hroptatyr

356 reputation

bio	website
	location
	age
visits	member for	1 year, 10 months
	seen	16 hours ago
stats	profile views	37

(my about me is currently blank)

	356 reputation	bio	website		visits	member for	1 year, 10 months
26 badges		location			seen	16 hours ago

summary answers questions tags badges favorites bounties reputation activity

33 Actions

suggestions reviews revisions comments badges posts accepts all

May 6	answered	Analyze raw tick data
Apr 30	comment	Is there an all Java options-pricing library (preferably open source) besides jquantlib? I wonder too why it's 'leagues better', from quickly looking at the source I'd say it's 'leagues' worse. The payoff for futures contracts is simply wrong, and (unless the java compiler does miracles) the numerical routines look rather slow.
Apr 23	comment	How can I cope missing data values with excel? or any other software? The assumption that the question is trivial is simply wrong. There's no general advice how to proceed about missing data. Especially not without seeing the data or the gaps therein.
Apr 23	comment	how do you evaluate an FX market aggregator? @Frankie IB offers FX exclusively through their IDEALPRO venue (and hence disqualifies as aggregator). Also from what I've seen the liquidity is in no way comparable to the other ECNs mentioned.
Apr 7	comment	Software for backtesting outside strategies (CSV transaction upload) I think the complexity in your case is not the backtest itself (it's just a few cashflows in the range of months), the complexity is to describe to a (generic) backtesting software what you want out of it, and such a language is likely to be complex; possibly even a superset of FIX if you want to take care of pre-trade and post-trade stuff as well. Is it worth learning such a language? Yes, if it was standard. In your case, I think you're better off quickly writing the code yourself.
Oct 17	awarded	Enthusiast
Sep 21	comment	Using QuickFIX in a C project Yep, indeed. I'm working on an (open-source, C, BSD-licence) fixml<->fix<->memory converter myself but it's nowhere near finished. I will update my answer once I deem it ready for public use.
Sep 21	answered	Using QuickFIX in a C project
Sep 19	answered	How do you handle Calendars in a .NET quant system?
Aug 28	awarded	Analytical
Aug 15	comment	transaction size and liquidity in simulation of US stocks We've done a survey once on what window you'd have to use to estimate a price at which to trade a certain (fixed) amount of securities, minimising the distance to the final settlement price. We found that the VWAP within the last 17 minutes is within a .1% distance 99% of the time. But this approach needs constant monitoring obviously. So far we changed our initial finding of 14 minutes to 17 minutes. NASDAQ100 stocks btw.
Jul 11	answered	What does ABBO (Away best bid and offer) refer to?
Jul 10	comment	Is there a general format for various sources of futures market-data? fixprotocol.org/FIXimate3.0 I don't know if by market data you mean the same as them (PreTrade -> MarketData), you may want to look at QuotationNegotiation -> Quote/MassQuote there.
Jul 1	awarded	Yearling
Jun 1	comment	Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock? That's what they meant. Assume the following order book: 1 for \$10.00, 20000 for \$10.50. So essentially you're algo applies and you're both right. Exercising is cheaper.
Dec 29	awarded	Commentator
Dec 29	comment	time series management system @ghostJago: see comment below In essence: I'm still on the hunt for a Wow-That's-It solution.
Dec 29	comment	time series management system Ok, here's the report as promised. In essence all the features Dan described are there but it's not tailored to my specific needs, i.e. I had to more or less code a lot, not to say, all of it. I could turn the stuff I've written into some sort of (open-source) project but I'm a C and lisp programmer and so my js code is heavily influenced by that and probably not understandable enough to attract contributors. Also, the web design is something I'd rather clone from someone with experience, my understanding of UX and UI is nothing I should be paid for, to put it mildly.
Dec 4	answered	How to properly evaluate backtest returns?
Nov 24	comment	time series management system Sounds definitely good, I'll look into that. I guess I wasn't after high performance when I asked for a web-based approach. But anything that can do a maintenance job in less than 24 hours every day is enough. I'll report back.