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TradeStation offers python support via their WebAPI. Check it out here: http://tradestation.github.io/webapi-docs/

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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 ...

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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, ...

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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 ...

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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, ...

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Yep, there is one and it's leagues better than jquantlib. https://code.google.com/p/maygard/

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