Tag Archives: Develop

It pays to develop HFT: Try 1+ million!

 

It pays to develop HFT: Try 1.2 million!

I did my occasional looking up high paying Quant and high-frequency trading development jobs. The market in London England has radically changed to make it easier for people to get these type of jobs that pays  in the  neighborhood of £150,000.

 

Click here to see what kind of skills you need to achieve these type of jobs

 

Human vs Computer: Achieving MAX pay out in trading video

I also did my shortest online meet up yet last night.

 

Go here to see this video on how computers will give you maximum payout as a trader

 

Good news and bad news.

 

Bad news:

 

Working with the Interactive Brokers API especially Java, is not very productive. For last week I was going around in circles trying to accomplish what I would think are simple tasks. As a result, I have decided to dump it and go with the good news option.

 

Good news but still bad:

 

I got my TWSLink2 working with Visual C++. As you can tell, I am not a happy camper going back to Windows technology but sometimes your trading broker dictates these options. Being in Canada, IB was really my only option so as a result I was forced to use this only option that would work easily. As a result, I present:

 

Click here to see a video on an updated overview of TWSLink2 for Interactive Brokers TWS on Windows

 

Click here to see a video on a working demo with Interactive Brokers TWSLink2 in Visual C++

 

Yes that’s correct, it works and this is the easiest way to go about managing your Interactive Brokers API calls. In fact I make it even easier with C-sharp wish I will show in coming days. As usual, I have included the source code of this working demo via my Quant Elite membership.

 

Go here to access now

 

Go here to see the entire set of benefits

 

The good news overall is that I can know hopefully finish off this Karen Super Trader strategy but using Windows and .Net. Kind of sad really, but I was forced to do it thanks to the lackluster Interactive Brokers API.

 

Thanks for reading,

 

Bryan

P.S. Let me know if you have any issues with the above purchase link in red.  My vendor just fixed a bug.

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!

It pays to develop HFT: Try 1.2 million!

It pays to develop HFT: Try 1.2 million!

I am not even seeing any education requirements and with immigration tightened in UK, this is very possible in coming months!!

 

https://adtmag.com/articles/2011/05/27/what-highest-paid-programmers-earn.aspx

So, to the rescue comes Sergey Aleynikov. He was a 40-year-old programmer for Goldman Sachs Group Inc., described in this Reuters report as “Wall Street’s most influential bank.” It looks like he was a specialist in those algorithms that control the stock market these days, capitalizing instantaneously on minute changes in market prices to automatically conduct trades and transactions (remember the “flash crash?”) and make big bucks for the “high-frequency trading firms.”

Apparently he wasn’t satisfied with the $400,000 per year Goldman Sachs was paying him. That’s right, $400,000 per year. So he allowed himself to be lured away by another big financial player, Teza Technologies LLC.

But he reportedly downloaded — illegally — some proprietary code to take with him, and he was caught. “Prosecutors say he planned to use the code to help his new employer … build a high-frequency trading system,” Reuters reported from the trial last November.

And here’s the good part:  “The prosecutor said that, at Teza, Aleynikov stood to earn about three times the $400,000 he was paid annually by Goldman Sachs as one of its highest-paid computer programmers,” Reuters reported. That’s 1.2 million.

So there you have it. There are big corporations out there making millions of dollars on the backs of computer algorithms, and some of them are willing to pay at least $1.2 million per year to programmers who can code them better than anyone else.

Join my  FREE newsletter if you want to earn those mad skillz

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!

How to overcome limits of retail trading software to develop trading ideas fast for juicy profit

video

This was a question from one of you, my Newsletter Subcribers, who was part of the EXCLUSIVE LIVE webinars

Hi Bryan, thanks again for the webinar you held last night, it was very interesting. 

I wish I started to learn math for building Algo since the beginning of my journey. I would have saved much time.

During the chat…, I mentioned the need to build an approach. What I meant by approach was a basic sequence of logical steps in order to validate trading ideas.

I found very interesting one of the book published from Emilio Tomasini & Urban Jaeckle titled: “Trading Sytems / A new approach”

Since I started coding with Mt4 I thought that I could replicate the same process, but I was wrong:


– Memory limit for files over 4Gb (I cannot test more than 2-3 years data with tick data)

– Walk Forward Analysis tool missing

– Parameter space optimizer missing

– Monte Carlo Simulator missing

– Portfolio testing missing

 

For poor average John it becomes difficult to deal with all these issues without spending a fortune on proprietary platform. On the top of that you still do not know what you should with that software.

At this point I amwondering if the wiser choice I  can take would be to sign up to a university to study Finance and forget about trading for the coming years. 

I look forward to hearing from you.  See more 

I address all these in my video link here:  See more

If interested, you can always become an Elite quant by going here.

Got questions? Shoot away

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!

How to use Mupad MATLAB and Symbolic Math Toolbox to Develop and Analyze Financial Models

How to use Mupad MATLAB and Symbolic Math Toolbox to Develop and Analyze Financial Models

These are two webinars that are proving to be vital to this algo development

http://www.mathworks.com/videos/using-symbolic-computations-to-develop-efficient-algorithms-and-system-models-81703.html?form_seq=conf798&confirmation_page&wfsid=5563955

http://www.mathworks.com/videos/using-matlab-and-symbolic-math-toolbox-to-develop-and-analyze-financial-models-81684.html

Notes in the first webinar: (this is all part of the Matlab Symbolic Math Toolbox)

Solving symbolically is 1700% speed up numerically. Bond pricing example at 5:15

At 9:15 demos yield curves for bond pricing

18:05 demos the ability to import Excel data into a MU and M script with plots

30:48 demos the HUGE speed improvement using symbollic analysis vs numeric (i.e. back testing in finance)

Can this be done as fast as in R or Python?

Notes for Second webinar:

If you have followed me, the most successful quant/trader researcher that I know did exactly this at 2:31

4:29 explains how you gain the insight of the math vs using Financial Toolbox functions. You understand how the interaction of variables impact your results! You solve the problem once where you solve numerically with a slow iterative approach. So you basically have to start again with each new approach and recompute as well.

Many financial models are expressed analytically but symbolic math can be applied because of that. At 5:25, you can use these as building blocks to create custom models. At 7:25, he explains how easily you can go from symbols (Mupad) to numeric (Matlab interactive in the command line)

16:32 shows ability create a symbolic function using –> in Mupad language 16:39 explains how you can make general expression as functions with Mupad edit from within the Notepad editor. This a Mupad procedure or library (17:09)

18:37 shoes you how to plot in 3D. 19:26 shows animation. 20:47 shows how to add text regions to the Notepad or notebook document.

27:50 introduces solvers to optimize the equations which is part of the Optimization toolbox

32:59 displays the various Symbolic Math Toolbox libraries

2014-05-01 16_16_16-Using MATLAB and Symbolic Math Toolbox to Develop and Analyze Financial Models -

 

Don’t forget you can convert Mupad code into custom Matlab M functions which can be imported into both Simulink and Stateflow.

The R support to do this is VERY LIMITED as explained here: http://cran.r-project.org/web/packages/Ryacas/Ryacas.pdf

It does not include the Notepad editor which Matlab has so it is light years ahead of R.

As for Python, all I could find is : https://code.google.com/p/sympy/

Eeek here are the open issues so this could be severely limited as compared to Matlab Symbolic Toolbox.

https://github.com/sympy/sympy/issues

This also moves into C code generation:

Generate C Code from MATLAB Functions Using the Embedded MATLAB Subset

http://www.mathworks.com/videos/generate-c-code-from-matlab-functions-using-the-embedded-matlab-subset-81679.html?form_seq=conf1302

Some notes for this webinar:

Uses Kalman Filter to track an object, generate C, and apply the algorithm into Simulink for System level modelling.

At 6:07 he mentioned you can deploy even into Assembler.

At 8:15, he explains how handcoding from Matlab to C/C++ is not easy nor is it scalable. It is also introduces many errors. It minimizes the translation with advantages of visualization and other Matlab features. It is the Embedded Matlab workflow at 10:18.

I do believe this is old but renamed to the Matlab Coder so this webinar is old but there are equivalent functions to handle after Matlab 2009b

27:36 explains Kalman filter M function.

19:01 explains how Kalman Filter could be used to track something like price movements and estimate direction within this webinar.

32:39 explains how you can dynamically create C with elmex function. You can dynamically create C functions based what is in specific Matlab workspace structures. This generates a DLL automatically.

*** 36:59 he shows a trick to embed a Matlab M function C but turning off all functions not supported during the compile process. This includes visualizations function like figure. You declare the function extrinsic. Very cool!

41:32 shows a code generation to C. 43:00 shows entry point to the C file for Kalman. 45:07 proves that the C runs faster than the code generated MEX file.

49:00 described how to change input size of source data. How do you generate C code for this at 51:32? Use emlcoder.egs

51:10 explains how to use fixed point which is needed for Simulink models.  Use fi prefix or sfi signed fi)

1:00.900 explains globalfimath function

1:01:57 shows how to integrate the Kalman into a Simulink model

 

** You can use Video Viewer Simulink block to watch the animation of the Kalman filter function

Another webinar for HDL for FPGA deployment which is ultra lowest latency HFT deployment:

http://www.mathworks.com/videos/advanced-hdl-code-generation-for-fpgas-using-matlab-and-simulink-81740.html?form_seq=conf840

I am not going to explore at this point but will leave it to Mr FPGA

 

Join my FREE newsletter on my march learn how to do this algo development for financial models

 

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!

Is C++ to complex to develop trading strategies and quant financial models with? We focus on easier languages C, C#, Matlab, and R

Is C++ to complex to develop trading strategies and quant financial models with? We focus on easier languages C, C#, Matlab, and R

This came in as a email query from someone:

>

> Bryan, Ive come across your youtube links ,found the desire to look

> for “self” education and trading formates,but I not a C++ guy, so some

> strugle.

> Will watch the youtube video.

> price I dont know ,if it works and looks like something I will master

> ,wont worry.

> Thanks,

 

I am now focusing on easier languages like C#, Matlab and R for developing trading strategies.

Hope this helps

Want to learn more about these languages for trading purposes? Join my FREE newsletter

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!

How my unique views helps me develop the freshest ideas in market trading strategies and models

HI there

As I am now moving into a pure research operation for trading models, algorithms, and strategies, I have a few advantages. I come in with a distinctive and unique perspective. I look at everything from a 35,000 foot view as I constantly watch Bloomberg TV, read the latest strategy and industry mags, and a total data junkie. I look for as many data advantages I can find. Here are some recent thoughts I posted:

Youtube book reviews on this technical analysis is the best and original book for the financial trader newbie (this is how I got started to be honest)

https://quantlabs.net/blog/2013/04/youtube-book-reviews-on-this-technical-analysis-is-the-best-and-original-book-for-the-financial-trader-newbie/

A forex golden nugget strategy exampe from Bloomberg TV recently:

Forex trading strategy including long USD against CAD, MEX, and NZD

https://quantlabs.net/blog/2013/04/forex-trading-strategy-including-long-usd-against-cad-mex-and-nzd/

On the humorous side, you got to like all the women presenting all this:

Watch these sexy babes on Youtube to teach technical analysis and fundamental analysis for stock picking

https://quantlabs.net/blog/2013/04/watch-these-sexy-babes-on-youtube-to-teach-technical-analysis-and-fundamental-analysis-for-stock-picking/

So what I am saying here? I am now building up a lot of unique content with a potential profitable trading strategies within my  QuantLabs.Net Premium Membership. Also, I take full advantage of the best and most technology out there to make this process even easier. This is why I think it is valuable to anyone who takes their trading seriously.

-> JOIN ME IN LEARNING HOW BUILD UNIQUE TRADING STRATEGIES <–

Here are some other Membership benefits.

Thanks Bryan

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!

3 days until 50% increase kicks in but learn how to develop HFT ready trading models from Matlab to C++ or FPGA instantly

Hi there
Now is the time to get into the QuantLabs.net Premium Membership with this MASSIVE ACCOMPLISHMENT successfully completed in the last 24 hours. You have 3 days to choose to be part of this at the ABSOLUTE LOWEST PRICE FOREVER. No if ends or buts, the price does go up 50% on Tues Jan 22.  There will be no more extending deadlines. This is the only discount you will ever receive FOREVER. The window of opportunity  is only 3 days from now.
It has been accomplished! Listed below are 4 videos on how to code generate visual trading models from Matlab to both C++ and FPGA. This is the ultimate way to jump start your ULTRA LOW LATENCY HFT platform development!! Seriously, this code can be worth millions if the right trading model or strategies are chosen while in a next generation fund no different than Rentech, DE Shaw, Getco, and so on. Don’t believe me? Ask yourself where you can learn this HIGHLY SECRETIVE technology? I didn’t think so. That is right, only through the QuantLabs.net Premium Membership.
1. Youtube video on ABSOLUTE LAST chance for DISCOUNT on learning in HFT, FPGA, C++, ultra low latency trading, DMA, quant
2. Youtube video on how Smart water meter same encrypted radio technology for HFT with FPGA instead of DMA
3. Youtube Video Demo of moving average trading model for HFT from Matlab Simulink to C C++ FPGA HDL or Verilog
4. Youtube video on Moving average trading model for HFT from Matlab Simulnk to FPGA HDL or Verilog for ultra lowest latency
There is a new term I use for 2013 so you don’t procrastinate:
DO it and do it NOW! You got 3 days to choose!
Thanks Bryan
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!

How to develop Microsoft .NET C# apps for Linux, Google Android, Apple iOS iPad iPhone and Mac OS X with Mono Develop #apple #android

How to develop Microsoft .NET C# apps for Linux, Google Android, Apple iOS iPad iPhone and Mac OS X with Mono Develop #apple #android

So I went to another Toronto .NET User group. Fellow Meetup member  Shane C did a nice presentation on how to develop .NET applications on a Mac. Yes a Mac. With the movement of Mono for Linux or Unix, the newly spun off division  Xamarin from Novell. The possibility to develop a .NET backend application with a unique front end for your target device like Apple iOS or Google Android. It is kind of cool. All this is done through their two products MonDevelop IDE and Monotouch DLL. You can just target you backend. Let’s say you want to develop in something for Mac or iOS for iPad or iPhone, you can visually use the components for your add. All these can be drag and dropped into your panel with XCode generating the Objective C. It works in conjunction with Mono Develop which can generate your .NET code into Objective C on the fly. Pretty cool. Also this code can also be submitted to the Itunes store which Apple needs to approve. Again, very cool and a unique way of rapid development for your backend service. I think this is the best workflow yet I have seen to develop a mobile or Mac app. The only caveat for developing on Mac is you need a Mac, Apple developers license, ($99) and the Mono Touch DLL which is $299. It is a nice option but you need to be serious if you want to go down this path.

Also, you can target the same app using the same concept for Android and Linux/Unix as well. These are free options other developing for Apple technologies. As said, it is a good option if you want rapid development for mobile.

See what I plan to do with this for mobile apps 

Presentation details are at:

http://www.metrotorontoug.com/events/88284472/

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!

What RDMS or NOSQL Database should a R user focus on? This helps us develop our future integrated trading platform with R analytics.

What RDMS or NOSQL Database should a R user focus on? This helps us develop our future integrated trading platform with R analytics. Thanks for the input.

Which database do R users? Commercial vs open source vs NOSQL?

Go here to take it.

http://quantlabs.net/surveys/2012/06/19/what-rdms-or-nosql-database-should-a-r-user-focus-on/

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!

How I went to open source thanks to Linux, R, Java, and NOSQL? Develop on an iPad? No more expensive Matlab?

How I went to open source thanks to Linux, R, Java, and NOSQL? Develop on an iPad? No more expensive Matlab?
I have focused on open source technologies all last week. This includes CentOS Linux, Java, R, and Redis. If you don’t know, this took me a while to work through in terms of which R packages (like Matlab toolboxes) to work with. I found the open source world to be challenging but rewarding once set up properly. It literally took me a week to get it set up.
This was all driven by the fact of the highly expensive Matlab license fees for things like clustering and Apple iPad mobile development. I was looking at potentially $50K-$100K so I decided to try out the open source world. As you know, the many advantages it gives you are both security and speed which Windows users seem to complain about. R was a really good option as well, but thanks to RStudio, I was able to accomplish many things I could do in Matlab.
The real challenge of R came with the clustering end. After investigating 4 R packages which turned out to be duds, I fortunately found a NOSQL solution R Package called doRedis using Redis which seems to fit the bill quite nicely. Also, there a nice Youtube demo and install guide of this with Redis and RStudio which would make you think you were developing with expensive Matlab. Again, quite nice especially that is open source which means FREE. The last piece of the puzzle was connecting Java into the Redis data repository which can be used as a highly scalable and replication database for things like tick data. No need for expensive solutions like kdb + or traditional relation databases like SQL Server or Oracle. All the basics work well which helped build my confidence in open source and not worrying about licensing fees.
The other driving factor to go open source was developing models on my Apple Ipad. Because of the open source RStudio IDE (integrated development environment), I am now able to develop in R off a remote web server. This is great as there was no cost so now I don’t need to even invest into an expensive Matlab license which is another nice bonus! As a result, my open source infrastructure is definitely the way to go to build my quant based trading strategies, models, and algorithm for free off my IPad. I am no longer shackled to a desk! If you want to see how I accomplished all this, I would encourage you to visit my YouTube channel at http://www.youtube.com/user/quantlabs/ I also created a new R blog section as well at: http://quantlabs.net/r-blog/

Pretty nice huh? Well, I am will be posting some Java sample code for my Premium Members which will show you how to connect to a Redis NOSQL repository as described above. This is how I plan to insert tick data so I can do lightweight and fast processing analytics through R. Of course, this will be much faster than piping through a headless Matlab version. You can also bet in coming weeks to months, new strategies will be posted in the Premium Member section as well.

Want to get access to this private section? Go here

Want benefits of my Premium Membership? Go here.

If you got questions or comments, let me know by the usual Twitter at @quantlabs or just simply responding to my email.

Your trading pal
Bryan

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!