Clebson Derivan
  • Member for 10 years, 4 months
  • Last seen more than 7 years ago
FIX/FAST packet analyzer
Accepted answer
2 votes

I am using a native C++ implementation based on QuickFAST, you can use the sample FileToMulticast to implement what you need. But if you are looking for a way do decode UMDF ( BM&FBOVESPA FIX/FAST)...

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FIX- what exactly do repeating groups represent?
1 votes

its a concept, you can repeat N data group of fields in a message, a x field (the repeating group) act as separator of the groups.

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How do you handle order tracking (without unique Lot ID's)
1 votes

you forgot to mention what broker or api you are using. AFAIK every broker/exchange provides a execution id, wich is unique for every trade on the trade session, with the execution id and your order ...

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Loading HF stock data into excel
2 votes

you need real-time tick in order to achive this. IB, esignal, iqfeed both provides RTD/DDE api to excel integration.

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Pairs trading: Question on non-negative profits, size of the positions and trading signals
0 votes

I cannot get your point o even if it was a question, but there are another techniques to co integrate pairs. eg Johansen tests ? You just described how to implement a simple execution strategy.

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Why C is still in use especially in area of numerical optimization (instead of C++)?
4 votes

who told you that ? I am used to create new trade systems in C++ to make the customers requirements feasible. CERN used C++ to prove higgs boson particle. I see people using C to program embedded ...

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.NET statistical packages recommendation
0 votes

Python is really a good idea. You could even optimize it with PyPy for better performance. Python Software for Convex Optimization PyPy Status Blog But if you really like C++ try this But it is ...

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Usage of NoSQL storage in Finance
4 votes

mongodb seems to be a good opensource solution to store historical tick-by-tick. I am using it here and it seems to be very simple to use.

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Black Scholes and Monte Carlo implementations in Java
1 votes

This one is in C#, but it could help you create yours in Java: Divergence issue with my monte carlo pricer... using System; using System.Threading.Tasks; using MathNet.Numerics.Distributions; using ...

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What tools exist for order book analysis and visualization?
0 votes

Take a look a EclipseTrader.

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How fast is QuickFix ?
4 votes

Bovespa is starting to release the new trade platform; take a look for yourself. The BM&FBOVESPA PUMA Trading System will incorporate all of the functionalities that currently exist in the BM&...

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