For questions about programming languages 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.
28
votes
16answers
23k views
What programming languages are most commonly used in quantitative finance?
What programming languages are the most common in quantitative finance, and why are these languages used?
Note: I do not mean, what languages are used to develop the accounting system at a hedge ...
26
votes
12answers
23k views
Why is C++ still a very popular language in quantitative finance? [closed]
I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ...
19
votes
6answers
2k views
How good is managed code for algo trading?
I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
19
votes
11answers
4k views
Is F# used in trading systems?
Similar to this other question about Scala, I'm interested in knowing whether F# is used to any measurable degree in financial circles. Have there been any successful shops using it, any research on ...
18
votes
5answers
3k views
What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
15
votes
8answers
2k views
What kind of basic framework or application do you use to run your trading algorithms?
I heard about MetaTrader from http://www.metaquotes.net. Is there any other framework or program available? Do you use different software for backtracking and running your trading algorithms?
Thank ...
13
votes
4answers
2k 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 ...
13
votes
9answers
3k views
Which brokers offer a .NET stock trading API?
I'm trying to make up my mind and choose a broker, however much of my choice depends on the trading API offered.
I'm definitely not interested in FIX solutions and I'd very much like a .NET ...
11
votes
4answers
2k 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 ...
10
votes
7answers
5k views
Is the Interactive Brokers API suitable for hft?
By hft here I mean anything with holding period less than 5-10mins...
Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
10
votes
5answers
419 views
What benefits are there to employing agile software development methodologies for quants?
Perusing the other SE network sites, particularly Programmers, I often find vigorous support for various agile software development methodologies, particularly the various values known as Extreme ...
10
votes
2answers
557 views
Reference request: Survey article on GPU in Finance
I would like to get and idea of how people use GPUs in finance.
I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...
But I couldn't ...
10
votes
3answers
1k views
Is there an all Java options-pricing library (preferably open source) besides jquantlib?
I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations?
The jquantlib site seems to be down.
I'd prefer ...
9
votes
2answers
1k views
Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems?
Esper and its .NET port NEsper are components that enable Complex Event Processing (CEP) and Event Stream Processing (ESP) engines. They are especially suitable for trading applications. They can, ...
8
votes
3answers
421 views
Reference on Markov chain Monte Carlo method for option pricing?
I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
8
votes
3answers
712 views
What tools are used to numerically solve differential equations in Quantitative Finance?
There are a lot of Quantitative Finance models (e.g. Black-Scholes) which are formulated in terms of partial differential equations. What is a standard approach in Quantitative Finance to solve these ...
8
votes
3answers
2k 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, ...
8
votes
1answer
431 views
What tools and libraries may be used to model limit/stop systematic trading?
A lot of the tools/libraries out there seem to focus on close to close time series analysis. This is all fine but I typically do not trade close to close, I will use limit or stop orders that may or ...
7
votes
4answers
1k views
Statistical learning libraries
Is there a general (or specialised) FREE library to solve learning problems such that found in the book "The Elements of statistical Learning". As it is often time consuming to write all the ...
7
votes
4answers
781 views
Library to solve optimization problems
I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms.
In particular I'm cutrently working with Semidefit ...
7
votes
5answers
1k views
Is Visual Basic a fast enough for millisecond orders
I have an API that for an order routing platform that is in visual basic. The maximum frequency or orders to exchanges will be milliseconds, where the underlying systems are expected to be able to ...
7
votes
4answers
946 views
What approaches are there to order handling in automated trading?
I am currently developing a commercial automated trading program in which users can write their own proprietary code and develop strategies, like in NinjaTrader, MetaTrader etc. Right now I am working ...
7
votes
4answers
523 views
What commercial financial libraries are available to outsource implementation risk?
During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our ...
7
votes
1answer
399 views
How to compute modified-CVaR in the PerformanceAnalytics package?
My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...
7
votes
1answer
2k 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 ...
6
votes
2answers
327 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 ...
6
votes
3answers
1k views
What programming language is best suited for implementing DeMark?
Jason Perl's book DeMark Indicators details rules for calculating signals developed by Thomas DeMark. These rules are not complex in themselves, but there is no dirth of ...
6
votes
7answers
2k views
Option trading API other than Interactive Brokers
I'm looking for an options broker that provides an execution API.
I'd like to ideally test on a papertrading version of it before connecting to a real execution engine. I know IB offers that, but they ...
6
votes
1answer
740 views
What is the best live options data API?
What is the best/cheapest service to get real-time (as real-time as you can get) on stock options?
I'm looking for the fastest update on the ENTIRE market, with a few stocks prioritized, so I need ...
6
votes
3answers
4k views
Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
...
6
votes
1answer
270 views
NASDAQ TotalView ITCH order reference number number characteristics
I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
5
votes
4answers
390 views
Are there any brokerages which use URL-based web APIs?
We already have a list of brokerages that provide apis. What about brokerages that provide web apis?
For example, Collective2 has a url-based web api for entering trades. Are there any brokerages ...
5
votes
5answers
1k views
Technology stack used in Bloomberg
I figure this perhaps the best place to ask this.
What technology stack is used in Bloomberg? I'm C++ developer, and I definitely prefer C++ to C, so I don't want to touch C unless it's strictly ...
5
votes
3answers
873 views
What API methods are there to determine a company's market cap?
I'm wondering what API methods there are to determine a company's market cap, i.e. (number of shares issued) * (price per share).
I know IQfeed and perhaps Yahoo will do this - does anyone know of ...
5
votes
4answers
593 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 ...
5
votes
3answers
345 views
Means of inferring trading algorithms from competition trade data
I'm analyzing trades from several participants in a trading competition, and I was wondering - are there known mechanisms for analysis and inference of the logic in a set of trades done by one ...
5
votes
4answers
591 views
Library of basic indicators
I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...
5
votes
1answer
386 views
Automated 10-K XBRL data grab using the SEC file structure
I would like to write a program that takes as input a list of CIK/year/quarter entries. The program should iterate through the list and, for each entry, grab XBRL financial data from the SEC website ...
4
votes
2answers
1k views
using quantlib function in my c++ program
I want to include the QuantLib function for option greeks calculations in my own C++ code.
My question is: can I just include those functions? I don't want to use the rest of their stuff.
I obviously ...
4
votes
2answers
291 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 ...
4
votes
4answers
684 views
Is there a charting API which allows to replicate Bloomberg chart tool features?
I believe that most of us will agree that being able to compute values is only part of our job, as we would also like to be able to display them nicely in order to better understand or help ...
4
votes
2answers
288 views
Using QuickFIX in a C project
QuickFIX is a well-known open-source implementation of the FIX protocol. This library has been ported to numerous languages, though for the moment I am concentrating the on C/C++ implementation.
...
4
votes
1answer
343 views
Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
3
votes
4answers
440 views
What is the industry standard Quant Finance modeling library for F#
If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#.
What typical finance scenario(s) have ...
3
votes
3answers
237 views
How do you handle Calendars in a .NET quant system?
I have developed an analytic platform in .NET, but I now have to tackle the problem of data cleaning which first starts by finding holes in time series, before actually looking to find inconsistent ...
3
votes
2answers
605 views
Covariance for arbitrarily large portfolios
I am implementing a method in Java to calculate the variance, covariance, and value at risk for a portfolio, which should be flexible for use with any number of assets in a portfolio. I am struggling ...
3
votes
1answer
1k views
Mersenne twister random number generator in Java for Monte Carlo Sim.
I am using the Mersenne twister random number generator in Java for a Monte Carlo Simulation. I need a uniform distribution of values between -1 and 1. My code is below (I am importing ...
3
votes
2answers
830 views
GJR-GARCH Model In R
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?
3
votes
3answers
829 views
VaR implementation using quantlib?
I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations.
Despite several searches, I have not as yet come across a quantlib VaR ...
3
votes
1answer
1k views
C++ training from scratch to quantitative trading? [closed]
I have been trading for decades, and I have a solid knowledge of technical analysis but also VB as professional programmer.
I would like to start learning C++ from scratch, then specialised in C++ ...
