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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3
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3answers
125 views

Real-time Tick Data API for the Italian Stock Market

Hello community. I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should ...
3
votes
1answer
171 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 ...
1
vote
1answer
36 views

Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)

I am trying to find a book for our study group that teaches the bare minimum C++ needed for financial applications. I am trying to teach it in a project based manner. In case, I don't settle on one ...
5
votes
0answers
263 views

Algorithmic Trading Model Calculation and Stale Data

I'd like ask everyone a more concurrency programming but definitely quant-finance related question. How do you deal with staleness of data in market hours as quote ticks are streaming and your model ...
4
votes
0answers
114 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 ...
3
votes
0answers
94 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this ...
3
votes
0answers
71 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 ...
3
votes
0answers
75 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
0answers
282 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 ...
3
votes
0answers
169 views

Which are the popular free/open-source charting controls?

Recently i've tried SciChart and VisiBlox - beautiful charting tools. Is there any free or open-source tools for visualizing charts on C#? Thank you for answers.
2
votes
0answers
154 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 ...
2
votes
0answers
97 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
0answers
113 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, ...
1
vote
0answers
101 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 ...
1
vote
0answers
58 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 ...
1
vote
0answers
161 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 ...
1
vote
0answers
50 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
122 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
31 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 ...
1
vote
0answers
62 views

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

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
1
vote
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 ...
1
vote
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 ...
1
vote
0answers
145 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 ...
1
vote
0answers
163 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 ...
1
vote
0answers
169 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
1
vote
0answers
540 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 ...
0
votes
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 ...
0
votes
0answers
58 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, ...
0
votes
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 ...
0
votes
0answers
21 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.
0
votes
0answers
67 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 ...
0
votes
0answers
34 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 ...
0
votes
0answers
59 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 ...
0
votes
0answers
133 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
0answers
237 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
65 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
74 views

How to display stock prediction results?

I'm not sure if this is a question for "Quantitative Finance" or "Personal Finance & Money" so forgive me if this one is irrelevant for this site. The Situation So I wrote a program (in vb.net ...
0
votes
0answers
423 views

R or Matlab code for Multi-Barrier-Options (3 or more underlyings)

I am looking for R or Matlab code examples of multi-barrier-options (or multi-barrier reverse convertibles) with at least 3 underlyings. Do you have such code or can you point me to a place where I ...
0
votes
0answers
174 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 ...