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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3answers
216 views

Realtime Exchange Rate Data API

There are various sources for real-time exchange rate data, e.g. Ariva EUR/USD. Is there also an API or other source which enables to automatically retrieve real-time exchange rates as a data stream ...
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2answers
489 views

ASX level 2 data via API

Is anybody aware of Java/C++/Python API's available for ASX stock market depth? I'm currently using IB which is ok but has a number of limitations / issues - the one I care most about is the limit of ...
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2answers
266 views

What is the current lowest possible latency for TCP communication?

I have two machines over a 10Gb network that need to communicate with each other through a TCP connection. In terms of technology, what is the current lowest latency possible for this to happen? What ...
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1answer
174 views

What is an appropriate algorithm to use for tax loss harvesting?

I've been reading into how Betterment and Wealthfront have architected their tax loss harvesting algorithms, but they stop short of providing any real examples. Essentially, they both reduce to: <...
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2answers
2k 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 ...
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3answers
435 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,
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1answer
72 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 ...
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1answer
40 views

OTC Market Data

I am currently doing research on the OTC Markets (OTCQB, OTCQX). As far as I know, the only data available is end of day. The research will require tick level data. This leads me to two questions: ...
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1answer
58 views

Getting quote stream via fix-api 4.3

I'm new to FIX api,so far i did following (on QUICKFIX) logged on to quote-session subscribed to market data sent "single-message" quote-request for an instrument (EUR/USD for example) ...
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1answer
106 views

How to price touch options using quantlib?

I am new to quantlib and I want use it to to price a touch option (single/double). I searched on google for example code but I could not find anything. Hence, I am ...
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1answer
915 views

Bloomberg equity option volatility data

Using the Bloomberg open API, I am trying to program a C++ script that is able to download option volatility data from Bloomberg. I currently do not have access to Bloomberg, but in the coming week I ...
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2answers
292 views

What Matlab packages to I need as a Risk Analyst?

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
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5answers
749 views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
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1answer
131 views

Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
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1answer
425 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: ...
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2answers
38 views

How to assign n day target variables in machine learning

I am trying to forecast future price using supervised machine learning. My logic is to take open and close price from t, t-1, t-2 and t-3 period to predict future close price in the period t+1,t+3 ...
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1answer
66 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
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1answer
247 views

How to answer this interview programming question about drawdowns?

I saw this question as an interview, and to be honest, I have no idea what it's even asking for: Write a function (in R or Python) that finds the stock drawdown which will trigger a rebalance, ...
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1answer
91 views

QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
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1answer
46 views

What is wrong in my non-linear estimation sample code?

I am trying to reproduce the code and plot you see here on pages 8,9 and 10 which was coded in MATLAB, but I'd like to convert it to R code. I believe I converted the MATLAB code below to R syntax ...
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1answer
107 views

Calculating Accrued Interest of Bonds

I am trying to calculate the accrued interest for a set of Treasury Bonds. I am comparing the answer from the code below with that for the 1st Bond(row) over here. In the link the AI is ...
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1answer
38 views

Correct Theoretical Discount Factors from Nelson-Siegel-Svensson?

I am calculating the theoretical discount factors associated with a bond that has 30 months to maturity from today with the parameters below obtained from here using the Nelson-Siegel-Svensson Model. ...
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1answer
167 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...
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1answer
1k views

Downloading Data from Interactive Brokers using IbPy

I am trying to download data from Interactive Broker using the code below and I am able to create the connection with the Trader Work Station (I get a "True" after ...
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1answer
176 views

Median value for geometric brownian motion simulation

I'm trying to simulate stock prices using GBM. I am using the following formula, and MATLAB function, to determine the stock prices: $\nu = \mu - \frac{\sigma^{2}}{2}$; $S = S0*\text{[ones(1,nsims); ...
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3answers
201 views

Obtaining Expense Ratio Data

I have a list of tickers (~11,500) in a .txt/.csv file and accompanying fund data from yahoo finance. I'm wondering if there is a reasonably easy/accessible way to use this list to obtain expense ...
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1answer
619 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 (https://www....
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4answers
4k 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 ...
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1answer
1k 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 ...
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3answers
60 views

Stock Exchange Software

For weekends project, I would like to setup a "simulated" stock exchange on my dev server (windows/linux), ie. running my own NYSE server ? what options do I have, open source wise (can be c# or java ...
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0answers
44 views

Programming language to compliment Finance degree [closed]

I've read a few questions regarding this, but want some new (more recent) opinions. I'm in the process of pursuing a degree in Finance, complimented with some Math and a sprinkle of Computer Systems. ...
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0answers
16 views

Where can I find extra resources on how to use Quantopian? [migrated]

I am sure you all know Quantopian (I love it!!). Even though I am pretty good with Python, I am still having trouble writing a full algorithm (I am trying to write one using Fundamentals data). I ...
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0answers
37 views

Is there a public SQL database for all US stocks?

I would like to search through all US stocks (via SQL or another technology), and filter them by certain parameters (similar to a stock screener, but through an API rather than a user interface). Is ...
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1answer
35 views

Trader Workstation on Ubuntu cannot be connected to via the API

I am using ibPy to connect to TWS on a fairly fresh ubuntu machine. I have been successful in logging into the paper trading account and submitting buy and sell orders programatically via the ibPy ...
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0answers
123 views

Trouble verifying roll rate model

I found this paper on roll rate analysis via a google search. I would post a link, but every page is stamped with "CONFIDENTIAL" at the bottom (humorous since it is easily found). In a nut-shell, ...
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0answers
21 views

How to enter to economics/finance sector [closed]

Although my question is a general question, I would appreciate your suggestions or help me to find a proper "stack exchange" in order to ask my question: I am a Ph.D student in (Pure)Mathematics and ...
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0answers
180 views

Historical volatility on bloomberg API

Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be enough....
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0answers
65 views

Looking for most current Financial API that is fast and accurate for NYSE NASDAQ AMEX OTC and PINKs

Looking to build a real time data feed, stock monitor window. Pretty much the same as equityfeed.com market viewer window, just with a few addedfeatures and or different filter columns with more up ...
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0answers
169 views

How to add buy/sell market on a long/short Bollinger Bands graph in python?

I am using python, pandas, matplotlib to do the following: I have plotted some stock data ...
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0answers
57 views

How to handle missing data in time series in R?

I have 5 years stock closing price of a company with some missing values in between (I having 1443 data points). When I create timeseries object in R with frequency 365 it creates 1834 data points, R ...
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0answers
79 views

What are the best online platforms to hire a quant? [closed]

I have already written the base of a trading algorithm, however there are some optimisations that I would like to add that might be best programmed by more experienced quantitative programmers. This ...
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0answers
137 views

How to extract sentiment from Yahoo finance message board?

Does anyone know if it is possible to write a software to pull Yahoo message board sentiment for a specific stock? Any API from Yahoo or anyone has done it before?
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0answers
32 views

Jacobian for Newton method for American options by front fixing

In this paper Penalty and front-fixing methods for the numerical solution of American option problems a front fixing method based on Newton is described for an American put option is described. I am ...
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0answers
76 views

QuantLib C++: Friendship dilemma between derived class from PiecewiseYieldCurve and Bootstrap class

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
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0answers
42 views

Is there a limit to the number of Spot rates than can be calculated from Par Yields

I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
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0answers
14 views

Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
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1answer
982 views

examples of c++ code with application to quant finance [closed]

I've some intermediate knowledge in C++. However, the knowledge is more of a theoretical nature and not applied to quant finance problems. I'm looking for good sources, code examples books blogs ...
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1answer
286 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...
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0answers
153 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 ...
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0answers
167 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 ...