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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2
votes
0answers
103 views

Which are the popular free/open-source charting controls?

Recently i've tried SciChart and VisiBlox - beautiful charting tools. Is there any free or open-source tools for visualizing charts on C#? Thank you for answers.
3
votes
2answers
318 views

Trend estimation techniques

What is the best way (most common) to discover if a stock is trending or not? (Despite drawing a line). A hurst exponent? A linear regression maybe?
0
votes
2answers
617 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
0
votes
0answers
118 views

Where can I find ADF library in c#

Where could I find an ADF library or source code in c# for cointegration test?
4
votes
2answers
568 views

Looking for C# library that provides/contains performance analytics

I am looking for a C# .Net library that provides trade performance analytics similar to R-PerformanceAnalytics. Basic return statistics, draw-downs, risk-adjusted returns, risk (variations), ...
2
votes
1answer
332 views

What features does q /KDB provide for HFT use?

It appears q/KDB is being using for Time series analysis for HFT. What are some of the advantages of using ...
1
vote
3answers
196 views

How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
7
votes
3answers
362 views

What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?

R that originated as a purely statistical tool has meanwhile blossomed into a comprehensive workbench for different tasks. I am familiar with Mathematica and don't like how it forces a license on ...
4
votes
0answers
215 views

Algorithmic Trading Model Calculation and Stale Data

I'd like ask everyone a more concurrency programming but definitely quant-finance related question. How do you deal with staleness of data in market hours as quote ticks are streaming and your model ...
3
votes
2answers
999 views

Free and tested optimization, statistical and visualization packages for C#

I am about to implement a variation of the LIBOR-Market-Model (complete with Least-Square-Montecarlo, calibration, pricing etc.) and decided to implement it in C#. The implementation will involve ...
4
votes
1answer
402 views

Is there any open-source library, implementing “exchange” to be used for algorithms running on the same computer?

Question: Is there any open-source project/library, which can act as a "local exchange" for agents (algorithms), running on the same computer? Clarification: by "local exchange" I mean, that the ...
1
vote
0answers
117 views

Calculate display and plot relative spread using Sierra Chart

I'm trying Sierra Chart for trading Bitcoin. I would like to display relative spread for a given volume. spread_rel = 200.0 * (ask - bid) / (bid + ask) where ...
0
votes
1answer
289 views

IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...
0
votes
0answers
44 views

Java limitbook implementation? [duplicate]

I am looking to create my own front-end. What is the best data structure/java swing object to represent a limit order book? currently I am using two JTables and loading best bid and qty data from a ...
3
votes
1answer
391 views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
3
votes
1answer
1k views

open-source implementation of orderbook from FAST?

I'm looking for c/c++ implementation of OrderBook. I need implementation to reconstruct market data from FAST. I don't need to do "matching" because it already did by exchange, I only need to ...
5
votes
5answers
1k views

Library for interactive financial charts

For my recent project I am looking to build a software capable of visualizing financial charts in a dynamically and interactive matter. The workflow is as follows: I gather data from my data ...
0
votes
0answers
341 views

R or Matlab code for Multi-Barrier-Options (3 or more underlyings)

I am looking for R or Matlab code examples of multi-barrier-options (or multi-barrier reverse convertibles) with at least 3 underlyings. Do you have such code or can you point me to a place where I ...
3
votes
1answer
585 views

How to sum interest rate curves in QuantLib

C++ code taken from Bonds.cpp and slightly amended: ...
1
vote
4answers
3k views

C# Broker API for FX Trading

I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
2
votes
1answer
586 views

IB API quotes and speed

The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building ...
2
votes
0answers
800 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
2answers
464 views

What Forex Services support the ForexConnect API?

I need API access to get ForEx tickers and order books for currency pairs. From what I can tell there is a .Net API called ForexConnect which I can use to get this data. Now where can I get this data ...
2
votes
1answer
505 views

How to simulate stock prices with stochastic time change subordinated arithmetic Brownian Motion?

the idea is to simulate price returns thus to be normally distributed i 'am trying to use subordinated arithmetic brownian motion subordinated to time activity (volume) stock prices are following GBM ...
3
votes
1answer
302 views

Which method is implemented by Excel's YEARFRAC for ACT/ACT?

I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...
1
vote
2answers
217 views

For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?

I think there are two possible ways: 1. day open, close, high, low, volume separately into array, then I have 5 arrays to work with my calculation 2. Put all of these into one array or linklist to do ...
2
votes
1answer
326 views

QuantLib error with qlPiecewiseYieldCurveData() on qlPiecewiseYieldCurve() with ZeroYield and ForwardRate

I'm using QuantLibXL to build a discount curve, a zero yield curve and a forward curve of the EURIBOR rate (QuantLibXL is downloadable here). I've built an object of class ...
4
votes
1answer
1k views

What is the best solution to use QuantLib within Excel?

Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and ...
1
vote
0answers
154 views

Example code for “Gauge Invariance, Geometry and Arbitrage” paper

This paper describes an algorithm for computing arbitrage opportunites using a gauge connetion. Has anyone written a python program or C++ or C# program that shows how to follow the steps outlines in ...
2
votes
3answers
3k views

What is the difference between the Interactive Brokers demo account and a personal paper trader account?

I'm interested in testing my trading strategy using the Interactive Brokers API for Trader Workstation. A demo account is provided to play with TWS for free, but if I fund a real account I will be ...
2
votes
1answer
3k views

Duration of a floating rate note

I have the following C# code for calculating the modified duration of fixed coupon bonds: ...
2
votes
2answers
175 views

How do you handle order tracking (without unique Lot ID's)

Hypothetical Trade: I buy 10,000 shares of ASTC using a broker API. The order is filled in 4 similar lots; ...
3
votes
3answers
302 views

How to most optimally perform currency conversions when backtesting on portfolio level?

I am currently expanding my own strategy profiling and testing platform which partly consists of a portfolio backtesting module. The backtest engine processes tick based data (quotes for currencies, ...
-2
votes
1answer
336 views

How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
-4
votes
1answer
124 views

Is there an API to perform request about stocks and financial derivatives? [closed]

Is there an API to make a request such as: all the companies which thier P/E ratio is greater than 50 ? I know I can crawl google finance and have it locally on my ...
1
vote
0answers
121 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
1
vote
1answer
222 views

Need to match my bond price calculation to that of Bloomberg, currently failing hard

I have a fixed-coupon bond with the following characteristics: ...
2
votes
2answers
1k views

How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/

As part of a research project I ran a query on the Mergent FISD database using the WRDS website. The output included the CUSIPs of numerous bond issues (>10000). I am using this data to run event ...
1
vote
1answer
657 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
4answers
1k 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
1answer
140 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 ...
2
votes
1answer
443 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 ...
3
votes
2answers
2k 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 ...
1
vote
0answers
526 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 ...
0
votes
3answers
504 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 ?
6
votes
2answers
3k 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 ...
3
votes
4answers
609 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 ...
5
votes
1answer
912 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 ...
3
votes
4answers
1k 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 ...
7
votes
4answers
4k 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 ...