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You can try the following: Rex by Ben Wu Liquibook by Object Computing


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hmmm, I mad something like this to test market making strategies. I have my code released, if you are interested however the project was made in a day and a half so you may want to improve on it. Here is a video I made to demonstrate it: https://www.youtube.com/watch?v=ka7rSQ2OWIw It links to the source.


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You will be looking at an awful lot of work! You won't have enough weekends to finish it. I suggest you open an Interactive Brokers account and use their Trade Workstation (TWS) platform in simulation mode (AKA paper trading). It uses the real market and allows you to trade it with $4M of fake money. I have used it for years to test and validate ...


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First, that's a common thing in active hours. Since you are dealing with fx, you should ask Hotspot representative what kind of liquidity are you getting. Usually, if you want to aggress on those crossing prices, you won't be able to. Imagine everybody trying to do arb on that. So, ask Hotspot what kind of liquidity they are sending you.


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I agree with Student T regarding a lack of texts that will teach C++ specifically geared towards finance, and I would also say that isn't the best way to learn the language anyway. I taught a C++ course for graduate students for several years when I was doing a post-doc. The intent of the course was to quickly get engineering graduate students with some ...


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manahl/arctic: High performance datastore for time series and tick data seems a good alternative for time series and tick data. It is built upon mongodb.


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to add to chrisaycock's reply, J has Jd database (comercial) now. Its a purer vector language than q, but can be used with the same simplicity.


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You can compute daily gross returns and then simply multiply them: $R_w=\prod_i R_i$, where $R_i=P_{close,i}/P_{close,i-1}$


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Netfonds offers free tick level data. They only offer a few days worth, but you can store it as you go. http://www.blackarbs.com/blog/3/22/2015/how-to-get-free-intraday-stock-data-from-netfonds ''' Netfonds import 5 days of intraday data ''' import numpy as np import pandas as p from pandas.tseries.offsets import * import datetime as dt import matplotlib....


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you forgot the parameter port: con = ibConnection(port=7497, clientId=100) works for me



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