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We use node.js at alta5. The event-driven, non-blocking I/O model performs well in data-intensive real-time applications like a trading platform. http://alta5.com/


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Disk I/O has a big latency cost, so you must use an asynchronous logging framework and the fastest way to pass messages from thread A to thread B is to use the disruptor pattern. For a good event sourcing (i.e. logging to a file without log levels like info, warn, error, etc.) framework you can take a look on CoralLog. It can log a 64-byte message in 87 ...


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You can just take the diagonal of the var-cov matrix. This should give you the variance of each stock and then take sqrt of that for std. deviation. sd = sqrt(diag(vcm))


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I have experience of C# as a strategy client at the end of a VB .Net ticker plant. The latency fluctuations caused by the garbage collection could be in the order of seconds! And occurred every four or five minutes with a stream of a 1000-ish ticks a second. I was the first engineer to test our trading system in this way, it was a shock to all concerned and ...


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One of the reasons q/kdb+ is attractive for tick data is that it can process data tick by tick as well as using the SQL-like query language. The only system I've used that can process a tick-feed like q/kdb+ is Esper. It is very difficult to work with because it's an embedded language invoked by an Esper runtime environment within a JVM. There are extra ...


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I would recommend performing visualization intensive tasks and UIs on a separate front-end, given R and Matlab are not optimized to efficiently render charts and other visualizations. If you are able to run WPF/Silverlight apps on your machine I can highly recommend SciChart (http://www.scichart.com/). It fulfills all your stated requirements. The library ...


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It's because of the settlement days you passed when you initialized the flat volatility curve. You're creating the spot, forward and flat volatilities as: boost::shared_ptr<BlackVarianceSurface> volatilitySurface( new BlackVarianceSurface(todaysDate, calendar, maturityArray, strikeArray, ...


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A free to use Excel Add-on providing QuantLib-backed derivatives pricing analytics directly in Excel is available at http://www.deriscope.com Disclosure: answerer is author of the package.



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