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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0
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1answer
46 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 ...
0
votes
0answers
32 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 ...
3
votes
1answer
147 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
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0answers
9 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.
2
votes
1answer
99 views

How to download efficiently intraday data with Bloomberg API?

I'm downloading intraday bar data using Bloomberg API and C#. I have adapted the official Bloomberg c# "IntradayBarExample” to suit my needs. However downloads are really slow, I found this post ...
8
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4answers
6k 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 ...
3
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0answers
51 views

Downloading IB futures data and then making a datapump to another program

I never have programmed before in my life but I wouldn't mind learning if I knew what i needed to do in order to solve my problem. I use neuroshell for day trading and use it extensively for trading ...
0
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0answers
39 views

How is a second-sensitive MACD calculated?

I am trying to get the specifics on the calculations of a MACD line that is calculated every second, as can be seen by using Bloomberg or Interactive Brokers or something of the like. I am assuming ...
1
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0answers
105 views
15
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8answers
19k views

Is the Interactive Brokers API suitable for hft?

By HFT here I mean anything with holding period less than 5 to 10 minutes. Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
2
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2answers
79 views

Is there an implementation of VAR-EGARCH model in R or Stata?

I am writing my undergrad honor thesis and want to run a multivariable VAR-EGARCH model. Is there any package in R or formulas in Stata 14 that allows me to implement directly? If not, could you ...
1
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0answers
46 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 ...
9
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4answers
535 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
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2answers
54 views

Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?

I am making use of the Normal Inverse Gaussian distribution in my work to model underlying interest rate implied volatility risk drivers. What is particularly nice about this distribution for my ...
13
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7answers
4k views

What C++ math libraries are typically used by quants?

Before you mark question as off-topic, please read it - it is, actually, quant-related. Basically, I'm working on an app that spits out a lot of C++ math. When it comes to simple things like ...
6
votes
5answers
2k views

Fastest solver possible for portfolio optimization

I am using quadprog in MATLAB for very simple mean-variance optimization, with less than 100 assets. It is quite fast but if I run a strategy with daily ...
4
votes
2answers
240 views

How to trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...
1
vote
1answer
74 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 ...
1
vote
1answer
209 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, ...
4
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2answers
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 ...
2
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1answer
80 views

Why is my Euler discretization error increasing with number of steps?

I'm trying to see how the Euler discretization error behaves with respect to the number of steps. To do this I'm simulating a geometric brownian motion and comparing it with it's 'exact' solution. ...
16
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5answers
5k views

Implementing data-structures in a Limit order book

I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance. Using F# as an example, I need to consider a List versus Array for ...
0
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0answers
7 views

Is there a free Source for currency forward rates into Excel? [duplicate]

Is there a free (or at least very cheap) service/api out there I might be able use to get yesterday's closing currency forward rates (and spot) into excel/csv without having to copy paste values from ...
0
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0answers
29 views

BLS v2 API took 20+ minutes to publish data where is immediate data available?

First, I should state that I built a Java program that uses HTTP Components to keep in sync with server time for my broker. Once 7:29:59 comes around the program ...
15
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10answers
15k 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, ...
0
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0answers
56 views

Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
-1
votes
1answer
38 views

Finding Discount Bond Matrix in LMM Model C++

I am working on a 1 Factor Libor Market Model (LMM) in C++ and I working my implementation of the formula to find my Discount Bond matrix via the following formula: In the case of my model alpha is ...
1
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1answer
118 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 ...
8
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4answers
1k views

What .NET library can I use to solve optimization problems?

I'm working with C# and I start being bored writing optimization algorithm. Do you know any free library containing this sort of algorithms? In particular I'm currently working with Semidefit ...
1
vote
1answer
73 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 ...
2
votes
2answers
76 views

How to perform portfolio optimization with user-defined expected return and variances using R?

I found some functions for Markowitz mean variance portfolio optimization in R such as portfolio.optim in tseries package. ...
4
votes
2answers
110 views

Implementation of Ledoit Wolf shrinkage estimator within R package tawny

I want to implement the shrinkage intensity given by Ledoit and Wolf, see here page 13. They define $y_{it}$ with $1\le i\le N$ and $1\le t\le t$ be the return on stock $i$ at time $t$. Moreover, ...
3
votes
2answers
88 views

What programming skills are needed in quantitative finance? [closed]

I’m considering a career in finance when I complete my PhD in Mathematics in 2016. My only major programming experience was a C++ course during my MPhys in the 2007-8 academic year, although since ...
3
votes
1answer
75 views

QuantLib C++: Monte Carlo Engine with SequenceStatistics

I'm trying to implement a Monte Carlo PricingEngine that stores multidimensional statistics. I have done the following: Defined a Monte Carlo Trait that among other things stores as the ...
3
votes
1answer
79 views

QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?

I would like to use the following model in QuantLib: $\frac{dF(t,T)}{F(t,T)} = \sigma_se^{-\beta(T-t)}dW_{t}^{1} + \sigma_L\left(1-e^{-\beta(T-t)}\right)dW_{t}^{2}$ This is a reformulation of the ...
1
vote
1answer
44 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 ...
1
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0answers
44 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 ...
1
vote
0answers
59 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 ...
4
votes
1answer
402 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 ...
6
votes
1answer
299 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 ...
-1
votes
1answer
112 views
2
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0answers
34 views

Rollapply: what does by.column do? [closed]

I have read the description of by.column for rollapply in the manual but i couldn't understand how to use it. see below: x=matrix(1:60,nrow=10) ...
1
vote
0answers
93 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?
1
vote
0answers
30 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 ...
4
votes
2answers
2k 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 ...
1
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0answers
57 views
0
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0answers
21 views

free and reliable stock ticker API [duplicate]

I am looking for an API that will give me (somewhat real time) stock quotes for free for a website. I have heard about using yahoo finance URL download but (to the best of my knowledge) yahoo could ...
2
votes
1answer
119 views

Get institutional holdings of stocks programmatically

First of, I'm not sure if this is the right place for this question, but a search on Google for another programmatically related question regarding stocks led me here, so here it goes. Is there any ...
3
votes
0answers
69 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: ...
3
votes
5answers
3k 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 ...