Tag Archives: explanation

Explanation of how to input data into Excel for options trading

Explanation of how to input data into Excel for options trading

Another options trading video with Excel

Explanation of how to input data

This video shows the sequence of taking option data from the TOS platform and pasting it into the codex.qbt Excel spreadsheet. It’s a manual process.

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According to Yahoo Finance, is this a fascinating explanation for why stocks are going higher

According to Yahoo Finance, is this a fascinating explanation for why stocks are going higher

From the NYC Contact but let me know what you think

http://finance.yahoo.com/blogs/talking-numbers/here-s-a-fascinating-explanation-for-why-stocks-are-going-higher-212653736.html

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us american recession probability for 2011

Tasty Trader video explanation The Kelly Criterion for Trading Options as Ernie Chan uses this for risk management

Tasty Trader video explanation The Kelly Criterion for Trading Options as Ernie Chan uses this for risk management

An important video to watch as Ernie Chan does hint at this as part of his risk management techniques

Thanks the NYC Contact for sending this

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Quant analytics basic: Decent explanation of lag with this GARCH(1,1) volatility estimation

Quant analytics basic: Decent explanation of lag with this GARCH(1,1) volatility estimation

Just watch and learn I guess

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Best explanation of Cassandra vs MondoDB: Why I may switch to MongoDB for better R support? Redis is less popular

 

Best explanation of Cassandra vs MondoDB: Why I may switch to MongoDB for  better R support? Redis is less popular

http://stackoverflow.com/questions/3391586/mongodb-on-ec2-server-or-aws-simpledb

Benefits of Cassandra with Sharding:

https://www.cloudkick.com/blog/2010/mar/02/4_months_with_cassandra/

http://comments.gmane.org/gmane.comp.db.cassandra.user/4122

Clients to Mongo including R (better R client support for MondoDB as compared to Cassandra)

http://www.mongodb.org/display/DOCS/Drivers

2 potential R package client repositories for MongoDB

https://github.com/tc/RMongo

https://github.com/gerald-lindsly/rmongodb

MongoDB does still do sharding:

http://www.mongodb.org/display/DOCS/Sharding+Introduction

This is a primary reasons why I would switch from Redis. An example of usage of R with MongoDB using high frequency market data:

http://www.r-bloggers.com/i-see-high-frequency-data/

https://github.com/kafka399/Rproject/blob/master/HFD/showHFD.R

There are many other examples found on R-Bloggers.com

 

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Online Video Course of HFT High Frequency Trading now online with explanation of bridges to R and Matlab

Online Video Course of HFT High Frequency Trading now online with explanation of bridges to R and Matlab

Here is the agenda of the most anticipated course QuantLab.net has done to date. It is obvisouly on High Frequency Trading (HFT) with 2+ hours of online videos. These include topics on:

High Frequency Trading (HFT) Course

Intro to HFT and details about it

Details on how to build an HFT platform

Details on how to build an HFT platform continued with component applications

Paid components of selected HFT Platform including bridge to R and Matlab

Get access to the course by registering here.

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Best detailed explanation on how to use Matlab, C++, and C# for quant

The best detailed explanation on how to use Matlab, C++, and C#. When and where?
This is easily of when the best explanation I have seen on using these three classic technologies for quant work. This was posted in a great Linked In group debate:

MatLab is very good for modeling and studies. I personally use Maple for my modeling and stat work and that is just personal preference.
There are some add-ins for Matlab (and even excel) that will interface to your brokerage for trading. Some traders are doing just that and it is working well for them. Probably this is the fastest way to get your strategy to production.

However, understand that you wont have as much flexibility and performance as if you were implementing in C++

For those that want to implement a custom solution. Here are some factors to consider when choosing C++, C#:

The language that your brokerage API supports.

Or another option would be to use a trading platform like NinjaTrader (C#),
or TradeStation (Easy Language).

A platform will allow you to focus on your strategy and not have to code a lot of networking infrastructure, i.e. FIX, FAST, etc.

However, there is also open source FIX and FAST frameworks that you may wish to use, in both C# and C++

If speed and performance will be an issue to your trade strategy success.
If you are planning to implement a high-frequency strategy with collocation then
probably your only options would be low level C++, and assembly.

Some stat arb algorithms also need to be very quick, and for others performance is not significant factor.

C# is slower than unmanaged c++ because of the CLR garbage collection.
But a good developer will know how to optimize C# to avoid not as being slowed down from the gc.

How much time (and money) are you willing to spend to get your strategy to production.
C# is a language designed for rapid application development. Memory is managed for you and the .NET Framework 3.5 and 4.0 framework is very powerful.
I don’t think you will find a language with such a versatile built in library.

Your programming level and expertise in C++, C#
Is not necessary true that a good C++ programmer will make a good
C# programmer, etc. Both have their own tricks and best practices.

Will you need rich GUI support?
If your trade app will need windows GUIs and need performance, one option would be that you can implement it in all MFC C++.
However, the look and feel of MFC is very outdated, but never less MFC is fast.

Or a better way, maybe also try to use something like platform invoke to provide manage, unmanage code interoperability and then you can have the critical performance algorithms implemented in C++ and the GUI in a C# layer.
You can make the GUI look very nice with WPF or Silverlight and follow a MVC architecture.

However, do understand that cross code mange/unmange interob will not be best performance practice, but for your GUI – reporting purposes only, then this doesn’t matter much since your critical trade algorithm will be in C++.

Database
I assume the database access will be for back office- reporting purposes, unless maybe you need to look up a lot of fundamental data in your strategy and
don’t want to/ or have the time to implement or mess with a lot of abstract data structures such as containers, trees and hash tables to manage this data on your own.

Then, I would strongly recommend C#, SQL Server, with .net entity framework. An ORM Mapper like entity framework takes out a lot of the work in regards to handling the impedence mismatch in your relational database code interacting with your C# domain model, and you will be able to go to production a lot faster. Do understand the ORM mapper will add some slownesss to your application, however it will save you alot of development efforts.

Make sure that you know or have an DBA that implements table partitioning functions and indexes well, this will give the database a huge performance boast when dealing with huge amounts of historical-fundamental data that needs to be access quickly.

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