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.

learn more… | top users | synonyms (8)

10
votes
3answers
3k 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
496 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 ...
14
votes
7answers
10k 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?
20
votes
11answers
5k 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 ...
0
votes
3answers
469 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
1k 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 ...
9
votes
3answers
4k 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
1k 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
688 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
773 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
887 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 ...
6
votes
4answers
1k 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
64 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
1k 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 ...
1
vote
3answers
490 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
2k 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 ...
11
votes
2answers
656 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 ...
-1
votes
1answer
486 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 ...
5
votes
2answers
419 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. ...
4
votes
3answers
306 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 ...
1
vote
1answer
548 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 ...
4
votes
1answer
652 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
1k 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
1k 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
2k 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
133 views

FpML class generation gives error

I am creating classes out of 5.1 FPML specification but I get following error. ...
0
votes
0answers
143 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
510 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
91 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
765 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
2k 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
1k 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 ...
3
votes
2answers
1k 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?
3
votes
1answer
334 views

Cross Bid and Ask prices for Forex trading

I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be ...
10
votes
2answers
2k views

Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems?

Esper and its .NET port NEsper are components that enable Complex Event Processing (CEP) and Event Stream Processing (ESP) engines. They are especially suitable for trading applications. They can, ...
5
votes
1answer
663 views

Automated 10-K XBRL data grab using the SEC file structure

I would like to write a program that takes as input a list of CIK/year/quarter entries. The program should iterate through the list and, for each entry, grab XBRL financial data from the SEC website ...
7
votes
5answers
1k views

Is Visual Basic a fast enough for millisecond orders

I have an API that for an order routing platform that is in visual basic. The maximum frequency or orders to exchanges will be milliseconds, where the underlying systems are expected to be able to ...
5
votes
3answers
406 views

Means of inferring trading algorithms from competition trade data

I'm analyzing trades from several participants in a trading competition, and I was wondering - are there known mechanisms for analysis and inference of the logic in a set of trades done by one ...
3
votes
1answer
2k views

C++ training from scratch to quantitative trading? [closed]

I have been trading for decades, and I have a solid knowledge of technical analysis but also VB as professional programmer. I would like to start learning C++ from scratch, then specialised in C++ ...
6
votes
1answer
359 views

NASDAQ TotalView ITCH order reference number number characteristics

I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
21
votes
5answers
5k 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 ...
8
votes
3answers
527 views

Reference on Markov chain Monte Carlo method for option pricing?

I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
8
votes
1answer
597 views

How to compute modified-CVaR in the PerformanceAnalytics package?

My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...
8
votes
3answers
877 views

What tools are used to numerically solve differential equations in Quantitative Finance?

There are a lot of Quantitative Finance models (e.g. Black-Scholes) which are formulated in terms of partial differential equations. What is a standard approach in Quantitative Finance to solve these ...
11
votes
5answers
488 views

What benefits are there to employing agile software development methodologies for quants?

Perusing the other SE network sites, particularly Programmers, I often find vigorous support for various agile software development methodologies, particularly the various values known as Extreme ...
7
votes
4answers
1k views

What approaches are there to order handling in automated trading?

I am currently developing a commercial automated trading program in which users can write their own proprietary code and develop strategies, like in NinjaTrader, MetaTrader etc. Right now I am working ...
1
vote
2answers
1k views

Black Scholes and Monte Carlo implementations in Java [duplicate]

Possible Duplicate: Is there an all Java options-pricing library (preferably open source) besides jquantlib? Can anyone recommend a library with an implementation of Black Scholes and Monte ...
8
votes
1answer
2k views

Can the J language be used as an effective alternative to Q/Kdb+?

I hear a lot about Q/kdb+. I've never had the opportunity to use it for anything real but have played with it using their trial license and found it intriguing (if not somewhat mind warping). I've ...
7
votes
4answers
1k views

Statistical learning libraries

Is there a general (or specialised) FREE library to solve learning problems such that found in the book "The Elements of statistical Learning". As it is often time consuming to write all the ...
7
votes
3answers
1k views

What programming language is best suited for implementing DeMark?

Jason Perl's book DeMark Indicators details rules for calculating signals developed by Thomas DeMark. These rules are not complex in themselves, but there is no dirth of ...