For questions about programming languages 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.
4
votes
2answers
1k views
using quantlib function in my c++ program
I want to include the QuantLib function for option greeks calculations in my own C++ code.
My question is: can I just include those functions? I don't want to use the rest of their stuff.
I obviously ...
1
vote
4answers
300 views
How much does a Grid Computing software cost?
So far, I have been performing computations either on my own computer, or using an in-house scheduler that basically chooses a one of the employees' available workstations to run tasks in the ...
-4
votes
0answers
79 views
What are some good HFT open source project? [closed]
Is there any good open sourced HFT projects, either whole system or components, that one should keep tracking?
2
votes
1answer
140 views
How does the CME set margin requirements on commodity Futures
I am trying to model margin requirements on various commodity futures, however it doesn't seem that the CME has released the formula they use to set these performance bonds. I am sure that they use ...
1
vote
3answers
142 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 ...
-3
votes
0answers
47 views
UK share trading account with API [closed]
I'm looking to do some experimentation with algorithmic trading and I'm trying to find a platform I can use. I would like to be able to:
Trade shares from the UK (I.E. funded from a UK bank ...
1
vote
1answer
88 views
LIBOR Rates available in CSV, XML etc
Is there a website that offers current LIBOR rates for all tenors for free in machine readable formats?
3
votes
1answer
82 views
Are there any good benchmarks for performance of vanilla option pricing code?
I've seen parsec (http://parsec.cs.princeton.edu/index.htm), which has a PDE pricing component, but the distribution is enormous and I haven't bothered to try to download it for review. I'm ...
13
votes
4answers
2k 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 ...
2
votes
2answers
404 views
How to implement Maximum Diversification in R?
I am trying to code up the optimization problem for Max Diversification Portfolios.
The main problem I am having is properly translating the objective function in to code and port it in to the ...
6
votes
2answers
405 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 ...
10
votes
3answers
2k views
Is there an all Java options-pricing library (preferably open source) besides jquantlib?
I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations?
The jquantlib site seems to be down.
I'd prefer ...
1
vote
0answers
405 views
portfolio optimization with a loop
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
10
votes
7answers
6k views
Is the Interactive Brokers API suitable for hft?
By hft here I mean anything with holding period less than 5-10mins...
Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
19
votes
11answers
4k views
Is F# used in trading systems?
Similar to this other question about Scala, I'm interested in knowing whether F# is used to any measurable degree in financial circles. Have there been any successful shops using it, any research on ...
11
votes
4answers
2k 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
3answers
351 views
Why C is still in use especially in area of numerical optimization (instead of C++)? [closed]
Why C is still in use especially in area of numerical optimization (instead of C++) ?
C and C++ aren't fully compatible so mayby you know some differances that make the difference ?
5
votes
3answers
901 views
What API methods are there to determine a company's market cap?
I'm wondering what API methods there are to determine a company's market cap, i.e. (number of shares issued) * (price per share).
I know IQfeed and perhaps Yahoo will do this - does anyone know of ...
4
votes
2answers
359 views
Fastest news feed APIs targeting high frequency trading?
The Dow Jones elementized news feed API seems to stand out but are there any other machine readable news feeds out there that provide very low latencies that high frequency operations may peruse? I am ...
26
votes
12answers
23k views
Why is C++ still a very popular language in quantitative finance? [closed]
I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ...
8
votes
3answers
2k 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, ...
5
votes
4answers
696 views
Library of basic indicators
I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...
4
votes
1answer
393 views
Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
2
votes
2answers
478 views
Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
3
votes
4answers
460 views
What is the industry standard Quant Finance modeling library for F#
If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#.
What typical finance scenario(s) have ...
5
votes
4answers
611 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 ...
1
vote
1answer
55 views
How to attribute income that incurs a double liability in a P&L?
I'm a developer writing a system for a startup. Without giving away too much of the business model, here are the basics of how it works:
The web site has two forms of "currency": tickets and ...
2
votes
3answers
683 views
Is MATLAB-generated code good enough for use in live trading?
I know that MATLAB has mechanisms for generating code, but I've never used them. Have you? If you have - is it good enough (=fast enough, I guess) to be used in live trading systems? Anything one ...
0
votes
1answer
219 views
Where can I put some Bloomberg API C# tools online? [closed]
I have some tools I wrote in C# for handling Bloomberg API requests and responses and I think they would be useful to other programmers. Where is a good place to put useful code online?
Google ...
1
vote
3answers
204 views
Treasury Bond Yield Curves in R
Does anyone know if I can access interest rates series from the treasury using R? I tried yahoo! Finance and it doesn't seem to have this kind of information.
5
votes
5answers
1k views
Technology stack used in Bloomberg
I figure this perhaps the best place to ask this.
What technology stack is used in Bloomberg? I'm C++ developer, and I definitely prefer C++ to C, so I don't want to touch C unless it's strictly ...
10
votes
2answers
566 views
Reference request: Survey article on GPU in Finance
I would like to get and idea of how people use GPUs in finance.
I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...
But I couldn't ...
-4
votes
2answers
488 views
Automate fetching of a stock's sector & industry [closed]
Does anyone know an automated way to get a stock's sectory and industry using Yahoo Apis. I know Yahoo! stores this information, I would like to retrieve it programatically.
Thanks
Why would you ...
-1
votes
1answer
338 views
Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
4
votes
2answers
301 views
Using QuickFIX in a C project
QuickFIX is a well-known open-source implementation of the FIX protocol. This library has been ported to numerous languages, though for the moment I am concentrating the on C/C++ implementation.
...
3
votes
3answers
242 views
How do you handle Calendars in a .NET quant system?
I have developed an analytic platform in .NET, but I now have to tackle the problem of data cleaning which first starts by finding holes in time series, before actually looking to find inconsistent ...
2
votes
1answer
324 views
FIX Heartbeat message not sent
I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation.
I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
3
votes
1answer
480 views
Risk-Parity Portfolio Optimization using Extreme Optimization in C#
I'm trying to create a risk-parity portfolio in C# using the Extreme Optimization routines.
I'm mostly trying them out to see if I like them or not before I buy them (I'm a student so money is ...
3
votes
3answers
871 views
VaR implementation using quantlib?
I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations.
Despite several searches, I have not as yet come across a quantlib VaR ...
2
votes
1answer
687 views
How to build an execution trading system with CQG API?
I am currently using CQG for spread trading and have a spread trading strategy in CQG chart. I am trying to automate my spread trading strategy in CQG, but CQG told me to look at CQG API samples to ...
6
votes
1answer
824 views
What is the best live options data API?
What is the best/cheapest service to get real-time (as real-time as you can get) on stock options?
I'm looking for the fastest update on the ENTIRE market, with a few stocks prioritized, so I need ...
0
votes
2answers
116 views
FpML class generation gives error
I am creating classes out of 5.1 FPML specification but I get following error.
...
0
votes
0answers
119 views
Looking for FpML best practices
We want start using FpML within our organisation; where message will be sent using FpML.
What are best practices to do this ?
If anyone who have used Tools as well as; i want to use FpML for ...
8
votes
1answer
437 views
What tools and libraries may be used to model limit/stop systematic trading?
A lot of the tools/libraries out there seem to focus on close to close time series analysis. This is all fine but I typically do not trade close to close, I will use limit or stop orders that may or ...
2
votes
0answers
85 views
Option symbol conversion [closed]
Maybe more of a programming question,
Is there a Ruby gem to facilitate conversion of an option symbol notation from one form to another?
For example, one source provides TZA1220J18
but an API for ...
7
votes
4answers
555 views
What commercial financial libraries are available to outsource implementation risk?
During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our ...
2
votes
1answer
1k views
How do I model GARCH(1,1) volatility for historical indexes in Matlab?
I'm currently working with historical index data from Yahoo Finance and would like to plot the GARCH(1,1) volatility of these indexes. I'm working with the Datafeed and Finance Tollboxes in Matlab ...
4
votes
4answers
712 views
Is there a charting API which allows to replicate Bloomberg chart tool features?
I believe that most of us will agree that being able to compute values is only part of our job, as we would also like to be able to display them nicely in order to better understand or help ...
19
votes
6answers
2k views
How good is managed code for algo trading?
I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
3
votes
2answers
891 views
GJR-GARCH Model In R
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?
