Tag Archives: book

live tick data and risk modeling book questions

I got some details questions for live tick data

More questions from email newsletter subscribers:

Best Book on Risk Models?

I got answer messed up. Sorry. I would recommend if you got the time read:

https://www.amazon.com/Management-Financial-Institutions-Wiley-Finance/dp/1118955943/ref=la_B001IGOKWO_1_6?s=books&ie=UTF8&qid=1518641477&sr=1-6

https://www.amazon.ca/Paul-Wilmott-Quantitative-Finance-Set/dp/0470018704

best but fast place to learn:

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

Would appreciate your guidance

I wanted to reach out to you to ask you for some advice & guidance. I am not a programmer, but I am trying to create a solution that will allow me to work with live tick data (Forex mainly) (to create live dashboards, currency strength, momentum etc) and historical data to conduct further analysis. 

I was thinking to feed this data into a database (I saw in your video that you are doing something similar). I wanted to get your advice as to the method of getting live tick data (something that does not cost a fortune would be ideal 🙂 ) ..  

I spoke to a freelancer who said that Jfoex api is only a java library and it would not allow me to work with live tick data.

I’ve also had a look at a few tools to connect to dukascopy to export historical tick data, its just the ‘live tick-data’ part that I am unsure about.

Any advice would be much appreciated.

My answer was:

If you just want market data use IQFeed forex option for $30/month. Do understand as part of their terms of service, you cannot redistribute this outside of your own use. If you need it for trading, always use the broker’s data to keep in synch. Also, you will need a live Dukascopy account for the live tick data but again only for your purposes. Hope this helps

More resource links here:

Get the Dukascopy video courses here

Videos

 

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=forex&web=IQFeed&symbolguide=guide&displayaction=support&section=guide&type=TENFORE

http://www.iqfeed.net/index.cfm?displayaction=data&section=fees

https://github.com/giuse88/duka

https://www.dukascopy.com/client/javadoc/com/dukascopy/api/IHistory.html#getLastTick(com.dukascopy.api.instrument.IFinancialInstrument)

Videos

64 bit version Dukascopy Forex tips with Bitcoin crypto addition

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Adaptive Markets book: Financial Evolution at the Speed of Thought

Adaptive Markets book: Financial Evolution at the Speed of Thought

Very important book to understand the fundamentals on how the markets flow

Thanks to Sholom B for sending

https://www.amazon.com/dp/0691135142/ref=rdr_ext_sb_ti_hist_2

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What TRUE quant and HFT looks like from advanced math PHD doctorate book


What REAL quant and HFT looks like from advanced math PHD doctorate book

I think these beginners who learn about “quant” on cloud solutions are misunderstanding what it really is. When you get legendary mathematicians who focus on finance like Paul Wilmott who complain about bankers being lazy, I hate to say I agree with him. I just made a video on the weekend showcasing what real quant looks like from a well-known PhD researcher.

 

Check out this video here

 

Intertemporal pricing theory for futures trading

 

For me, instead of focusing on large news events, I like to consistently add to my bottom line in many ways. I’m also trying to find the most optimal way to do it in an automated way. As I mentioned yesterday, I have now posted my latest video on how to use inter temporal pricing for arbitrage opportunities. I could just have a whole system do this all day and all night for find multiple commodity assets in an automated way. Remember this is one of dozens of resources I could use to find opportunity.

 

Check out this latest source code video demo

 

You may be thinking I like lots of videos. Would you be surprised if I was to tell you I have over 1500 videos on my YouTube channel? Yeah, you could say I like producing and recording raw videos.

 

Anyhow, imagine all those videos that have potential ways to bank is quite scalable in so many ways. Why do you think I focus on automated trading with optimal trading strategies? Ha this is why I’ve created the most exciting online trading membership of its kind.

 

Get details on my latest algorithmic trading course series for automation

 

I need to remind you this is most affordable pricing if you are interested in joining:

MONTHLY: $97/MONTH: Click here

8 BONUS MONTH FREE Annual: Click here


Thanks Bryan

 

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Important review of C++ Concurrency in Action Book review for potential HFT

 

Crucial review of C++ Concurrency in Action Book review for potential HFT

I did a lengthy review on the various options of C++ concurrency libraries you can use. Out of all the libraries I played with, I think the Standard C++ Threading library  is your BEST option as it is not considered a dependency. When you factor Intel Threading Building Blocks, I found it somewhat disappointing to use with their Flow Graph tool which is supposed to make your coding much easier. It only generated C++ code that could not be compiled. Good luck in trying to decipher it as well.

With this decent book, I got a better handle on the Standard C++ Threading library which gave me proper foundation in how to build out a high speed algorithm trading system. There are so many items to consider which this book covers. As a result, I made a 30+ minute video describing what is entailed in understand the importance of multi-threading in a C++ environment.

Check out my 30+ minute video here

 

How to build source for C++ Concurrency in Action

One big weakness I found with this book is that the coding samples were not complete. I was fortunate enough to find a GitHub repository which showed how to use the coding samples in this book.

Watch my video tutorial here

I would also like to mention I am thinking of doing a variety of ‘make up classes’ to make up for the missed tutorials in my Future/Options strategy. This includes critical topics of:
Optimal Hedging
Options on futures    
Options examples continue
Additional Options concepts with comparison to Futures    
Option pricing more examples    
Call put parity
Options trades

Coding samples will be offered in a combination of Python and C++.

I will need to do this on a Saturday only so I am trying to find out if those want it on Jan 14 or Jan 21. This will need to start early 9AM EDT.  Let me know what works for you.

This will be available to all my Quant ELITE members.

Not a member, join now!

Thanks Bryan

P.S. If you are interested in this mini workshop, I would strongly recommend to jump on this AS SOON AS POSSIBLE to properly prepare for these topics if you are unfamiliar with them.

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Crucial review of C++ Concurrency in Action Book review for potential HFT

Book review CPP Concurrency in Action

I will have a video to explain this useful book

http://moodycamel.com/blog/2013/a-fast-lock-free-queue-for-c++

https://www.amazon.ca/C-Concurrency-Action-Practical-Multithreading/dp/1933988770#reader_1933988770

https://www.manning.com/books/c-plus-plus-concurrency-in-action

https://github.com/iZhangHui/CCiA

Join my FREE newsletter to learn more about how concurrency impacts your automated trading

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Who knows C++ multi-core programming book

Who knows this C++ multicore programming book

Happy New Year. Welcome to 2017. I hope it will be a much more productive year for most of us despite it being my best year yet. I have just not been very happy with the results thus far so I am expediting my implementation even faster.

As some of you know, I have been looking at Intel Threading Building Blocks also known as TBB,  but after my first implementation from the Flow Graph has resulted in compiler errors which are quite complex. As a result, I need to revisit a few books on low level, multi threading environments using C++.

I have a rare request from all those that have read this newsletter on a daily basis. Thanks to those who have stayed committed. Anyhow, I have come across an old school book about multicore processing done in C++. I’m just wondering if anybody has read it to see what they thought. I’m actually wondering if there is a more up-to-date version equivalent of this book.

Here is the book info

As said, let me know if you are aware of any equivalent more modern books.

Thanks

Bryan

PS. I did not realize today was a nonworking day for those in North America. I was trying to figure out why the streets were quiet today but now I know. It was is day off in lieu New Year’s Day falling on Sunday. As a result I have decided to extend the sale from yesterday. Here are the details:

I actually opened up the email thingy to invite you to an introductory promo with 24 hours left!

  • I will be switching over from our Quant ELITE service to the newer Quant Analytics in the next few months. Enjoy the last of coding demos and video walkthroughs learning R, math, Matlab, .NET, serious secretive research papers from biggest the banks and hedge funds, building out new open source trading, etc etc. I could go on with this but I it will also permanently disappear in coming months.
  • We are currently doing a futures/options course taking us up to the the first week of February. This will turn into a new separate course in coming months as well.
  • This will be replaced with an entirely different service. It will involve actual live trading analysis for all major asset classes in the this global market. It will cover all forex, pair trading/arbitrage stock trading, and options with futures. Exciting times ahead
  • I have unbundled the Infrastructure Building Blocks and Interactive Brokers API workshop. These are not  yet for sale individually but will be marketed at $497 each. Moving forwards, both will be used as an introduction to those who want to to build out the same high speed system I am constructing now. That is an extra $1000 value as of today. If you take this, I will  give you access to both for 30 days.
  • Not only that, I am doing a 2 for 1 deal for those interested in this new service. As this new service advances, I will be raising the cost on a monthly basis. This time next year, this Analytics service could be about $3k to join on an annual basis. If it works out, I do believe it will be worth a lot more.  I will only be making myself available personally for my members through this service with live private event Mondays nights Eastern Standard time.


As said, if this works out, You can expect it to go up over the next few months after introduction. I will be holding this promotion until Jan 1, 2017.

>>> GET THis OFFER NOW

P.P.S. Are you part of my Facebook programming group? There is lots of action going on it where we can all learn about software development in this exciting field.
Join here https://www.facebook.com/groups/quantlabsnet/
Also stay up to date on my Facebook Page https://www.facebook.com/quantlabsnet/
Twitter: twitter.com/quantlabs
Lasly, I do post about 20-30 Bloomberg ‘video charts’ on my Instagram at https://www.instagram.com/quantlabsnet/

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Who knows this C++ multicore programming book

Who knows this C++ multicore programming book

This is old school from 2007 which is quite old. I am looking for anyone who knows an equivalent of this book

https://www.amazon.ca/Professional-Multicore-Programming-Implementation-Developers/dp/0470289627

Join my FREE newsletter to learn more about which C++ books are good multicore low level latency

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C++ Concurrency book learning without TBB?

C++ Concurrency book learning without TBB?

With the strange errors I am getting as described here

http://stackoverflow.com/questions/41418733/tbb-c-multithreading-error-no-matching-function-for-call/41418828#41418828

I found the nitty gritty code that is generated from the TBB Flow Graph is quite cumbersome. It is also buggy where it cannot compile. I went back to the drawing board to take a look at this book. Flow Graph has also been listed as being in Alpha mode.

https://software.intel.com/en-us/forums/flow-graph-designer/topic/594239

https://www.amazon.ca/C-Concurrency-Action-Practical-Multithreading/dp/1933988770

It has been recommended by various sources so I read it now.

Something else to consider I just found:

http://stackoverflow.com/questions/17252402/intel-tbb-its-2-time-slower-than-std-tbb-vs-std

is this another blessing in disguise??

Book useful code snippets:

2.8, 3.4, 3.8

3.11-3.12

4.1, *4.5, 4.9, 4.10,

5.10, 5.11

6.2, *6.6, 6.7 -6,13

Lock free for all 7

*7.13 start of  lock free queue

8.5, 8,7, 8.8, 8.11, 8.12

9.1-9.4 (threading pools), 9.6-9.9

Also, these skills are top paying where most are C++ low latency multithrading.

http://www.hrg.net/job-listing/?category_id=3

75% approx at top end vs rest maybe for Java

Join my FREE newsletter to learn more about how ++ multithreading is important for automated trading

 

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Dr Ernie Chan’s new machine learning book

Dr Ernie Chan’s new machine learning book

This will be a definite read I need to know for my intro to this popular topic

As I was poking on Dr. Ernie Chan’s website,I found this:

Ernie’s third and latest book Machine Trading: Deploying Computer Algorithms To Conquer the Markets covers a variety of advanced quantitative trading and investment techniques from state space models to machine learning, applicable to a variety of instruments from ETF’s to options. Readers will find most of the materials quite accessible to anyone who has some experience in a quantitative field.

This book can be treated as a continuation of my first two books, with coverage on topics that I have not discussed
before, but it can also be read independently. Software codes for all the described strategies can be found on epchan.com/book3.

Advance praise for Machine Trading:

“It is easy to make simple ideas complex. It is far more difficult to make complex ideas seem simple. In this book, Ernie has done exactly that. I cannot think of any trader who would not benefit from reading Machine Trading”   – Euan Sinclair, partner at Talton Capital Management and author of “Volatility Trading”.

Available for pre-order now at Amazon.com.

http://www.epchan.com/books/

Updated: Comment for this book on Bitcoin

Another surprise was a chapter on bitcoin which had possible trading strategies on the crypto-currency. One of the advantages of bitcoin for analysis is that the order book is open and each trade specifies whether it was a buy or sell.

https://www.amazon.com/Machine-Trading-Deploying-Computer-Algorithms/dp/1119219604/ref=sr_1_fkmr1_1?ie=UTF8&qid=1489334817&sr=8-1-fkmr1&keywords=ernie+chan+machine+learning

Join my FREE newsletter to see which books I like to read for my automated trading

 

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Yet Another free Python book to learn

Another free Python book to learn

Here is another book for FREE on how to learn Python. This is the easiest language to learn on how to program so I would suggest this to start with. I am also drawing the line on giving more advise where I just repeat myself. I am already filtering out the generic questions I get  weekly but I got my FAQ/Knowledgebase for that. Anyways, thanks to Sholom B for sending this.

 

Get this FREE resource to learn Python now

 

We are coming down to the wire to get the mainline benefit of getting Interactive Brokers API workshop learning under my Quant Elite membership. Tomorrow is the LAST day where this upcoming workshop starts Tuesday LIVE but will double in price come Monday.

In other words: This is most affordable you will get it until tomorrow night.

 

OK so get yourself up off the floor, we all need to get to work now. This coming Tuesday, I will be highlighting my first LIVE session for using the Interactive Brokers API. To be honest you don’t want to miss this as I’ll be covering all modern languages is used in all possible different scenarios. This includes Java Python, and C++.

You can go here for the schedule of these highly limited Interactive Brokers API sessions

The big takeaway for you is that this will only be done once over the next two weeks. I will also be taking away all the content by mid-December. This is part of my next wave of content to be removed from my Quant Elite membership as it will close permanently in the next few months.

Do you also realize you only have two days remaining to get all of this content for an unbelievable low price as explained below? Let me repeat: you have only two days to act on this before it doubles as of Monday!

Please read all the instructions and scheduling below to understand:

Thanks for reading

Bryan

PS. Note the 3 live sessions here

IMPORTANT NOTE: I will keep this course bundled together with my Quant Elite membership until Sunday! That means you will be able buy both for the price of the Quant Elite.

After this Sunday Nov 20, I will be doubling the price of this IB API workshop which will be sold as a standalone product with no connection to my Quant Elite. What does this mean? If you want a deal as in 2 for 1, jump on this deal I mentioned above before this Sunday ends! After Sunday, access to my Interactive Brokers workshop goes up to $197.

 

Also, the weekend for Nov 26 is the US Thanksgiving. I just wished they followed the Canadian schedule to make my life easier but NOOO. As a result, I will be holding a third session for Q&A only on SAT Dec 3 at 10 am EDT.

Detail of my Interactive Brokers API workshop boot camp

Everything is detailed in this video for my members and anyone who want to consider this.

Here is the live event schedule:

First live session:

Tuesday Nov 22 at 3 AM EDT

Second live session:

Saturday Nov 26 at 10 AM EDT

These will be only time I will be doing these.

Pricing schedule:

Up until Sunday Nov 20 $97 with complete monthly access to Quant Elite

$197 as stand alone

>>> GET IMMEDIATE ACCESS TO THIS INTERACTIVE BROKERS NOW <<<

 Get more details here

 

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