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In the method Distancefunc change this: for ticker in tickers: data = Returns(ticker,begdate,enddate) ... to this: data = Returns(tickers,begdate,enddate) for ticker in tickers: ... Note the change from ticker to tickers in the argument of Returns. The reason is that Returns is designed to loop over all tickers, but ...


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BookMap seems cool, indeed. Jigsaw trading has something good, similar, less expensive http://www.jigsawtrading.com/order-flow-software/ The owner is a trader This tool is used by profitable traders: http://www.nobsdaytrading.com/free-info/for-inexperienced-traders/ DB Vaello from OrderFlow Analytics offers another great tool ...


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Sorry if I missed the boat my a couple months. I am actually forecasting volatility using Python's ARCH module myself. I was wondering what your results would be with the model result's forecast attribute. For example, I believe you could have done res.forecast(). Also, there's a attribute called via res.conditional_volatility I am not too certain if ...


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The IB API calls your code asynchronously when there are account updates after you have called reqAccountUpdates. But you have to provide a callback function (handler) for the IB API to call. Looks like from the [ibPy documentation example] (https://code.google.com/p/ibpy/wiki/IbPyOptional) and how the Java IB API is defined, you want to call ...


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In addition to the above answers - You should be very careful that you do not introduce survivorship bias in your creation of indices and choose your data source carefully to remove such bias. For example, Yahoo Finance only contains currently-listed securities.


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Both R and Python can do this very nicely. For Python you would need the pandas package and its dependencies. pandas has a lot of basic statistics, but for more advanced statistics like it looks like you want to do, you can use the statsmodels package, which can work directly with pandas data types. It can also download the csv files directly off the ...


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It is essentially a statistical exercise, so I would choose R.



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