New answers tagged programming
2
TradeStation offers python support via their WebAPI. Check it out here: http://tradestation.github.io/webapi-docs/
0
Keyword SPAN and the summarized answer is that it sets margin requirements as a function of risk/volatility. CME and other exchanges also function as clearers and thus they have an interest that market participants who clear with CME remain solvent. The exchange runs stress tests and determines a reasonable amount of performance bond that has to be deposited ...
2
You can find the full R source code for that at the site of Systematic Investor.
For example have a look at this post about Maximum Sharpe Portfolios. There you see that he created the helper function portfolio.allocation.helper for the following optimization methods:
EW=equal.weight.portfolio,
RP=risk.parity.portfolio,
MV=min.var.portfolio,
...
2
For the record, the formula for maximum diversification portfolio can be found in this paper.
As you can see from the quadprog documentation, it minimizes problems of the following form:
$$ \min - d'b + \tfrac12 b' D b ~ \text{with} ~ A' b \geq b_0 $$
So clearly, it's not good for your formula.
You can consider optim or one of its extensions for your ...
4
Full Disclosure: I am the owner and tech lead on the SciChart project, so without doubt I'm biased!
Definitely check out SciChart, which is a commercial WPF & Silverlight stock chart control built with financial users in mind. It supports
Candlestick, OHLC
Line, Step-Line
Mountain
Column
Scatter
Band series, Step-Band Series
Annotations such as line, ...
1
Yep, there is one and it's leagues better than jquantlib.
https://code.google.com/p/maygard/
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