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I don't think there is any good finance book for learning C++. The best C++ books are simply the generalist C++ books that you can see by searching "C++" on Amazon. There are many free C++ online courses, I'm sure you will find something on Coursea. The best C++ book has to be The C++ Programming Language, by Bjarne Stroustrup. However, it's probably too ...


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Here is library for time series modelling. There are exponential smoothing models (simple, double, triple) with maximum likelihood estimation and another time series utility classes: https://github.com/hawkular/hawkular-datamining http://www.hawkular.org/docs/components/datamining/index.html


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backtrader (https://github.com/mementum/backtrader) can do 1 and 3 and is in the process of getting 2 ironed out. A live data feed from IB will make it into the next release (due in the next few days) and it will then be down to mapping of orders. On the project page you can see a list of other similar (some more, some less) python projects and may prove to ...


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Briefly: Some functions simply are not vectorised. If you want to loop getBars() over a vector of symbols, write another wrapper doing the looping. As our documentation says: startTime: A Datetime object with the start time, defaults to one hour before current time (and ditto for endTime) you need to supply a DateTime object, and as.POSIXct() is one way ...


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You can use Bloomberg API as well.


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IB will provide you with tick data only if you have an account with them. min deposit 3k if age <25 otherwise 5k so i'm guessing that's not an option if you only plan to do a study. Other options are the free quant tick downloader but which is very good but you only have major currencies and indexes -> here is link It also depends on what kind of ...


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I am not an expert on the subject, actually I'm looking around for more knowledge. If you can open a trading account with Fineco, they provide the so-called PowerCell (https://help.fineco.it/it/600/2421.html), a data-exchange platform that gives you the ability to grab real-time data directly from their trading platform (PowerDesk). It's not a free service, ...


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Remember that all back testing is full of lies assumptions. Latency (both line latency and latency internal to the exchanges), adverse selection, market impact (yes, even you have market impact), etc, are all based on assumptions. These assumptions are educated guesses at best, but more often terrible models are used (you always get filled at at mid!) and ...


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ASSUMING your counterparty does stream data (this is not a given), what you got was a Snapshot, requesting the top of the book and the volume. I am assuming you sent a MarketDataRequest message, which is 35=V. The tag 35 in FIX protocol is the Message Type. For help with the protocol, FIXIMATE is your friend. Most counterparties should have documentation ...



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