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"The Art of R Programming (A Tour of Statistical Software Design)" by Norman Matloff. It has quite high marks on Amazon. Moreover, you can find a legal version of this book on the Internet.


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Introduction to R for Quantitative Finance received a favorable review here: http://www.thertrader.com/category/book-review/ Besides finance-specific books, perhaps 'R Cookbook'?


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I think the best choice for technical analysis with node is node-talib, a wrapper around TA-Lib. We're using it for some projects and it works ok so far. Here's a list of the indicators you get out of the box: AD Chaikin A/D Line ADOSC Chaikin A/D Oscillator ADX Average Directional Movement Index ADXR ...


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Interactivebrokers is also an excellent platform thats been around for ages, and has api interfacing


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One of the spread betting firms in the UK (IG Index) has an API freely available (at https://labs.ig.com/) that provides streaming FX rates. You need an account to access the API, but you can sign-up for free and start using the API. They have a C# SDK available so you should be able to get up and running quite quickly. Hope this helps.


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You need the "adjusted high". However, Yahoo Finance does not provide that: https://help.yahoo.com/kb/SLN2311.html However you can adjust manually. From the Normal Close and the Adjusted Close just compute the adjustment factor and then manually adjust the High.


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Bloomberg's programmable plugin will do this. So will Reuters or Activ Tick or any other number of manage data brokers. All it involves is signing a contract and paying. I think you'll need to flesh out your question a bit more to get a more detailed answer. Interactive brokers does offer a fair bit of data in "real time", assume its a few seconds ...


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You're setting an option, not an override. Your code works fine if you replace names(overrides.px) = "periodicity" px = bdh(securities = indices,fields = "px_last",start.date = start.dt,end.date = end.dt, overrides = overrides.px) with names(overrides.px) = "periodicitySelection" px = bdh(securities = indices,fields = "px_last",start.date = ...


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At first we considered it to be a bug where the overrides does not propagate correctly. Edit: Here is a corrected examples, thanks to @Sid. Setting it as an options field works: library(Rblpapi) blpConnect() ## initalize data import end.dt <- Sys.Date() start.dt <- end.dt - 100 # keep it simple for example index.growth <- "MXUS000G Index" ...


1

US Treasuries follow the Actual/Actual day count convention, so you can't make the assumption that there are 180 days in a coupon period. Let's assume that the settlement date (T + 1 for US Treasuries) is 8/6/2015, the previous coupon date for a bond is 7/31/2015, and the next coupon date is 1/31/2016. Then the number of days in the coupon period is 184 ...


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Your term_1, which represent the zero coupon rates, are expressed in %. You have to divide the values by 100 to compute discount factors.


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First of all you need to get the YTM. The parametric model has an economic interpretation so coupons would mess the estimation and the interpretation of your model. Because of that the values of both taus must be restricted so you can avoid multicoliniarity. If they are the same you are saying that both curvatures are on the same tenor but then your model is ...



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