New answers tagged programming
As suggested by assylias I have modified my code to run requests in several threads. In case you need to do so, these are some valuable informations : 1- Create a thread-safe request procedure and assign differents requestID to your requests. Pass these arguments to processResponseEvent via the eventloop function. This will allow you to make a check ...
Interactive Brokers does not offer execution or even a market data feed with speeds required for HFT. With HFT trading systems now competing for micro-seconds, as opposed to milliseconds 4-5 years ago - a typical retail trader connecting over the Internet is out of league, even with dedicated lines just the network round-trip time will render any HFT attempt ...
You can use RATS software in which VAR GARCH is inbuilt function with CCC, DCC VECH and BEKK for co-variance estimation.
You might also look at the boost package which should (I'm no expert for this) be usable within C#. It comes with an implementation of the inverse normal distribution which is explained in the online documentation http://www.boost.org/doc/libs/master/libs/math/doc/html/math_toolkit/dist_ref/dists/inverse_gaussian_dist.html Here they claim quite a high ...
When possible, I look at implementations in IMSL and the GSL for really good accuracy. Neither one appears to implement the Wald (inverse gaussian) or its quantile function. Matlab does have the distribution (as inversegaussian) so you could roll your own with fzero() or another root-finder based on that if you are unhappy with the accuracy, or for testing ...
On my capstone project on Extreme Value Theory, LMM and Swap Pricing I used dlib . It has a lot of various mathematical capabilities. My use focused on vector and optimization calculations.
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