16 votes
Accepted

Equivalent to Matlab's financial toolbox in python?

I took a quick look at Matlab's Financial Toolbox and attempted to map the features to corresponding Python packages – For asset allocation, portfolio optimization, and risk analytics: Standard ...
  • 10.9k
11 votes

The future language of quant programming?

People get this problem wrong because they always end up discussing the theoretical advantages of these languages rather than the practical uses of these languages. Theoretically speaking: Haskell ...
  • 5,081
11 votes

Rest API to retrieve ISIN

Try OpenFIGI (formerly the Bloomberg Global Identifier - BBGID)
  • 758
10 votes

Is there any thing out there as a substitute for KDB?

We've created a roundup of the top column-oriented database systems: http://www.timestored.com/time-series-data/column-oriented-databases This includes kdb+ and some open source alternatives. Open: ...
9 votes

What is the best alternative of Quantlib library

The Strata project is the new pure Java market risk quant library from OpenGamma. For more information, see the documentation and GitHub. It is Apache v2 licensed. Strata takes the experience of the ...
8 votes
Accepted

QuantLib: Black / BSM processes and pricing via volatility surface. Different results?

It's because of the settlement days you passed when you initialized the flat volatility curve. You're creating the spot, forward and flat volatilities as: ...
8 votes

The future language of quant programming?

You're going to get a pretty broad range of answers with this kind of question, but I'll throw in my two cents. I'm not going to answer your question about the "next big thing" in programming ...
8 votes
Accepted

Understanding Yang-Zhang Volatility Estimator

The n=100 specifies the number of periods (rolling) for the vol estimate - see the original link https://web.archive.org/web/20100326215050/http://www.sitmo.com/eq/...
  • 725
8 votes

Poker and Options Trading

This pic and many more interesting insights about the connection can be found here: https://www.quora.com/Why-do-trading-firms-recruit-poker-players
  • 27k
8 votes
Accepted

SABR Model Pricing Engine in Python QuantLib

Here is a simple example that might be useful. Basically finding parameters for a given section. Some of the parameters might be assumed at start instead of calibrated. ...
  • 5,375
8 votes
Accepted

YFinance incoherent daily and hourly values

When you sample stock market data, you really need to understand what source(s) and rules are being used, and any adjustments applied to the data. Different rules might also exist for different ...
  • 1,252
8 votes
Accepted

Efficient way to store orderbook in Python

The best solution is to change how you're doing it completely: Store the data before it even gets to your program and process it later. e.g. Use your program merely as a daemon to subscribe to the ...
  • 1,820
7 votes

Which library shall I use for time series analysis in Java?

I work with time series intensively, and I am experienced in Java and scripting languages such as MATLAB and R. I strongly suggest that you should cook up your own implementations in Java, and stop ...
  • 799
7 votes
Accepted

C# - Using Black Scholes Newton returns NaN occasionally

Some option prices can't be converted to volatility. E.g. A bid for an in-the-money call which is below its intrinsic value. So sometimes NaN is a valid answer. Best way to handle it is to do ...
  • 316
7 votes

Programmatically detect RSI divergence

I was searching for answers to the same question and came across your question. After some thought and research, here is the plan I have developed. I will be working in Python. Calculate relative ...
7 votes
Accepted

Automatically get iShares ETF holdings

No need to scrape the site. That should always be a last resort. The below will import the .csv file you are asking about and save it to a directory of your choice. If you don't want to specify a ...
  • 3,880
7 votes

Alternatives to RDBMS for options backtesting

My answer is similar to the one given for this other question. If you are mainly using the data for backtesting, there's very little reason to store the data in a MySQL database. The data generally ...
  • 1,820
7 votes
Accepted

Problem with pricing a call option using the Monte Carlo Vasicek model

To make sure that I understand the problem: you are trying to price a call option expiring at time 0.5, which will exercise into a unit notional zero-coupon bond with a maturity of 1.0 at a strike (...
  • 845
6 votes

What is the best solution to use QuantLib within Excel?

A free to use Excel wizard-based Add-In providing QuantLib-backed derivatives pricing analytics directly in Excel is available at https://www.deriscope.com Since August 18, 2017 Deriscope has moved ...
  • 156
6 votes

What is the best alternative of Quantlib library

I did not tested it by now, but Google released a library similar to quantlib written in TensorFlow (tf-quant-finance). It may be worthwhile to test it (and to post here your views on it), because ...
  • 10.7k
6 votes

Is there any thing out there as a substitute for KDB?

At the risk of reopening an old question, I thought that I would offer my experience. I worked for a competitor of Man AHL (who created artic). We used a columnar database called HP Vertica. Its not ...
6 votes

Is node.js being used in systematic trading software?

Cloud9Trader uses Node.js on the back end and JavaScript across its technology stack, including for writing the trading algorithms themselves. https://www.cloud9trader.com
  • 161
6 votes
Accepted

Is node.js being used in systematic trading software?

I think the best choice for technical analysis with node is node-talib, a wrapper around TA-Lib. We're using it for some projects and it works ok so far. Here's a list of the indicators you get out of ...
  • 176
6 votes

Daily option data

Your prayers were heard ;-) The following article gives you all you need, especially the function getOptionQuote() which lets you download option chains for any ...
  • 27k
6 votes
Accepted

Change periodicity on Rblpapi

At first we considered it to be a bug where the overrides does not propagate correctly. Edit: Here is a corrected examples, thanks to @Sid. Setting it as an <...
6 votes
Accepted

List of Intraday stock prices API

It seems to be a good question for a Community Wiki ^^ Please note this wiki is devoted to Intraday data only. If you are looking for other financial data : see What data sources are available ...
6 votes
Accepted

Does Yahoo/Google no longer support web-scraping of FOREX data?

Yahoo has changed their site structure. The new download URLs look like this: https://query1.finance.yahoo.com/v7/finance/download/MSFT?period1=1463461200&period2=1494910800&interval=1d&...
6 votes

Refer some most recent books of derivatives pricing by C++

If by "modern C++" you mean C++11 and beyond, I'm afraid you won't find such a book at this time. If you are content with idiomatic C++ 03, as in "using the STL and smart pointers instead of managing ...
6 votes
Accepted

Pricing a double barrier option using Monte Carlo (C++ & Python code included)

Here are at least three mistakes in your code: p += s0 * exp(...) should be p *= exp(...). Your volatility and rates are per ...
6 votes
Accepted

Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets

J. Welles Wilder Jr created the indicator called the Relative Strength Indicator in 1967. The indicator he originally created uses all data points in the sample series, not just the last 14 data ...
  • 1,252

Only top scored, non community-wiki answers of a minimum length are eligible