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.
9
votes
2answers
1k 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
383 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
345 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
1k 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
270 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 ...
18
votes
5answers
3k 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
0answers
150 views
how to choose a financial spread betting provider for ease of control with customers' programs [closed]
I want to use my quantitative finance programs for real world trades on financial spreads; forex, indices, stocks etc. The features presented by many providers are for the human interaction side. ...
8
votes
3answers
420 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?
7
votes
1answer
397 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
712 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 ...
10
votes
5answers
419 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
945 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 ...
7
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 ...
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 ...
6
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 ...
5
votes
4answers
387 views
Are there any brokerages which use URL-based web APIs?
We already have a list of brokerages that provide apis. What about brokerages that provide web apis?
For example, Collective2 has a url-based web api for entering trades. Are there any brokerages ...
7
votes
4answers
781 views
Library to solve optimization problems
I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms.
In particular I'm cutrently working with Semidefit ...
6
votes
3answers
4k views
Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
...
3
votes
2answers
605 views
Covariance for arbitrarily large portfolios
I am implementing a method in Java to calculate the variance, covariance, and value at risk for a portfolio, which should be flexible for use with any number of assets in a portfolio. I am struggling ...
3
votes
1answer
1k views
Mersenne twister random number generator in Java for Monte Carlo Sim.
I am using the Mersenne twister random number generator in Java for a Monte Carlo Simulation. I need a uniform distribution of values between -1 and 1. My code is below (I am importing ...
15
votes
8answers
2k views
What kind of basic framework or application do you use to run your trading algorithms?
I heard about MetaTrader from http://www.metaquotes.net. Is there any other framework or program available? Do you use different software for backtracking and running your trading algorithms?
Thank ...
