Tag Archives: core

Founder announces C++ Core guidelines

Founder announces C++ Core guidelines

I can say C/C++ are going through major improvements to make the language much easier to use

https://isocpp.org/blog/2015/09/bjarne-stroustrup-announces-cpp-core-guidelines

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Core Linux most insecure software?

Core Linux most insecure software?

Who knew but that makes you wonder about the other distributions. What do Windows users say?

http://www.infoworld.com/article/2946566/security/core-linux-tools-top-the-list-of-most-at-risk-software.html

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Microsoft rewrite R core language?

Microsoft rewrite R core language?

Remember how they bastardize C++ to Visual C++?

After taking over Revolutionary Analytics, now they want to do this for SQL Server 2016.

http://www.infoworld.com/article/2940508/big-data/hey-microsoft-a-rewrite-of-the-r-language-is-a-silly-idea.html

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Is a cluster of 16k core practical for quant trading research?

Is a cluster of 16k core practical for quant trading research?

Uh I said crazy things when I had a Vic 20 in 1983 but wtf you going to do with this many cores for a trading idea?

http://www.cs.washington.edu/events/colloquia/search/details?id=1338

Thanks to the NYC Contact for sending

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Could this change things? Ubuntu Core, with snappy transactional updates!

Could this change things?   Ubuntu Core Linux with snappy transactional updates!

Hmm.. more confusion but the timing is important!

Announcing Ubuntu Core, with snappy transactional updates!

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Meetup video on Use of R core scripting to eliminate ‘NA’ and other common issue

Meetup video on Use of R core scripting to eliminate ‘NA’ and other common issue

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Detail of Meetup from:

Use of R core scripting to eliminate ‘NA’ and other common issue

Tuesday, Jun 10, 2014, 6:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

9 Researching Traders Went

Meetup Webinar Tues Jun 10 at 6 PM EST: Use of R core scripting to eliminate ‘NA’ (“and other common recycled value problems”?)Body of presentation: I Use of rm() inside of source codeThis following portion is still under construction as I haven’t gotten as much feedback as would be helpful from core R team yet…II Manually coding a ‘divisor proc…

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Use of R core scripting to eliminate ‘NA’ and other common issue

Tuesday, Jun 10, 2014, 6:00 PM

10 Members Went

Check out this Meetup →

Presentation material:

Manuscript of Intended Presentation:

 

 

The Use of     a<-a[-(i)]   can lead to NA’s

 

Argument is that a<-a[-is.na(a)] would then suffice to clean this up, but what are the costs if, say, a is a resultant vector from a sorting algorithm which recursively shortens the vector?

 

The reality is that removing individual elements by referring to their index can be difficult on data integrity after the remaining indices are then restructured.  Perhaps this is dependent on the cluster or R environment you are loading from.      The reality is that NA’s are a commonly recurring problem in R.

 

Since there are many precompiled functions in R, it seems logical to make use of them.  What isn’t so obvious is the usage of them for non-vector arguments.   For example,  typically rm() is a function which can be used to clean up a directory prior to inputting or after outputting a file from a program.   However, rm() can also be used for the same purposes as a<-a[-(i)], and therefore bypassing the need to subsequently call a<-a[-is.na()] afterwards,  and the risk for loss of data integrity.

 

 

More along the lines of data integrity is the loss of precision in arithmetic operations as you get close to your assigned machine precision.  What then happens is dependent on, again, your own system and which version of R you are utilizing.  Apparently 3.0.0  seems to be set up now with the idea of allowing data to just drop digits as precision is maxed out.     To quote the current developers blog:

The following function is due for release:

 

digitloss=c(“allow”, “warn”, “forbid” )

 

 

C developers can deal with this by implementing their own arithmetic procedures, keeping in mind the underlying algorithm of each.   e.g.   Division can be viewed as the inverse operation of multiplication, which in turn can be viewed as a “convolution” of two floating point integers.

 

So what does this mean..  ?     Maybe for the purposes of speeding up your system and avoiding the abovementioned data loss, converting your division problem to a multiplication by the inverse of your divisor, and then in order to convert your base 10 number to decimal formatting-  either calling strtoll()  or incorporating your own division algorithm.

 

At this point you would be ready to perform the “convolution” portion of  your multiplication formula.   Warning:   convolve() in R (as in C’s numerical recipes) incorporates  the Fourier transform, adding a full      N*logN     to your computational complexity.   So it may be best to code up your own if you think time is of importance.

 

 

 

 

 

Examples of code  demonstrating the above topics can be available upon request.  Thanks for your attendance.

 

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Meetup Webinar Tues Jun 10 at 6 PM EST: Use of R core scripting to eliminate ‘NA’ (“and other common recycled value problems”?)

Meetup Webinar Tues Jun 10 at 6 PM EST: Use of R core scripting to eliminate ‘NA’ (“and other common recycled value problems”?)

Body of presentation:
I Use of rm() inside of source code

This following portion is still under construction as I haven’t gotten as much feedback as would be helpful from core R team yet…

II Manually coding a ‘divisor procedure’ to help eliminate recycling issues when machine level precision is approached

Tuesday June 10 at 6PM EST

 

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This is the set of Matlab toolboxes that I would consider important for your core trading quant analytics and market forecasting

This is the set of Matlab toolboxes that I would consider important for your core trading quant analytics and market forecasting

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The reasons these are posted for either extending Matlab’s capaibilities into 3rd party solutions like trading platform or for pure market forecasting:

Coder

Compiler

Curve Fit

Dot Net Builder

Econometrics

Finance

Identification

Math (core Matlab)

Optimization

PDE

Stats

Do note there are others I would I recommend like Market Data Capture, Database, etc. This is just the ones I have focused  on but these manual PDFs for these toolboxes is where you can find some potentially explosive unknown gold nuggets.

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HFT Youtube video Demo of $30 96 core Nvidia CUDA GPU with Microsoft Visual C++ for ultra fast quant analysis #cuda

HFT Youtube video Demo of $30 96 core Nvidia CUDA GPU with Microsoft Visual C++  for ultra fast quant analysis #cuda

Demo of a $30 CUDA card with 96 cores.

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Other links:

How to get your Microsoft Windows Visual C++ CUDA sample files working with Nvidia Geforce CUDA GPU board

https://developer.nvidia.com/cuda-gpus

http://www.nvidia.com/object/win8-win7-winvista-64bit-306.97-whql-driver.html

http://www.stevenmarkford.com/installing-nvidia-cuda-with-visual-studio-2010/

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Holy HFT!! C++ Open MPI possible with Nvidia CUDA boards of 3072 cores priced $999! #cuda #openmpi #hft

Holy HFT!! C++ Open MPI possible with Nvidia CUDA boards of 3072 cores priced $999! #cuda #openmpi #hft
Basic coding tutorial:
http://www.slac.stanford.edu/comp/unix/farm/mpi.html
Step by step in Ubuntu
http://www.openwall.com/lists/john-users/2010/07/10/1
MPI in 30 minutes
http://www.linux-mag.com/id/5759/
I had to fiddle with the environment variables and paths to fit my Ubuntu environment.
Check that mpicc is a wrapper for the gcc
http://www.open-mpi.org/faq/?category=mpi-apps
CUDA and Open MPI so this means code could be ready for CUDA (not so hard as first thought)
http://www.cse.buffalo.edu/faculty/miller/Courses/CSE710/heavner.pdf
Types of Nvidia CUDA card to buy
http://www.nvidia.ca/object/graphics_cards_buy_now.html
Note: GeForce GTX 690 high end 64x speedup with 3072 CUDA cores!! 4096 MB of RAM is $999
GeForce GTX 680 48x 1536 cores 2048 MB at $ 449

http://techtinkering.com/2009/12/02/setting-up-a-beowulf-cluster-using-open-mpi-on-linux/
NOTE: Open MPI is one of the leading MPI-2 implementations used by many of the TOP 500 Supercomputers.

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