Matlab is it for pure quant development. Be Matlab centric instead of C++ or Java centric!
So I wasted probably numerous months figuring out which open source technology to run with. Sadly, nothing really worked all that well. Marketcetera is the most promising with complete end to end trading system. Unfortunately, I am not going to spend thousands a month in subscription fee just to get updates or tech support. It is a good product regardless what you may think.
ActiveQuant is promising but lacks out of the box documentation. It is scattered everywhere with little help in getting you up and running to learn about general quant modelling etc. Humbug I say.
Next up is QuantLib. This is very promising with a fantastic code base of various quant algorithms using in any standard Paul Wilmott or John Hull text book. Even the front ended Excel QuantLibXL is older with no future development, but it is a grand way to really learn how the pro quants do it.
Now this brings me to what industry uses. It is easily Matlab. Although it is commercial or proprietary, I say who cares. It is widely used by various investment banks and hedge fund companies. It also has fantastic community support with various toolkits. It is these third party additions that make a difference.
If you really want to learn quant, I would only recommend Matlab for now. It does all the central things that are critical for quant development including market feed and database connections. Obviously, Matlab is built for modelling with your advanced knowledge in math. It seems not very difficult to learn as well as it has all the hallmarks of any advanced programming language like Java or C++. It could be as fast as C++ too. From what I see thus far, R and Python may be slower compared to Matlab but I could be wrong. Also, both languages may be in the next generation but right now, Matlab is it to learn pure quant and practice with it.
I am planning to get up and running with Matlab. I am sure you can easily know where to get a copy if you need one. Try a student version for only $100? I dunno, but start with Matlab instead of wasting time in trying to build an open source project or even setting one up. Hopefully the community of Matlab is there to help me.
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