Tag Archives: ActiveQuant

ActiveQuant Java open source Trading platform for HFT now getting into FPGA

ActiveQuant Java open source Trading platform for HFT now getting into FPGA

This looks very exciting as this is the first I have seen this. Congrats to Ulrich in making this happen! It looks very compelling.

http://fpga.activequant.com/

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Quant development: ActiveQuant open source project now does HBASE and Hadoop for time series storage

Quant development: ActiveQuant open source project now does HBASE and Hadoop for time series storage

A comment in my Linked In group from Ulrich the founder:

 

you could also have a look at AQ2o’s server, we use hbase and hadoop for time series storage.

The uberjar runs out of the box for getting started with development.

http://www.linkedin.com/groupAnswers?viewQuestionAndAnswers=&discussionID=101112879&gid=3427378&commentID=72803560&goback=%2Egmr_3427378&trk=NUS_DISC_Q-ncuc_mr#commentID_72803560

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Do Quants use QuantLib and ActiveQuant used it in industry vs academia

Do Quants use QuantLib and ActiveQuant used it in industry vs academia
Do Quant’s use QuantLib? (in practice, not just in academia)
I would like to know whether QuantLib (or other open-source quantitative finance libraries) is actually used in practice, or is it mainly used just by academics. The reason I’m interested in this question is because sometimes there appear to be discrepancies between what is taught/used at university and what is used within the “real world” in finance.

In practice, do quants write C++ pricing algorithms from scratch… or do they reuse and build upon classes from existing libraries, such as QuantLib (or other open-source quantitative finance libraries)?

If you use QuantLib in practice, do you mainly use “convenience” classes such as Calendar and Date (to avoid recoding basic functionality), or do you actually use the Pricing engines too?

Are QuantLib the major (open-source) C++ quant finance library, what are some alternatives, and which would you recommended?

Thanks!

My answer to this kind of questions is very easy. It seems that I have explored these types of APIs/frameworks/libraries which are both written in Java or C++. I have no qualms in terms of these packages, The effort into developing and maintaining these code bases is huge. Some say that QuantLib is over-engineered but I say ba humbug. That is the old man in talking.
There are lots of features and methods or functions to call here. I am sure they are used throughout many schools but probably would not find the same in industry. I would expect large investment banks or other institutions would have developed their own legacy based library. As one famous recruiter, said QuantLib would be the library of choice if many of the firms would have to re-do their legacy libraries (especially in C++). Unfortunately, I do not see many of these firms tossing their legacy libraries for something like QuantLib.
Some companies would have been using this ranged from UBS to Nomura. Or there are at least people who have researched its use. I am not sure if this can confirmed that it is actually used in these kinds of companies.

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R, Marketcetera, ActiveQuant, and QuantLib. Is open source relevant in the world of Quant?

Our new online video courses of open source high frequency trading and QuantLib/QuantLibXL are posted here and here respectively!

R, Marketcetera, ActiveQuant, and QuantLib. Is open source relevant in the world of Quant?
Over the last twelve months, I have tinkered around with these open source projects like R, Marketcetera, ActiveQuant, and QuantLib. I kind of question the reason of these projects that have small amount documentation and community support. When I discover yet commercial platforms like Matlab, it seems to make me question why open source is still relevant.
My answer is simply. It is very relevant. There are tonnes of small quant prop shops that may not be able to afford the commercial products like Visual Studio, Matlab, and other trusted/mature tools.
First off, let me know I have no real beef with QuantLib. It is contains thousands of lines of code to support any real coder that needs the different quant models and algorithms out there. Interfacing to them is a real pain. Their other products of QuantLibXL and QuantLib SWIG is a mess. I never got it worked and it is enormously bloated. It became a complete waste of my time overall. I even email the contributor of QuantLibXL who just said the project was no longer under development. Too bad, I saw the real potential of it.
ActiveQuant is another mess. No documentation. I have posted my opinions on that.
Marketcetera looks really solid but if I want to use the Future component in Photon, I need to pay up. I don’t see the point in forking out $3000 a month on a subscription basis. I could easily get the same functionality out of Matlab. I just think I just get it done faster.
I have not really used R but I do know there is a steady momentum of this language. I have seen some demos of it. It looks just as easy and effective in Matlab’s language in terms of manipulating vectors and matrices. I cannot really say anything about this other than I question the community support as I get stuck.
When you look at the included toolkits, context help, available webinars, and central software repository, I wonder why someone would not want to use Matlab to be really productive in the involvement of quant.

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Bye ActiveQuant, Marketcetera, market datafeeds are very easy to configure within Matlab including Bloomberg and free Yahoo

Bye ActiveQuant, Marketcetera, market datafeeds are very easy to configure within Matlab including Bloomberg and free Yahoo
Below are some of what Matab’s Datafeed toolbox can do with your Matlab scripts:
Retrieve and analyze a wide variety of security data from financial data servers in MATLAB.

Access market, time-series, and historical market data in MATLAB.

Monitor the status and history of each connection to a supported data service provider.

Fetch data fields for multiple securities in a single call.

Look up security ticker symbols from the toolbox GUI or the MATLAB command line
This Matlab toolkit will talk to the following market datafeeds:

Bloomberg L.P. (http://www.bloomberg.com)

FactSet Research Systems, Inc. (http://www.factset.com

Federal Reserve Economic Data (FRED) (http://research.stlouisfed.org/fred2/)

Haver Analytics (http://www.haver.com)

Interactive Data Pricing and Reference Data (http://www.interactivedata-prd.com/)

Kx Systems, Inc. (http://www.kx.com)

Thomson Reuters (http://www.thomsonreuters.com/)

Yahoo!, Inc. (http://finance.yahoo.com)
As you can tell, most of the above feeds do require you pay monthly licensing fee but I do believe Yahoo and the government feeds should be free. As you can imagine, there are some great potential for you to build up a statistical database so you can do your back testing. I also have not looked online to see if there any extensive examples to show you how to connect and retrieve this data, but the capabilities are there.

In Matlab’s, you will find some detailed example scripts that will show you how to connect to the Bloomberg data server. I wish had the money to afford this service as Bloomberg is tops in this research. As said, there are some example Bloomberg examples to collect any historical data for your back testing needs.
Included in this Matlab Datafeed toolbox is a GUI based wizard that will help you connect to Bloomberg and a free based service like Yahoo. I have trying to do this for months with both QuantLib, Active Quant, and Marketcetera, it is right there visually instead of coding it like thirty years ago. This wizard looks very intuitive and sophisticated at the same time. I can’t wait to try this out.

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Why I know longer support ActiveQuant as a Java based Quant open source project? Unexplained errors

Why I no longer support ActiveQuant as a Java based Quant open source project? Unexplained errors

Below is the reason why I no longer use ActiveQuant P2 or ActiveQuant. With these constant errors using Maven, there is very little explanation on how to fix this. I have used both their scan online documentation from their sites as well their as videos. If someone can explain this, that would be great.
This was the result of first running mvn clean, mvn eclipse:eclipse, mvn package and then running their run.sh shell script:

[INFO] Scanning for projects…
[INFO] Searching repository for plugin with prefix: ‘exec’.
[INFO] ————————————————————————
[INFO] Building P2
[INFO] task-segment: [exec:java]
[INFO] ————————————————————————
[INFO] Preparing exec:java
[INFO] No goals needed for project – skipping
Downloading: http://activequant.org/m2/external/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository central (http://repo1.maven.org/maven2)
Downloading: http://activequant.org/m2/external/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository central (http://repo1.maven.org/maven2)
[WARNING] While downloading jexcelapi:jxl:2.6
This artifact has been relocated to net.sourceforge.jexcelapi:jxl:2.6.

Downloading: http://activequant.org/m2/external/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository central (http://repo1.maven.org/maven2)
[INFO] [exec:java {execution: default-cli}]
[INFO] ————————————————————————
[ERROR] BUILD ERROR
[INFO] ————————————————————————
[INFO] An exception occured while executing the Java class. org.activequant.applications.BatchRunner

[INFO] ————————————————————————
[INFO] For more information, run Maven with the -e switch
[INFO] ————————————————————————
[INFO] Total time: 7 seconds
[INFO] Finished at: Wed Jun 30 08:32:09 PDT 2010
[INFO] Final Memory: 21M/51M
[INFO] ————————————————————————

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Should I dump ActiveQuant? Should I goto Matlab/Octave or R for my backtests

Should I dump ActiveQuant? Should I goto Matlab/Octave or R for my backtests?
After researching and playing with Active Quant, it has become apparent that I have become frustrated with this open source project. There is scant documentation and even if there anything, it spread across two websites. You also need to dig for info either on their sites of ActiveQuant.org, ActiveStocks.eu, or their Nabble list and forum. After a week, I have come to the conclusion the features are there and looks really good in terms of coding. Again, the support is not there from the contributors or any other users within their community. Active Quant still has VERY long road to travel if they are going to gain any traction in the quant world from a professional standpoint.
After digging, I did come across some online videos posted by Active Quant’s main contributor Ulrich but i still cannot get things working as demoed on their video. It can be seen at:
http://activequant.org/blogs/show/8
As you can imagine, this is not heavily promoted. There are three videos but the main one shows how to download the Active Quant P2 environment and build with Maven. I tried to replicate it but still got all kinds of errors. As a result, Active Quant’s efforts become a huge waste of my time. Not only that, but it makes me either feel useless at what I can do within Java or there is a major disconnect.
Now this brings me to the conclusion of where Active Quant measures in the world of Quant. After do searches for it on the top Quant based forums of Wilmott and QuantNet.com, there are only 2 search results. Wilmott got an extra search result due to Active Quant’s main contributor Ulrich did his own plug. What does that tell me, many people are not talking about this project at all?
There are a few mentions of Marketcetera on these forums but you will find open QuantLib is talked about a lot on both forums. This pretty well tells me the QuantLib is becoming one of the open source standards for Quants. It also appears to be respected by top Quant recruiters like Dominic Connor.
In a nutshell, if the maintainers of ActiveQuant want serious traction in the world of quant, they will need to majorly upgrade both their site and code to get people up and running quickly. Marketcetera is successful with their YouTube channel. QuantLib is successful with a pretty decent and especially their newsletter list. Maybe ActiveQuant should keep their site up to date with their sites? Maybe add better videos and a complete step by step guide to get me started? I don’t have further time to waste on this project. As said, ActiveQuant has not reached any level of respect or appreciation on the top forums. As a result, I may check it out again in a few months. Hopefully, they will add the resources by then so I give it another attempt.

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ActiveQuant proves to be inadequate as frustration increases to work with. Starting to doubt this project

ActiveQuant proves to be inadequate as frustration increases to work with. Starting to doubt this project
I am pretty dead serious about this. This project is proving to be useless. After constantly working with it for over week in all major Linux distributions like Ubuntu, CENTOS, and Debian, this open source project is quickly being doubted by me. I am trying to learn about this project but if you want to waste your time in development or even configuring, Active Quant is definitely for you.
After struggling to get building successfully within Ubuntu, I have managed to build using both the command line and Eclipse. I have come across strange issues with the same methods on Windows 7 and exact versions of Maven, Subversion, and Java.
The documentation is a pure joke when it scattered across two sites. Also, there is not step by step instructions on how to build and run their examples. It seems that the authors have assumed you have certain knowledge in Linux, Windows, or even Java. This is fine but any smart author should always assume their reader is brain dead when it comes to installing their open source package. This is not the case. I am quite disappointed thus far.
Although there are lots of features and some examples, I cannot be the only one struggling with this. How are Active Quant’s authors really expect their project to get any traction in quant shop or consulting shop. At this point, I cannot recommend it. There seems to be some support in their Nabble user list, etc but I am somewhat challenged to get their project up and running.
As for their VMWare appliance, you cannot even download it from:
http://www.activequant.org/wiki/1/ActiveQuantVMWare?version=16
If there are some oversights here alone, how would you wonder what the quality of the source code or testing is like? I may need to revisit this in a few months to see if there any improvements. Sadly, Active Quant is not recommended as I hope it would be. I may revisit the developments of this project in a few months. Hopefully, I can be impressed to move forward on it.

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Is there a bug with Ubuntu 10.X and VMWARE 7? ActiveQuant does not work on Windows 7 Eclipse?

Is there a bug with Ubuntu 10.X and VMWARE 7? ActiveQuant does not work on Windows 8 Eclipse?

I spent days trying to figure this out. It seems there is a strange bug with VMWare 7 and Ubuntu Desktop 10.x as being the guest. Everything will install fine with no issue. Once complete, I cannot type anything in my Ubuntu Desktop 10.x guest environment. I thought it was a fluke so I reinstalled twice but still had the same symptom. I wanted to verify that was the not the case with Windows Server 2003 as being guest. I even installed both Debian and CentOS 5 as being the guest. I had no issue with any of these guest operating systems which was kind of strange.

Well I can somehow verify there is an issue somehow but I cannot explain it nor did I not diagnose. I got better things to do than trying to figure out strange thing like this. I am only reporting it.

My resolution was pretty simple. I decided to install Ubuntu Server 9.x which appears to have the resolve typing issue. I then installed the Gnome graphic user interface on top of the Ubuntu Server edition with no issues. I will report that it really slows down so maybe that might not be wise. Anyhow, everything seems to run ok. Again, don’t ask? If someone can explain this in my comments sections that would be highly appreciated.

Now that brings me to my next question. As for Active Quant which is explained on setting up an Eclipse environment at:
http://www.activequant.org/wiki/aqt-env-docs
There was a strange warning I got once I built the Maven dependencies. This happened on Windows 7 but I moved ahead with the above environment with Ubuntu, It seems to work ok to. Is there a strange bug going on within Windows 7? Or at least with the required Windows Eclipse version? Comment your experiences below.

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Active Quant p2 and the VMWare appliance is challenging but challenges Marketcetera for true open source algo trading

Active Quant p2 and the VMWare appliance is challenging but challenges Marketcetera for true open source algo trading
I would like to mention that contributors and founders of Active Quant have proceeding in updating this quant based open source project. It appears that some users thought this project died and was not getting updated. As of Feb 2010, this new major update looks like the project has relevancy still.
Active Quant P2 appears to be a new project which enables complete algo based trading. There is not real front end to it but it gives developers like me a leg up to use a framework to start integrating with other systems I have access to or plan to build. All of these of course are built in Java which might give some efficiency for certain quant developers. I just use as learning ground.
Also, there seems to be a VMWare appliance available for download which I tried. This VMware appliance is build off of Debian 5 which is the purest Linux distribution out there. It is also probably one of the most light weight to. I tried this appliance but it appears to have a download link which is missing. It seems that there was an update but other projects are missing including the GUI part of Active Quant P2. The problem is the scant documentation. If there will be serious traction with this project, the founders will need to radically improve all these links and documents. It can be very frustrating for someone like but there those of us who are very dedicated to accomplish our goals. One is definitely learning about algo based trading and quant analytics.
If you have the time to dedicate, you might want to forge ahead with this type of development. Uh, what more can I say??

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