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.

learn more… | top users | synonyms (9)

2
votes
5answers
2k views

Is node.js being used in systematic trading software?

I have a project where I would like to track some tick data and create some indicators to follow it. I am thinking of using Node.js for this project, but I would like to know from those in industry if ...
2
votes
1answer
73 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
1
vote
0answers
8 views

Approximate asian geometric option with Heston

I am trying to implement Theorem 1 from this Journal in RStudio. The journal says the it is possible to find a approximate price of a geometric asian option in a Heston setup this way: ...
0
votes
0answers
12 views

C++: Derive a class template from QuantLib::PiecewiseYieldCurve [migrated]

I would like to derive a class template from QuantLib::PiecewiseYieldCurve. This is my derived class definition: ...
0
votes
3answers
60 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 ...
3
votes
1answer
47 views

Yahoo finance, interactive chart and historical prices are different

I am very new to the stocks. I checked the TNTE.AS stock on Yahoo Finance website. Here it provides "Interactive Chart" and "Historical Prices". But I found they are showing different values. For ...
3
votes
2answers
75 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
3
votes
1answer
265 views

API for after and pre market data

Is there an API or APIs similar to the Yahoo! or Quandl APIs, that give the same access to pre and after market data? I know I can scrape the Nasdaq or Yahoo! Finance sites to get a pre/after market ...
1
vote
0answers
31 views

More cache friendly linked list or alternative with optimal append, delete, and ordered traversal for limit order book?

I am trying to implement a stock matching engine/order book in C++, and am searching for a more cache friendly architecture. Currently, my data structures are as follows: An intrusive rb-tree for the ...
3
votes
1answer
216 views

Do you have a validation set for Libor Market Model implementation?

I'm trying to calibrate a Libor Market Model (LMM) in Matlab with my user-defined function, not their package. I already fitted the market volatilities using SABR but failed to simulate the ...
0
votes
0answers
36 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 ...
0
votes
1answer
75 views

Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
0
votes
1answer
46 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 ...
0
votes
1answer
21 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. ...
2
votes
2answers
86 views

Q regarding amortization of 500,000 loans

I am brand new to this forum. I asked this question on the main StackOverflow site and it was suggested that I ask here. My task is to find a method to quickly calculate the monthly cash flow on ...
1
vote
1answer
76 views

Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
2
votes
0answers
73 views

How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
0
votes
0answers
48 views

Does anybody know how to use jquantlib with eclipse?

I'm currently beginning to work on my masters project in QF and I wanted to use jquantlib for my work. I've searched the internet quite a bit but couldn't find good understandable info on how to work ...
0
votes
0answers
34 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 ...
2
votes
1answer
82 views

What is the best data structure/implementation for representing a time series in C#?

I'm looking for a tick by tick high performance container. So far I've been using List where Tick is a simple struct with a DateTime and double field. I'm using Linq for date lookups but it's ...
1
vote
2answers
884 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
8 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 ...
0
votes
1answer
86 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 ...
2
votes
4answers
89 views

Obtaining intra-day values of the EUR-USD exchange

I need for my project the values of the EUR-USD exchange (both intra-day and ticker). I've been playing around with the Yahoo's YQL API and at this moment I can obtain the current value of the ...
2
votes
0answers
113 views

Bloomberg scripting language (BLAN)

Did anyone work with Bloomberg scripting language (BLAN is the name I guess). If so is it really flexible and is it competitive with other valuation services (say Super Derivatives). Does it enable ...
8
votes
2answers
3k 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 ...
3
votes
1answer
1k 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 ...
1
vote
1answer
343 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 ...
0
votes
2answers
117 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 ...
0
votes
1answer
393 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 ...
4
votes
3answers
148 views

Technical analysis - Calculating Aroon Indicator Serie

I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter. Here is my first attempt: ...
2
votes
0answers
76 views

Calibration of Heston version of CIR

I'd like to calibrate a variant of Heston model for interest rates which is describe by this couple of SDE \begin{aligned}dr_t&=a(b-r_t)+\sqrt{r_t}\sigma_t dW_t^1 \\ ...
1
vote
2answers
467 views

The future language of quant programming? [closed]

Im just about to begin the programming aspect of my education towards being a Quant. I know what languages are currently being used and how popular they are. However, I have several good friends ...
1
vote
2answers
272 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 ...
0
votes
1answer
343 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
92 views

Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...
0
votes
5answers
440 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 ...
2
votes
3answers
234 views

Dou you have an example of implementing Engle-Granger 2-step cointegration?

Does anyone know where to find an example of implementing Engle-Granger 2-step cointegration? Python's ideal, but any language will do. I've skimmed and read many articles, but understand little ...
3
votes
1answer
385 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
1answer
111 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: ...
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 ...
2
votes
1answer
110 views

Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?

I use Performance Analytics package in R to compare annualized and cumulative return of a portfolio. My expectation is that both should be equal over a period of 1-year but results tell me I'm wrong. ...
3
votes
1answer
151 views

Do you have a good application example of Approximate Dynamic Programming?

Have you ever tackled a finance problem with Approximate Dynamic Programming? I have only used dynamic programming for simple examples like a optimal extraction in mining. Do you have canonical ...
0
votes
0answers
68 views

How to get get weekly returns from daily data

Good day I would like to get weekly returns data from daily data , I want to use the Wednesday-to-Wednesday approach – the returns (rt) are computed from the Wednesday closing prices Pt , i.e., rt = ...
0
votes
0answers
60 views

Fund Allocation Logic

I am writing a program which automatically calculates the trade allocations. Imagine we have a 3 funds, Fund A, B and C. They current asset allocations (so-far-percentages) are 10%, 20%, 70% ...
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
1answer
218 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 ...
11
votes
9answers
12k views

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
2
votes
3answers
4k 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 ...
1
vote
3answers
254 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,