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1

If you're a student, the first place I would suggest you seek guidance would be from your professors. They could at least steer you in a direction of developing something that could be meaningful and appropriate for someone with your background (whatever that may be, your professors probably would know). If you're looking for something open source, then I ...


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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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