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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2answers
288 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
707 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
127 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
401 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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1answer
62 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
244 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
88 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
100 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
36 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
155 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
169 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
187 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
554 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 ...
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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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0answers
14 views

How to request current Interactive Broker positions using VBnet/Activex and the API?

I'm trying to use the reqPositions() method but it doesn't have an event handler associated with it that it references in the API.
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0answers
118 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
18 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
122 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 ...
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0answers
62 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
167 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
52 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
75 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
128 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
66 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
41 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
11 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
921 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
279 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
149 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
164 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 ...
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0answers
170 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
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0answers
541 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 ...
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3answers
538 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 ?
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5answers
4k views

Which library shall I use for time series analysis in Java?

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. ...
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1answer
64 views

What is the formula that determines when VIX futures expire?

Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like ...
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2answers
50 views

Java platform/lib widely use in industry

I am currently switching from Java dev to quant and for my self-study I want to code a few auto-trading algorithms to get my hands on the subject. Are there any must know platforms/libs that I should ...
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2answers
240 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
52 views

GNP/GDP and modelling [closed]

Is GNP a continuous, static or a dynamic model ? What about GDP ? What I do know is that it has yearly discrete values. However, when it is modeled, it becomes a continuous graph. So what exactly is ...
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2answers
185 views

FpML class generation gives error

I am creating classes out of 5.1 FPML specification but I get following error. ...
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2answers
28 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
152 views

Contribute to Finance related projects [closed]

I am currently a student and in the future would like to work as a software developer for a financial institution such as Bloomberg, Factset etc. I was looking to contribute to some open source or ...
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1answer
537 views

Excel to Java for Interactive brokers

I have a working excel workbook connected to Interactive brokers DDE API. I am struggling to upgrade to a more robust environment like Java. I tried to change it to ActiveX for Excel but the ...
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0answers
18 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
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0answers
63 views

backtest asset allocation strategies

I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, ...
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0answers
69 views

Problems calculating RSI

For the last few days I've been trying to calculate an RSI that matches a reliable source. Yahoo finance, E-trade, and TDA all give identical values, which I am unable to replicate. I have tried ...
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0answers
23 views

How to get currency denomination of security from yahoo finance API

I'm trying to write a portfolio program and it would be nice if it could auto detect what the currency denomination of the ticker is without needing user input.