New answers tagged programming
Besides all the procedural languages mentioned above I would also strongly vote for Complex Event Processing (CEP) and its programming language EPL (similar to SQL). Time-based Market Data Analysis and Signal Generation are coded in EPL statements, whereas procedural actions like placing an order are coded in plain Java Code. The combination of the two ...
I would also recommend Amazon AWS Using Amazon Elastic MapReduce you can schedule jobs, deploy them on as many servers as you like and consolidate the results of your tests. Their pricing is very reasonable (starting at $0.020 per hour!) We use Amazon AWS quite a lot for our own Algorithmic Trading Framework AlgoTrader.
Some time ago I tested the IB C++ API with the free demo account: edemo-demouser. The market data is obviously far from reality, but its fine for getting to know the API itself. Good luck with your project!
It depends a little what you mean by "current" but the CDS market developed a "standardized model" for transforming between upfront and spread-based quotes. The model depends on an agreed curve of risk-free rates. The LIBOR rates used for CDS settlement are available at: https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip This is not up-to-the ...
The IB website have a demo version of TWS for download which you can use with their C++, Java etc API. The price feed is stale and orders are not cleared but it shouldn't matter for your purposes. The demo version doesn't require a account/username.
You can fund the account with the minimum account requirement for setup, then withdraw your funds immediately. You will then only need enough in your account to cover monthly data usage fees. (You don't have to maintain an account minimum to keep the account open.) It's not an ideal solution but you may be able to borrow the funds off a family member for a ...
On a single-option basis, there is this paper comparing methods by Mark Joshi. It doesn't specifically examine portfolios, but there's a reason for that. Portfolio and scenario computations are embarrassingly parallel, so once you have achieved your most efficient available option pricer, the rest is simply about wise distribution of your computational ...
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