we use the EPoll selector implementation that comes with the JDK for non-blocking / asynchronous networking TCP and UDP development. Therefore you don't have to make ...
1
vote
1answer
61 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
25
votes
5answers
8k views

What is a good broker for HFT?

Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
1
vote
2answers
387 views

ASX level 2 data via API

Is anybody aware of Java/C++/Python API's available for ASX stock market depth? I'm currently using IB which is ok but has a number of limitations / issues - the one I care most about is the limit of ...
5
votes
4answers
2k views

IB TWS & API, without IB account?

I'll be starting a MFE grad program in Fall, and some of the classes have a lab that use the IB TWS & API. I'd like to play around with it for fun this summer. Unfortunately, I don't have an IB ...
0
votes
0answers
18 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
1
vote
1answer
1k views

Downloading Data from Interactive Brokers using IbPy

I am trying to download data from Interactive Broker using the code below and I am able to create the connection with the Trader Work Station (I get a "True" after ...
0
votes
0answers
51 views

backtest asset allocation strategies

I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, ...
3
votes
2answers
37 views

Dealing with a constraint which is the square root of a quadratic form

I'm trying to maximize my portfolio, but don't know how to deal with the constraint which is on the form max $2u^Tx-x^T \Sigma x$ Subject to $e^Tx = 1$ $u^Tx - m (x^T \Sigma x)^{1/2} >= c $ ...
0
votes
2answers
47 views

Java platform/lib widely use in industry

I am currently switching from Java dev to quant and for my self-study I want to code a few auto-trading algorithms to get my hands on the subject. Are there any must know platforms/libs that I should ...
0
votes
0answers
69 views

Problems calculating RSI

For the last few days I've been trying to calculate an RSI that matches a reliable source. Yahoo finance, E-trade, and TDA all give identical values, which I am unable to replicate. I have tried ...
3
votes
0answers
93 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this ...
2
votes
1answer
74 views

Are there any opensource C# libraries for calculating bond duration and other FI Analytics?

I'm doing some Fixed Income analytics work and wanted to know if there where any opensource C# libraries that I could use in order to avoid writing functions for generic calculations like YTM and ...
11
votes
4answers
687 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
0
votes
1answer
62 views

What is the formula that determines when VIX futures expire?

Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like ...
1
vote
0answers
99 views

Historical volatility on bloomberg API

Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be ...
0
votes
0answers
20 views

How to get currency denomination of security from yahoo finance API

I'm trying to write a portfolio program and it would be nice if it could auto detect what the currency denomination of the ticker is without needing user input.
2
votes
1answer
166 views

How to download efficiently intraday data with Bloomberg API?

I'm downloading intraday bar data using Bloomberg API and C#. I have adapted the official Bloomberg c# "IntradayBarExample” to suit my needs. However downloads are really slow, I found this post ...
8
votes
4answers
7k views

How to create charts in WPF finance applications?

How to create charts for market data in WPF? Are there any charting controls provided by microsoft or you need to use only third party controls? Which are the popular third party charting controls ...
3
votes
0answers
71 views

Downloading IB futures data and then making a datapump to another program

I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ...
0
votes
0answers
67 views

How is a second-sensitive MACD calculated?

I am trying to get the specifics on the calculations of a MACD line that is calculated every second, as can be seen by using Bloomberg or Interactive Brokers or something of the like. I am assuming ...
1
vote
0answers
157 views
15
votes
8answers
20k views

Is the Interactive Brokers API suitable for hft?

By HFT here I mean anything with holding period less than 5 to 10 minutes. Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
2
votes
2answers
85 views

Is there an implementation of VAR-EGARCH model in R or Stata?

I am writing my undergrad honor thesis and want to run a multivariable VAR-EGARCH model. Is there any package in R or formulas in Stata 14 that allows me to implement directly? If not, could you ...
1
vote
0answers
57 views

Looking for most current Financial API that is fast and accurate for NYSE NASDAQ AMEX OTC and PINKs

Looking to build a real time data feed, stock monitor window. Pretty much the same as equityfeed.com market viewer window, just with a few addedfeatures and or different filter columns with more up ...
1
vote
2answers
84 views

Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?

I am making use of the Normal Inverse Gaussian distribution in my work to model underlying interest rate implied volatility risk drivers. What is particularly nice about this distribution for my ...
13
votes
7answers
4k views

What C++ math libraries are typically used by quants?

Before you mark question as off-topic, please read it - it is, actually, quant-related. Basically, I'm working on an app that spits out a lot of C++ math. When it comes to simple things like ...
6
votes
5answers
2k views

Fastest solver possible for portfolio optimization

I am using quadprog in MATLAB for very simple mean-variance optimization, with less than 100 assets. It is quite fast but if I run a strategy with daily ...
4
votes
2answers
245 views

How to trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...
1
vote
1answer
82 views

QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
1
vote
1answer
241 views

How to answer this interview programming question about drawdowns?

I saw this question as an interview, and to be honest, I have no idea what it's even asking for: Write a function (in R or Python) that finds the stock drawdown which will trigger a rebalance, ...
4
votes
2answers
2k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
2
votes
1answer
84 views

Why is my Euler discretization error increasing with number of steps?

I'm trying to see how the Euler discretization error behaves with respect to the number of steps. To do this I'm simulating a geometric brownian motion and comparing it with it's 'exact' solution. ...
16
votes
5answers
6k views

Implementing data-structures in a Limit order book

I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance. Using F# as an example, I need to consider a List versus Array for ...
0
votes
0answers
7 views

Is there a free Source for currency forward rates into Excel? [duplicate]

Is there a free (or at least very cheap) service/api out there I might be able use to get yesterday's closing currency forward rates (and spot) into excel/csv without having to copy paste values from ...
0
votes
0answers
34 views

BLS v2 API took 20+ minutes to publish data where is immediate data available?

First, I should state that I built a Java program that uses HTTP Components to keep in sync with server time for my broker. Once 7:29:59 comes around the program ...
0
votes
0answers
59 views

Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
-1
votes
1answer
56 views

Finding Discount Bond Matrix in LMM Model C++

I am working on a 1 Factor Libor Market Model (LMM) in C++ and I working my implementation of the formula to find my Discount Bond matrix via the following formula: In the case of my model alpha is ...
1
vote
1answer
142 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...
8
votes
4answers
1k views

What .NET library can I use to solve optimization problems?

I'm working with C# and I start being bored writing optimization algorithm. Do you know any free library containing this sort of algorithms? In particular I'm currently working with Semidefit ...