Questions tagged [software]

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76
votes
9answers
32k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
32
votes
9answers
14k views

What tools exist for order book analysis and visualization?

What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
31
votes
10answers
36k views

Are there any good tools for back testing options strategies?

There are all kinds of tools for backtesting linear instruments (like stocks or stock indices). It is a completely different story when it comes to option strategies. Most of the tools used are ...
27
votes
8answers
5k views

What kind of basic framework or application do you use to run your trading algorithms?

I heard about MetaTrader from http://www.metaquotes.net. Is there any other framework or program available? Do you use different software for backtracking and running your trading algorithms? Thank ...
26
votes
4answers
4k views

QuantLib in industry

How much is QuantLib used in industry and how much street cred does it have?
25
votes
3answers
4k views

Main backtesting & trading solutions: QuantFactory, Deltix, etc.

What are the most used/mature/promising commercial solutions today which handle backtesting/ automated trading needs? I'm talking about vertical product suites like QuantFactory or Deltix which ...
16
votes
3answers
3k views

Topological methods in finance

Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ...
16
votes
1answer
2k views

How do I price OANDA box options?

How do I price OANDA box options without using their slow and machine-unfriendly user interface?: http://fxtrade.oanda.com (free demo account) sells "box options": If you already know what a box ...
13
votes
4answers
2k views

What approaches are there to order handling in automated trading?

I am currently developing a commercial automated trading program in which users can write their own proprietary code and develop strategies, like in NinjaTrader, MetaTrader etc. Right now I am working ...
12
votes
2answers
3k views

robust portfolio optimization re-balancing with transaction costs

The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...
12
votes
1answer
2k views

Tools/R code for predicting Dragon-Kings

The theory of the so called Dragon-Kings, esp. by Didier Sornette (ETH Zürich), basically states that financial crises and crashes are predictable (contrary to the theory of black swans). The ...
11
votes
1answer
581 views

What to ask for in a good prototyping framework?

Reading up on quantitative methods, model development, and back-testing, one obvious question springs to mind: What should one ask of a prototyping (model testing) framework? I know a lot of people ...
9
votes
3answers
2k views

Present and future role of pricing quants

While looking up on quants, I came across many sources that cited 'pricing quants' as one of the biggest chunks among all quant positions. But then I also came across many software companies providing ...
9
votes
4answers
1k views

Software for decomposing payoff diagrams into plain vanilla products

Nowadays structured products (or packages) with complex payoff diagrams are omnipresent. Do you know of any software, add-ons, apps, code whatever, that enables you to enter a payoff diagram or a ...
8
votes
1answer
835 views

Efficient integration of tick data feed with signal generation

The goal is to design the integration of processes generating trading signal doing analytics on a stream of asynchronous tick data retrieved using the native Python TWS API of Interactive Brokers. Two ...
6
votes
1answer
1k views

Is there any open-source library, implementing “exchange” to be used for algorithms running on the same computer?

Question: Is there any open-source project/library, which can act as a "local exchange" for agents (algorithms), running on the same computer? Clarification: by "local exchange" I mean, that the ...
5
votes
3answers
7k views

Open source software for stock screening and scanning using technical analysis?

I am looking for open source software which can download stock data (yahoo/google finance etc) and used for screening/scanning stocks using technical analysis, for example: return stock list if ...
4
votes
1answer
2k views

Quantmod alternative for pandas?

I love quantmod package in R but now I am slowly moving towards python using pandas for my trading experiments. I have searched a lot for quantmod alternative for python but sofar I was unsuccessful. ...
4
votes
0answers
798 views

Help With Quant Modelling Software [closed]

Im a software developer (freelance) working in investment banking, and I'm looking to improve my CV by gaining a better understanding of the financial quant role and the software used by quants to ...
3
votes
2answers
1k views

On my way to becoming a Quant [closed]

I'm currently studying for my undergrad in CS, and considering to do a grad in both CS and Math. I would like to see what you guys would recommend to prepare myself for a field as a Quant. I am ...
3
votes
2answers
240 views

Tools/R-code to create gain/loss-asymmetry plots

The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down. To detect it a heavy statistical machinery is ...
3
votes
1answer
343 views

Overview of software companies in the industry

I am looking for overview references on software companies that develop applications in the following domains: asset and portfolio management risk management derivatives pricing trading quant ...
3
votes
1answer
116 views

What approaches are there for keeping local and remote order books in sync?

Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
3
votes
2answers
541 views

NYSE binary data, convert to ASCII

The data product "TAQ NYSE Order Imbalances" from the New York Stock Exchange is in a format that is described pretty well in sections 4.8, 4.9, 4.10, and 5 of the document "NYSE Order Imbalances ...
3
votes
1answer
949 views

Rolling GARCH and higher moments

I m recently doing my dissertation and faced with problem in estimation basic rolling GARCh (1,1) process. I have 2500 observation and need to forecast 1 day ahead volatility in rolling form. I will ...
3
votes
3answers
2k views

Portfolio software that shows 'total return' for each investment

I'm a high school technology teacher and sponsor for the Charity Student Investment Project. Currently our students track our investment portfolio via a google spreadsheet (http://...
3
votes
0answers
417 views

What R-packages for SOCP problems are there?

Currently, I am looking deeper into the topic of second-order cone programming. Could you suggest packages that solve SOCP-problems in R? With your answer, please provide a short description of ...
2
votes
3answers
394 views

Backtesting software with custom data input

I was considering to develop a custom backtesting platform for myself. However, I see that it would require some significant time and effort, and the result might not be as initially expected. So I ...
1
vote
1answer
2k views

What is Advent Software's Geneva?

I've heard from Renaissance Technologies Corp. that there exists a software for investors which is called Advent Software's Geneva. Could anyone be able to explain to me what is this software exactly?
1
vote
1answer
335 views

Which libraries in python can be used for backtesting and live trading with pandas?

Is there any libraries available in python which uses pandas and can be used for backtesting a strategy as well as develop it into a live trading system ?
1
vote
1answer
451 views

Software library: Pricing financial instruments, such as FX Forwards

I am currently reading material on how to price financial instruments such as FX Forward deals. One way of doing this seems to be by calculating its Fair Value³. This value can be split into two ...
1
vote
2answers
327 views

Market overview trading platforms (with OTC)

I am searching for a trading platform for a client. It must include control of trading limits (per user and with regard to the clients portfolio), connection to Bloomberg data, ability to value ...
1
vote
1answer
263 views

Software for American basket option pricing using Longstaff-Schwartz/Least Squares Monte Carlo method

Is there free software (preferably in Python) that computes American basket (high-dimensional!) option prices in the Black Scholes model using the Longstaff-Schwartz algorithm (also known as Least ...
1
vote
0answers
37 views

how to test OMS functionality via FIX?

Has anyone done app dev that tests OMS functionality ( FIX ) ? Do any brokers or other financial entities make test apis available ?
1
vote
0answers
82 views

What would it take for quants to use “quantlib” [closed]

Apologies in advance if open questions are unwelcome. As ISDA and CCPs are beginning the slow but sure process of derivatives valuations, it starts to make sense to open source good methodologies. ...
1
vote
0answers
427 views

Robust and free Heston pricing software

For a PhD research paper, I need to calibrate Heston. So far, I use Dale Roberts R-Code: https://github.com/daleroberts/heston/blob/master/heston.r for computing prices from which I invert IV ...
1
vote
0answers
87 views

Numerix CrossAsset cost and coverage

Does anyone have an approximate idea how much Numerix CrossAsset (for excel) costs for a single user? I'm interested in capabilities and coverage for IR/credit exotic/semi-exotic.
1
vote
0answers
21 views

how to specify given model on Eviews?

I am still struggling to estimate my model on Eviews. I know it should be really simplistic to do it,but without in depth Eviews knowledge it can be rather tricky. For instance, looking at the ...
0
votes
3answers
3k views

Ultra-High Frequency Trading Help

I am putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT ...
0
votes
2answers
2k views

Open source alternative to excel for investment and portfolio calculations [closed]

I am a Linux user, and taking an investment and portfolio management course that uses excel. I was wondering if there are open source alternatives to excel for optimal portfolio calculations? If yes, ...
0
votes
4answers
467 views

Python libraries for Monte Carlo simulations?

I am learning about monte carlo simulations and I have found many blogs explaining its implementation in python. Because its a widely known and an important technique for structuring asset prices. I ...
0
votes
1answer
6k views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
0
votes
1answer
217 views

Most GUI user friendly Time series Econometrics software for modelling and Forecasting GARCH models [closed]

I think the question is simple enough. I have been using Eviews, but it is unable to do recursive one step ahead forecasting directly and requires me to use coding, which I'm not very good at. I need ...
-1
votes
2answers
162 views

Program/library to generate many technical indicators given a series of stock prices

I have a time series (vector) representing the evolution of a stock price over time. I am looking for a program/library that can generate a matrix containing as many technical indicators as possible. ...