Tag Archives: #cpp

Long and short hedging futures trading demo with basis in Cpp on Ubuntu Linux

Long and short hedging futures trading demo with basis in Cpp on Ubuntu Linux

This will be awesome if I got at this pace to build a little options/future analytics system with potential HFT Level 2

Source code available for my Quant Elite members!

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Cpp financial numerical recipes walkthrough

Cpp financial numerical recipes walkthrough

Here is a walkthrough video to highlight this FREE PDF

https://tfetimes.com/wp-content/uploads/2015/04/recipes.pdf

Download C++ financial numeric recipes

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Demo Using Greek Analysis for options trading in Cpp on Ubuntu Linux

Demo Using Greek Analysis for options trading in Cpp on Ubuntu Linux

I demo this code in a video

https://www.quantstart.com/articles/Calculating-the-Greeks-with-Finite-Difference-and-Monte-Carlo-Methods-in-C

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Linux CPP Demo of 2 futures contracts with basis and net gain or loss

Linux CPP Demo of 2 futures contracts with basis and net gain or loss

This our first crack at this. Comment at Facebook or Youtube to let me know if you see errors. Thanks

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Python R Cpp finance reading list books for machine learning and new quant big data methodologies

Python R Cpp finance reading list books for machine learning and new quant big data methodologies

These are top ranked and most popular that I have found

These are sort of fascinating but could take many months to go through:

Mastering Python for Finance

By: James Ma Weiming

 

Mastering Pandas for Finance

By: Michael Heydt

Mastering Pandas for Finance

By: Michael Heydt

Data Mining Methods and Applications

By: Kenneth D. Lawrence, Ronald K. Klimberg, Stephan Kudyba

Big Data and Business Analytics

By: Jay Liebowitz

Mastering R for Quantitative Finance

By: Edina Berlinger, Ferenc Illés, Tamás Vadász

 

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Natural Computing Algorithms

By: Anthony Brabazon, Michael O’Neill, Seán McGarraghy

Numerical Python

By: Robert Johansson

Practical C++ Financial Programming

By: Carlos Oliveira

Core Python Applications Programming, 3rd Edition

By: Wesley Chun

Mathematical Game Theory and Applications

By: Vladimir Mazalov

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Optimal Hedging ratio demo with basis risk demo in Cpp on Linux

Optimal Hedging ratio demo with basis risk demo in Cpp on Linux

The first foray into this dev stack for potential futures trading

Get the source code package here 

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Hedging ratio demo with basis risk demo in Cpp on Linux

Hedging ratio demo with basis risk demo in Cpp on Linux

I demo this combination for eventual futures trading with risk analysis and hedging potential

ttps://quantcorner.wordpress.com/2011/03/04/basis-risk-and-minimum-variance-hedge-ratio-with-c/

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CPP Interactive Brokers TWS Linux demo works

CPP Interactive Brokers TWS Linux demo works

You Google ‘pytws tutorial’ and this came up! WHOOOOOOOOOOOOOOOO!

From http://mandke.com/blog/getting-started-with-interactive-brokers, I found the following GIT HUB project

BREAKING NEWS! I got a successful demo working with C++ using Interactive Brokers TWS in Ubuntu Linux
This is with the following build instructions from:

 

THIS CODE WORKS!!

For TWSAPI build process:

https://github.com/rudimeier/twstools
Note When building from git checkout you need both autotools and libtool. Also, don’t forget to type autoreconf -vfi first.

git clone https://github.com/rudimeier/twsapi

Follow http://askubuntu.com/questions/430706/installing-autotools-autoconf
To install autotools:

sudo apt-get install autotools-dev
To install autoconf

sudo apt-get install autoconf

autoreconf -v -f -i

./configure
make
make install <– run as root

Also under TestPosixSocketClient directory, I changed PostixTestClient.cpp with Interactive Brokers data info of:

Contract contract;
Order order;

//contract.symbol = “MSFT”;
contract.symbol = “AAPL”;
contract.secType = “STK”;
contract.exchange = “SMART”;
contract.currency = “USD”;

order.action = “BUY”;
order.totalQuantity = 1000;
//order.orderType = “LMT”;
//order.lmtPrice = 0.01;
order.orderType = “MKT”;
order.lmtPrice = 115.01;
order.auxPrice = 115.01;

 

Voila! It works

 

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Working demo with Interactive Brokers TWSLINK2 Cpp

Working demo with Interactive Brokers TWSLINK2 Cpp

I got this combo working with Visual C++ nad can move onto the next steps now

Sample potential C++ code to be used:

twslinkCONNECT(“”,7496,1,1000)
twslinkREGISTER_CONTRACT(“MSFT”,”STK”,”USD”,”SMART”,””,””,””,0,””,0,0)
twslinkPLACE_ORDER(0,0,”BUY”,”MKT”,100,0,0.0,”GTC”,1,0)
twslinkWAIT_FOR_FILLED(0,50000)
twslinkGET_ORDER_VAL(0,82,””)
twslinkPLACE_ORDER(0,0,”SELL”,”LMT”,100,0,0.0,”GTC”,1,0)

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Java pain for Interactive Brokers, hello CPP?

Java pain for Interactive Brokers, hello CPP?

I am completely frustrated with Java and the cruddy JAR dependency configuration for the various IDEs of JetBrains IDEA, Netbeans, and Eclipse. I can get C working in it’s wonky way. I am going to try the Interactive Brokers working with the gateway in Linux with this tutorial.

Installing Interactive Brokers IB Gateway and TWS API for Linux

I hope this works out as it is not as easy to work out with.

UPDATE: Scrub this idea but there maybe better Java tutorials with the above link http://holowczak.com/ib-api-java-contract-details/2/

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