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seen Apr 10 at 6:59

Sep
10
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
As long as you do not mind about additional latency in the double digit millisecond realm you can safely go with QuickFix. I actually also use QuickFix for non latency sensitive order submission and it works fine despite a number bizarre design issues (such as MessageCracker,...)
Sep
10
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
It completely depends on your use case. Do you require certification at the company you work at? Also, QuickFix requires quite an amount of additional code, most proprietary FIX engines already provide solutions to connect with most brokers, ECNs, and Exchanges. Then there is of course the question what latencies are acceptable to you. Quickfix is not the fastest out there, forget hft using Quickfix.
Sep
1
comment Monte Carlo Options Probability Calculation
That was my point, there are ultimately unlimited ways how to model stock prices, some of which more standard than others. I am afraid your question is too broad and to answer it properly requires writing a whole book. Hence my suggestion to search for MC-related posts on this site, play with some of those suggestions and come back and ask more targeted questions (search for "Monte Carlo stocks").
Sep
1
comment For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
I second your latter paragraph. In some cases storing the data in segregated arrays will be computationally more intensive than storing data of identical time stamp in a struct or class. I coded up my own binary data store and query engine and it ended up to be a lot faster than kdb for standard queries. The data store manages blobs by time stamp rather than segregating out by columns. Obviously my own custom solution only supports what I need and a fraction of what kdb offers. It all comes down what queries need to be supported.
Sep
1
comment Monte Carlo Options Probability Calculation
BS: Simpler computationally speaking but very limited in regards to payoff functions, most non vanilla options do not have closed form solutions. MC: More computationally intensive but very flexible in its usage, including your choice of underlying price driven process. But this is not a forum to walk people through the basics of option pricing or Monte Carlo applications. Please google those topics for solid introductions and/or search this forum because questions about MC already exist here.
Aug
29
comment VSTOXX Implied Volatility Calculation
thanks for additional comments, I still feel 1.4-1.6 is extraordinarily high even for near expiries but not saying its impossible.
Aug
22
comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices
@JoaoSerafim, I deleted my comments because I felt they were misleading. Quick summary of what I have been trying to say: The Black model is just the base framework. Depending on the underlying-forward/futures relationship (equity futures, commodity futures, currency futures, index f), the Black framework needs to be slightly adjusted and you end up with an extension of the Black framework, such as with Garman-Kohlhagen.
Aug
22
comment VSTOXX Implied Volatility Calculation
thanks for the update. Could you please comment on the y-axis units? It says ImpliedVol but the values do not correspond to reasonable implied volatility levels.
Aug
21
comment VSTOXX Implied Volatility Calculation
@Eli, would you mind sharing some of your findings? Of course only material you do not define as edge, I am simply curious what kind of analysis you have performed and the results you found as far as you feel comfortable commenting on. Would be a rare but highly pleasant treat.
Aug
17
comment How to compute a sector's volatility within a portfolio?
So, you want to calculate the variance of a specific portfolio subset (= sector), then why would you need the correlations of assets in the other sectors? All you need is the same inputs as if you calculate portfolio variance (asset weights (need to sum up to one within the sector), asset variance, and pairwise asset correlations within the same sector).
Aug
16
comment Black (1976) model: relationship between spot and forward prices
@JoaoSerafim, I meant the asset on which the option is written, which could be a foreign exchange rate, a futures price or an interest rate,...please note that the risk-adjusted probability distribution of the above mentioned product has to be lognormal.
Aug
15
comment DCF of Arbitrary Dates Cash Flows
can you maybe work a bit on your accept rate? Most 15 out of your 18 questions are having answers of which none you chose. It is hard to motivate others to help you if there is no feedback given by you whether any of the posts answered your question...just my 2 cents...
Aug
15
comment VSTOXX Implied Volatility Calculation
@Eli, the 14% jump in just 1 hour right now in VIX reminds me on your question you asked yesterday. Hopefully this is the kick-off to higher vol markets after this summer lull...
Aug
14
comment VSTOXX Implied Volatility Calculation
ok, sorry, misunderstood then. Will post something shortly
Aug
14
comment VSTOXX Implied Volatility Calculation
Forget models, take a look at the methodology, there are a variety of calls and puts involved, no magic there...stoxx.com/download/indices/rulebooks/stoxx_strategy_guide.pdf
Aug
14
comment VSTOXX Implied Volatility Calculation
There is nothing up to interpretation or choice about VSTOXX. It follows a very well defined methodology. What do you mean with "you experimented" with ...?
Aug
14
comment What is the difference between the Interactive Brokers demo account and a personal paper trader account?
I would not call the sampled data coming from IB inaccurate. It surely does not reflect a complete market as IB does not target high or ultra high frequency trading strategies with its API. But the prices are accurate and especially at times, when many assets print 5-10 times as many trades and most data feeds start to have a hard time to catch up, IB's feed looks pretty stable. Of course I am not talking about the top of the cream feeds worth several thousand dollars a month, but that is not IB's league anyway. I think IB targets buy side discretionary and retail.
Aug
14
comment Partial Least Squares Discriminant Analysis
Let me get back to you with some references that include examples...
Aug
14
comment Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output
well, what have you tried so far in R re your real question, result ranking? (Re earlier messages, do not get me wrong please, I do like your question and +1, just wanted to clarify...)
Aug
14
comment Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output
Ok, I get that but that is not related in any way to Kalman filters (other than that the prior algorithm involved a Kalman filter), correct? I was just confused because you spend 90% of your question on data acquisition and Kalman filter but your real question seems to be one of how to rank results. But maybe that is just my wrong impression