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.
2
votes
3answers
653 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 ...
2
votes
2answers
458 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 ...
2
votes
2answers
232 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 ...
2
votes
1answer
43 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
970 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 ...
2
votes
1answer
676 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 ...
2
votes
1answer
95 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 ...
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 ...
1
vote
3answers
194 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.
1
vote
3answers
232 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 ...
1
vote
1answer
54 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 ...
1
vote
1answer
301 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 ...
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 ...
1
vote
0answers
18 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?
1
vote
0answers
271 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 ...
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. ...
0
votes
3answers
341 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 ?
0
votes
2answers
115 views
FpML class generation gives error
I am creating classes out of 5.1 FPML specification but I get following error.
...
0
votes
2answers
38 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
1answer
198 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 ...
0
votes
0answers
118 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 ...
-1
votes
1answer
326 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 ...
-1
votes
0answers
75 views
question about Mean Variance optimization in C# [closed]
I just found (probably) mean variance optimizator on MSDN site with Microsoft Solver 3.0 (see, this link).
Is this valid code/approach to calculate weights of each position in sound of mean variance ...
-4
votes
2answers
471 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 ...
