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

(Last Updated On: January 11, 2012)

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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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