I don't know why it was removed, but the R package "orderbook" was available:
In the IBrokers package, the function "reqMktDepth" is used for streaming order book data.
This question has been re-opened again after (rightly) being closed as too broad for the purpose of clearing some misconceptions regarding one of the answers here.
The main idea that is to be stressed here is this: When it comes to high frequency trading, biggest or "as many as you can get" is rarely true.
Not only is it false, it is impossible in terms of ...
I have been using FastBit for a while now and find it to be quite performant. It's very non-intrusive to your existing binary storage format provided your data is stored in a columnar manner.
I have briefly tested Tokyo/KyotoCabinet and didnt find it suitable for my (persistent storage) requirements.
FO is shrinking across the large investment banks. The market is not developing new products that will need new pricing formulas, if anything it is reverting to more vanilla structures.
Nowdays FO quants typically hack existing models around the corners to manage new market conditions (change Sabr a bit to deal with negative rates, refine the treatment of ...
So one such visualization package is demonstrated in http://www.tradeworx.com/movie/booklet_demo/temp/booklet_demo2.mov. AFAICT it looks like a tk script.
Trading Technologies (TT) sells another visualization tool. But TBH writing your own tool takes a few hours and allows you to focus on what information you are interested in finding.
The PortfolioAnalytics package will create weights without reference to current weights, if that's what you want. It should also have much of the reporting that you like from Rmetrics fPortfolio.
There is a longer seminar presentation on Portfolioanalytics from 2010's R/Finance conference here: Complex Portfolio Optimization with Generalized Business ...
Advent Geneva is a complex event processing platform, which employs the latest advancements in artificial intelligence and big data. It employs techniques derived from blockchain technology and cryptography to speed up trading strategies. Under the hood, it uses a fast in-memory database whose kernel sits on an FPGA, to meets its demands in Ultra (in caps) ...
This is the website to the R/Finance conference this year. Tons of great links.
Brian Peterson's slide (Building and Testing Quantitative Strategy Models in R) mentions Portfolio-Analytics (which I think is based on R/Metrics).
And here is a paper based on Portfolio-Analytics.
There is a huge difference between R (and Matlab, SAS, or other statistical languages) and relatively low-level languages such as C/C++/C#/Java in exactly this regard. The latter category is used more often for stable end-products, where speed and performance can be crucial, whereas the former category is used more often for model testing and prototyping.
My favorite tool is Sornette's own Finanical Crisis Observatory: http://tasmania.ethz.ch/pubfco/fco.html
If you are interested, I have developed my own tool in Java and JavaCL which can be found here: https://thebubbleindex.codeplex.com/
Update: Code moved to github: https://github.com/thebubbleindex/thebubbleindex
You can try CrossOver Office or LibreOffice/OpenOffice Calc. And let me qualify that with: Don't go down the LibreOffice road, you run in al sorts of issues such as rounding errors and that one missing function and you will not get any support from your professor.
On a personal note: During college I preferred to dual boot or use a VM.
I can share my own experience working with the Deltix product suite. As a research and development platform it's very feature rich with support for every back-testing mode there is (BBO, Trade, Midprice, Bar, Level 2 Order Book) and advanced optimization modes (walk-forward, genetic, mean-variance, portfolio optimization, etc). I have built components and ...
I think the most sophisticated solutions are to be found within the R universe.
One package that comes to mind is the quantmod package. You can use it to download data from Yahoo and Google finance, plot charts and filter your stocks using all kinds of technical indicators (that come with the package).
It can be found on CRAN: https://cran.r-project.org/...
There is one more solution available now to backtest option strategies: www.oscreener.com!
This tool allows to screen and backtest bull put spreads, long calls, short puts, debit spreads etc and validate these strategies in seconds.
Have you considered the HDF5 data model?
Edit for Louis : Why using HDF5 ?
As stated in the HFDF short description page :
HDF5 is a unique technology suite that makes possible the management
of extremely large and complex data collections.
HDF5 is a suitable solution when dealing with very large datasets and you need performance.
Again, as stated ...
There is absolutely bright future being a pricing quant, so don't make it a reason for you not doing a degree in financial engineering.
Being able to buy a relative cheap (still not that cheap, eg: Numerix charges like a million...) solution for quantitative pricing doesn't mean you don't need a quant. This is like saying we don't need a bus driver because ...
Being the question tagged as python and given I look for small challenges for my platform, backtrader, I took the chance to see how easy would be to do this with the platform.
Documented at: http://www.backtrader.com/posts/2016-08-15-stock-screening/stock-screening/
The core code in this case is an analyzer which looks for assets which are above the 10-...
So, I dont even know of comprehensive SW lists; one of the best ones probably being bobsguide directory (subdivided in specific topics). Another one is at Marketwiki. Lepus also offers a through comparison of software in some of the mentioned areas, and keeps lists with features. For HFT there's HFTReview's directory.
You need to track your current position for each stock in the software. You need a process to find out when an order is executed, and update your position for the appropriate stock. This process is separate from sending orders to the market.
Unlike backtesting stocks or futures, backtesting multi-legged option spreads does have its unique challenges.
One way to backtest your options strategies is to download historical option data (Market Data Express) and use a technical analysis Excel plugin (TA-Lib). You can then create an Excel spreadsheet to automatically enter / adjust your spread ...
Look into OLF's Findur http://www.olf.com/software/financial-capital.html
highly customizable trading platform, will not give you everything you mentioned out of the gate but has capability to get there with some development effort
There are two open source libraries that you should take a look at.
Both feature a wide list of products and models.
QuantLib. Written in C++ but usable in other languages such as Python. The library is developed for several years now. A feature that might come very handy is that there are toolboxes to implement derivative pricing libraries in Excel. Take a ...
There's nothing fundamentally different between options and cash instruments, so you really just need a backtesting platform that has good functionality for backtesting multiple instruments simultaneously with the same reference time frame.
I'm assuming that you're looking for something halfway between in terms of level of sophistication and cost required ...
I came across B/View which is a Java application that visualizes the order book for a single stock on a single day. It encompasses some of the basic features I would expect in such a tool. It appears to be more a demonstration than a general purpose tool.