Tag Archives: converting

Converting tick data to OHLC with Python pandas

Converting tick data to OHLC data using Python pandas

As I am moving from long-term position holds to short term, I was lucky enough to see this article shoot by on my Facebook feed. In order to convert market data ticks to actual open high low close bars is a very useful trick to know about. This one is done in Python but could be very useful for those that want to trade at a high-speed level.

Watch this tutorial here

I have talked about removing my “Python Infrastructure Building Block” course from my Quant Elite membership.  Over the next few days, that will become a reality. This is no difference then the removal of my Interactive Brokers API workshop course last week. I hate being a Scrooge like this but it’s to prepare for the next level of my business for next year. I’m sure you get that if you continue reading over the next few weeks on my plans. I’m actually pretty excited about it after six years of so-called “research “.

Thanks Bryan

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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Converting tick data to OHLC data using Python pandas

Converting tick data to OHLC data using  Python pandas

Most useful as I switch back to intraday high speed trading

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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!

Matlab webinars on intro to SImulink, Tackling Big Data and Converting Scripts Easily to C programming language

Join us online to learn more about MATLAB and Simulink. Each live webinar is free and features application demonstrations followed by a Q&A session with a MathWorks Engineer.
Introduction to Simulink Introduction to Simulink
Tuesday, October 28
9:00 a.m. or 2:00 p.m. US EDT
2:00 p.m. or 7:00 p.m. GMT
Learn how you can use Simulink to design, simulate, implement, and test a variety of time-varying systems, including communications, controls, signal processing, video processing, and image processing.
»Sign Up
Tackling Big Data with MATLAB Tackling Big Data with MATLAB
Tuesday, November 4
9:00 a.m. or 2:00 p.m. US EST
2:00 p.m. or 7:00 p.m. GMT
Learn strategies and techniques for handling large amounts of data in MATLAB.
»Sign Up
MATLAB to C Made Easy MATLAB to C Made Easy
Tuesday, November 11
9:00 a.m. or 2:00 p.m. US EST
2:00 p.m. or 7:00 p.m. GMT
Learn the workflow for generating readable and portable C code from your MATLAB algorithms using MATLAB Coder.
»Sign Up
Who should attend? All educators, academic researchers, and students are welcome to attend these complimentary webinars. Please forward this email to anyone who may be interested in attending.
Can’t Attend? The recorded webinar will be posted within a few business days of the live session. You can view these recorded webinars and many others at mathworks.com/academia/webinars.

 

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The HUGE edge of Matlab over R is the Matlab Coder Toolbox. Converting R script code to C++/C?

The HUGE edge of Matlab over R is the Matlab Coder Toolbox. Converting R script code to C++/C?

I was reading the various links from the fantastic Stack Overlflow:

http://stackoverflow.com/questions/9154383/converting-loop-from-r-to-c-using-rcpp

http://stackoverflow.com/questions/10089754/converting-models-in-matlab-r-to-c-java

It seems the RCPP R package always come up in name. It is that or a derivative like RCPPArmadillo. I have played with RCpp which is really good. I am very impressed with it but when you look  at the equivalent from the Matlab world, it seems that your choices are Matlab Builder JA or Matlab Builder NE toolboxes. For those new to it, you also need to include the Matlab Compile Runtime which can lead your target application potentially extra heavy so why go there. Also, the code you need to develop to be compliant with the MCR is ugh…. how shall we say?  Extra long and wonky. Boo to that on that one.

I have experimented the various equivalent R packages of RCPP/Rinside, RJava, and R.Net which work really well. You can also make direct calls into R from these languages with little hassle compared to Matlab’s way. It seems slightly fast also since the loading of R can be very lightweight. Very cool.

But that brings me to a very important question that Matlab does have an edge. It is called Matlab Coder Toolbox which is very cool. Introduced last year, it allows you to truly convert your Matlab M Script into C or C++. It is very cool but offers limited support for the Matlab toolboxes. The functions I wanted to use were not supported but the current version of Matlab might address that. If your M script does not use any toolboxes, you can definitely use this Coder toolbox as an option. It is very cool in how it works but it is very expensive. Try $6000 but it might be worth it since you no longer need to hire a $100+K C++ developer. This is one option that Matlab has which R does not.

I hope someone can crack this code despite using something like RCpp. I think a tool to convert to C++ like the Matlab Coder would be completely awesome but I am sure this would not be a cheap R package. The amount of work would be huge.
Try joining my New R/Matlab users Meetup group.

 

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Tonite: Learn about converting Simulink visual models to an open source trading platform with DLL management.

Hi there

Tonight is the night. Learn about converting Simulink visual models to an open source trading platform with DLL management. Details of the agenda here:
This happens at 7pm Eastern Standard Tonite.
More updates on what is coming up:
1. Youtube video on Now on the hunt for highly profitable trading strategies for open source HFT trading
2. Q&A about open source in house trading platform versus expensve institutional HFT trading platforms like Deltix or Quanthouse
3. Q&A onWindows vs Linux, NOSQL databases, and Matlab discounting?
I have confirmed Matlab discounting will not happen.
Again:
Thanks Bryan

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Download FREE Open Source Code Demo of MATLAB Coder converting Shrinkage Estimator M script to C++ file #matlab #cplusplus

Download FREE Open Source Code Demo of MATLAB Coder converting Shrinkage Estimator M script to C++ file #matlab #cplusplus

This is a simple demo of this powerful to demo the conversion of Matlab’s M script file to a C++ file for your trading or target platform.

Download the ZIP package from here.

Get further open source code announcements from my frequent newsletter

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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!

Trading or HFT: Open Source Code Demo of MATLAB Coder Toolbox converting Hello World M script to C++ file #free #opensource

For high frequency trading aka HFT: Open Source Code Demo of MATLAB Coder converting Hello World M script to C++ file
This is a simple demo of this powerful to demo the conversion of Matlab’s M script file to a C++ file for your trading or target platform.
Download the ZIP package from

Download here.

Get more open source project announcements as well as other development my firm is involved with. Go here to join!

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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!