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I am currently switching from Java dev to quant and for my self-study I want to code a few auto-trading algorithms to get my hands on the subject. Are there any must know platforms/libs that I should use? Any that might be useful to know for employment as quant dev?

Thanks

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I suppose it will be difficult to provide a precise response as it is a fairly vague question and the reality is quite diverse.

From my personal experience, the Quant I used to work with are using techno as R, Matlab combined with Visual Basic. Regarding more sophisticated tool coded in Java or C#, they are most of the cases inhouse frameworks.

So the only advice is to play with framework that allows probabilistic computation, and read a lot about Risk computation and Financial analysis.

As mgilbert said, Strata is a nice approach if you want to learn how an inhouse framework may look like. It seems quite complete and it is a good way to get familiar with the architecture of inhouse frameworks you may found in Asset Management companies.

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Strata seems like a fairly well designed library, which is an open source library designed by OpenGamma. From their docs

Strata allows financial systems developers to build or enhance existing applications with standardized, off-the-shelf market risk components. It provides all the core concepts and market risk functionality at the heart of the OpenGamma Platform, including:

  • Pricing, financial analytics and curve calibration
  • Reporting
  • Scenario evaluation
  • Trade modelling
  • Market data representation
  • Financial foundations - currencies, indices, holidays, date adjustments, schedules, time-series

While I haven't actually used the library, it seems to be under active development from checking out their github page and the fact that it is backed by a large company and is being actively developed is always comforting if you are going to invest the time learning a library. I am unsure on its adoption in industry so can't comment on job prospects related to knowing the library.

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