Tag Archives: FPGA

Trading Workflow from Research Paper to Matlab to C C++ or FPGA HDL for ultra lowest latency HFT

Trading Workflow from Research Paper to Matlab to C C++ or FPGA HDL for ultra lowest latency HFT

I have just put up two new postings on how to trade options and futures. There's a definite relationship between these two asset classes but I only focus on options on futures which are non-deliverable.
Here are my two latest postings:

Options pricing and put call parity with intro to arbitrage

Additional options concepts with comparison of futures and options trading

This online course is Free and is a very old-school approach with a fundamental view. It still boggles my mind on how people need to complicate their trading for mediocre results. Do you really want to 
focus exclusively on technical analysis based on past pricing behavior? All these techniques learned can easily be applied into a high-frequency trading setting. Guess what my next phase will be?

Workflow trading idea go from research paper to Matlab to see C++ or FPGA HDL for ultra-lowest latency HFT

I will be starting this process sometime next week. Once finished, this will be my biggest milestone yet. Boy am I excited to release it to the world if it comes together. I will also be focusing on all the 
trading models coming out of this futures and options course which will be implemented using this methodology.
 
Join my Quant Elite membership as this take shape next week. I will be dedicating an entire Meetup around this. Not only that I'll be focusing a video playlist on my YouTube channel on this as well.
Bryan 
PS. If you are living in Toronto please visit our attendance session coming this Monday night.

http://www.meetup.com/quant-finance/events/223943747/
http://www.meetup.com/R-Matlab-Users/events/223943775/
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!

Workflow Quant Algo from Research Paper to Matlab to C C++ or FPGA HDL for ultra lowest latency HFT

Workflow Quant Algo from Research Paper to Matlab to C C++ or FPGA HDL for ultra lowest latency HFT

This is my next phase. This will be my BIGGEST MILESTONE since I started this journey!

I will be starting this process sometime next week. Once finished, this will be my biggest milestone yet. Boy am I excited to release it to the world if it comes together. I will also be focusing on all the trading models coming out of this futures and options course which will be implemented using this methodology.
 
I will be dedicating an entire meet up around this. Not only that I'll be focusing a video playlist on my YouTube channel on this as well.

Join my FREE newsletter to learn when I get this implemented

 

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!

FPGA HFT market data feed providers?

FPGA HFT market data feed providers?

This came in via a Skype conversation. Any opinions of these ?

https://www.diliger.com/products/470439810

http://www.activfinancial.com/low-latency/direct-feeds

Join my FREE newsletter to learn more about deploying FGPA for HFT needs 

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!

This FPGA for HFT TCPIP TOE stack decent?

This FPGA for HFT TCPIP TOE stack decent?

This came up from my FPGA contact. This is not a cheap option but important for you TCP/IP connection. A video example for high speed trading exists. This is probably one of many options for this TCP/IP TOE stack

https://www.plda.com/products/fpga-ip/xilinx/fpga-ip-tcpip/quicktcp-xilinx

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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!

Intro to FPGA acceleration with OpenCL

Intro to FPGA acceleration with OpenCL

This is from my FPGA specialist contact

https://www.altera.com/webcasts/opencl-overview/presentation.html?utm_source=Altera&utm_medium=webinar&utm_campaign=OpenCL_15_0&utm_content=NA_OpenCL_Overview_Tutorial

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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!

FPGA Acceleration Using OpenCL for HFT

FPGA Acceleration Using OpenCL for HFT

This is a big a deal. Thanks to Mr FPGA sent over to me! I must say this is the best path for high frequency trading! Do realize you can still use Matlab Simulink to author the trading strategy.

Join my FREE newsletter to learn more about deploying FPGA for HFT

 

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!

Intel will make Altera FPGA mainstream for HFT?

Intel will make Altera FPGA mainstream for HFT?

This interview with Intel’s CEO shows how he stresses the importance of FPGA. Imagine for this in trading?

Simulink will help get you there.

Inside the Intel, Altara Deal With Intel’s CEO
June 1 — Intel agreed to buy Altera for $16.7 billion to defend its presence in data centers, forging a deal that will add to a record year for industry consolidation. Intel CEO Brian Krzanich speaks on “Bloomberg Markets.”

http://bloom.bg/1M50I5M

June 1 — Intel agreed to buy Altera for $16.7 billion to defend its presence in data centers, forging a deal that will add to a record year for industry consolidation. Intel CEO Brian Krzanich speaks on “Bloomberg Markets.”

Intel Corp. Chief Executive Officer Brian Krzanich says the chipmaker’s planned $16.7 billion purchase of Altera Corp. will advance its products and bolster manufacturing prowess. To deliver on that promise, he’ll need to break from his predecessors’ lackluster acquisition record.

To read the entire article, go to http://bloom.bg/1EPOuYB

 
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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!

Will Intel purchase of Altera Commoditize FPGA boards for HFT?

Will Intel purchase of Altera Commoditize  FPGA boards for HFT?

With our workflow for Matlab Simulink, this option is becoming more of a reality now. I am very exciting on this path of development. You can learn more what I am talking about list below:

 

http://www.bloomberg.com/news/articles/2015-06-01/intel-buys-altera-for-16-7-billion-as-chip-deals-accelerate

ou have a few choices to enhance your learning with automated 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!

Open Source SourceForge Matlab Simulink model to C++ or C for FPGA with HFT potential

Open Source SourceForge Matlab Simulink model to C++ or C for FPGA with HFT potential

I just uploaded a ZIP RAR version of this

https://sourceforge.net/projects/matlabsimulink2cpp/

More details here: https://quantlabs.net/blog/2015/04/video-and-files-download-for-visual-trading-idea-to-c-or-fpga-hft-meetup/

Join my FREE newsletter to learn more about how I will move forward in implementing this into future trading 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!

Video and files download for Visual trading idea to C++ or FPGA HFT Meetup

Video and files download for Visual trading idea to C++ or FPGA HFT Meetup

File download sample: test model (Matlab 2014b with Visual Studio 2013 C++ project generated)

Powerpoint MATLAB SIMULINK

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Here is the chat log:

 

Chat Log   C:\Users\Bryan\Documents\ChatLog From visual trading idea to C__ or FPGA HFT 2015_04_07 20_52.rtf

 

PatrickT (to Everyone): 6:47 PM: im good thanks, you?

PatrickT (to Everyone): 6:47 PM: yup

PatrickT (to Everyone): 6:48 PM: quentlabs

PatrickT (to Everyone): 6:48 PM: simuling

PatrickT (to Everyone): 6:48 PM: link

Bryan Downing (to Everyone): 6:49 PM: brb

Bryan Downing (to Everyone): 6:51 PM: hello to all

James Hirschorn (to Everyone): 6:52 PM: Yes. I’m not saying much because I’m eating dinner.

James Hirschorn (to Everyone): 6:53 PM: Yes, I think it went well. Thanks!

PatrickT (to Everyone): 6:56 PM: quality of code after matlab generation?

PatrickT (to Everyone): 6:56 PM: in terms of optimization of c

PatrickT (to Everyone): 7:00 PM: ha ha ha

PatrickT (to Everyone): 7:00 PM: O’rly

PatrickT (to Everyone): 7:00 PM: 🙂

Steve Perrott (to Everyone): 7:01 PM: lonely

Steve Perrott (to Everyone): 7:02 PM: Hello to all.

j bates (to Everyone): 7:02 PM: hello

Steve Perrott (to Everyone): 7:02 PM: let her rip

Bryan Downing (to Everyone): 7:09 PM: https://www.youtube.com/watch?v=jRTT2N7E9R8

James Hirschorn (to Everyone): 7:12 PM: I’m hearing loud music in the background.

James Hirschorn (to Everyone): 7:13 PM: Thx.

Steve Perrott (to Everyone): 7:15 PM: Can you get code to export into Metatrader?

Steve Perrott (to Everyone): 7:15 PM: Funny ha ha?

Bryan Downing (to Everyone): 7:16 PM: http://forum.mql4.com/37040

Bryan Downing (to Everyone): 7:16 PM: https://www.mql5.com/en/articles/155

Steve Perrott (to Everyone): 7:17 PM: Yes, Expert Advisor.

Steve Perrott (to Everyone): 7:18 PM: can you pull Metatrader code into Simulink and then back to Metatrader?

PatrickT (to Everyone): 7:19 PM: mql is on c++ i think, so u can make simuling c functions dll and call from mql5

Steve Perrott (to Everyone): 7:20 PM: Yes, once in a DLL it can be called cleanly.

PatrickT (to Everyone): 7:25 PM: 😉 standard warnings

Steve Perrott (to Everyone): 7:26 PM: cost?

Steve Perrott (to Everyone): 7:27 PM: ouch

PatrickT (to Everyone): 7:28 PM: i seen some monthly subs

PatrickT (to Everyone): 7:28 PM: subscription fees

PatrickT (to Everyone): 7:29 PM: so are u paying 20k to do this?

PatrickT (to Everyone): 7:29 PM: ahh

j bates (to Everyone): 7:32 PM: how long have you been using simulink?

j bates (to Everyone): 7:32 PM: ok

 

Paul Cottrell (Private): 7:38 PM: question

PatrickT (to Everyone): 7:42 PM: one need to know how to code anyways…to understand outcomes

Paul Cottrell (Private): 7:45 PM: question

PatrickT (to Everyone): 7:46 PM: anything about model tseting /backtest

PatrickT (to Everyone): 7:46 PM: and scope is dynamic?

PatrickT (to Everyone): 7:46 PM: when live data feed is hooked to model

James Hirschorn (to Everyone): 7:47 PM: In previous meetups we[‘ve had talks on sophisticated methods like genetic programming. Can simulink be used for those kinds of strategies?

Paul Cottrell (Private): 7:47 PM: comment

PatrickT (to Everyone): 7:49 PM: yes thats nice

PatrickT (to Everyone): 7:49 PM: sockets

Steve Perrott (to Everyone): 7:50 PM: And build up a tool box of functions that you can take to new systems.

PatrickT (to Everyone): 7:50 PM: …copy paste work too

Bryan Downing (to Everyone): 7:57 PM: http://www.mathworks.com/examples/product-family/simulink

Steve Perrott (to Everyone): 7:59 PM: looks like you can pull in dials and other outputs into your code

Steve Perrott (to Everyone): 8:04 PM: And still it can be challenging to manage the programmers.

Steve Perrott (to Everyone): 8:05 PM: This would be cleaner.

Patrick (to Everyone): 8:08 PM: what is the cost again?

Patrick (to Everyone): 8:09 PM: Ok. Thanks.

Steve Perrott (to Everyone): 8:09 PM: Or a windows app that can interface with the Metatrader but give a lot of data on the windows screen with the trades on and off in MT4.

Patrick (to Everyone): 8:11 PM: Interesting, there is a course tomorrow online: http://www.mathworks.com/#training

Patrick (to Everyone): 8:11 PM: Curricullum http://www.mathworks.com/services/training/courses/SLBE-G_3_en_outline.html

j bates (to Everyone): 8:16 PM: Your audio is now muffled here.

j bates (to Everyone): 8:17 PM: not just me?

Steve Perrott (to Everyone): 8:17 PM: I hear it too.

Bryan Downing (to Everyone): 8:17 PM: http://www.mathworks.com/company/events/webinars/index.html?suggestion=&q=algorithmic+trading

Steve Perrott (to Everyone): 8:17 PM: gone

j bates (to Everyone): 8:17 PM: Yes

Bryan Downing (to Everyone): 8:18 PM: http://www.mathworks.com/videos/automated-trading-with-matlab-81911.html

Steve Perrott (to Everyone): 8:19 PM: Are you still thinking about a group project to create a system?

Ken (to Everyone): 8:21 PM: Are you trying to create an algo for Karen Supertrader Strategy?

Daniel Howard (Siesta Key, FL) (to Everyone): 8:26 PM: Hey Bry!

Ken (to Everyone): 8:29 PM: If we have confidential trading strategy ideas that we want to share with you, are you signing other people’s non-disclosure agreements or do you have your own?

Bryan Downing (to Everyone): 8:30 PM: http://forex-strategies-revealed.com/

Bryan Downing (to Everyone): 8:32 PM: http://www.futuresmag.com/

Steve Perrott (to Everyone): 8:32 PM: There are more ideas than time to code them all.

Eddie (to Everyone): 8:32 PM: Do you know how much historical data Karen uses to generate her probability distribution to trade her options strategy?

Bryan Downing (to Everyone): 8:33 PM: https://itunes.apple.com/ca/itunes-u/futures-and-options/id490504839?mt=10

Ken (to Everyone): 8:34 PM: https://itunes.apple.com/us/itunes-u/futures-and-options/id490504839?mt=10

Patrick (to Everyone): 8:36 PM: Thanks this is really useful for a newbie.

j bates (to Everyone): 8:36 PM: What fpga board?

Patrick (to Everyone): 8:38 PM: Oh yeah!

Wei Wu (to Everyone): 8:38 PM: why using fpga?

j bates (to Everyone): 8:38 PM: yeah

Steve Perrott (to Everyone): 8:38 PM: I thought it has a lot of potential.

Ken (to Everyone): 8:38 PM: ^ converted !

Eddie (to Everyone): 8:38 PM: contemplating it.. 🙂

Bryan Downing (to Everyone): 8:38 PM: https://www.youtube.com/watch?v=nXFcM1pGOIE

Wei Wu (to Everyone): 8:38 PM: ok

James Hirschorn (to Everyone): 8:39 PM: I’ll look into it definitely.

Eddie (to Everyone): 8:39 PM: is matlab on a subscription basis?

Steve Perrott (to Everyone): 8:42 PM: yes

Eddie (to Everyone): 8:42 PM: yep

j bates (to Everyone): 8:42 PM: nope

Ken (to Everyone): 8:42 PM: yes

Bryan Downing (to Everyone): 8:42 PM: https://www.facebook.com/quantlabsnet

Bryan Downing (to Everyone): 8:42 PM: https://twitter.com/quantlabs

Daniel Howard (Siesta Key, FL) (to Everyone): 8:43 PM: Thanks Bryan!  Good stuff.

Wei Wu (to Everyone): 8:43 PM: sometimes I found that you are posting at 4am, don’t you sleep?

 

Ken (to Everyone): 8:43 PM: Much Appreciated !

Wei Wu (to Everyone): 8:43 PM: no

Wei Wu (to Everyone): 8:43 PM: I am in New Jersey

j bates (to Everyone): 8:43 PM: Will you tweet when you post this video to youtube

Patrick (to Everyone): 8:43 PM: Its great. Thanks Bryan.

j bates (to Everyone): 8:44 PM: great thanks.

Eddie (to Everyone): 8:44 PM: thanks bryan.

Wei Wu (to Everyone): 8:46 PM: thank you Bryan, see you next time.

Bryan Downing (to Everyone): 8:46 PM: see you wei thanks for coing

Bryan Downing (to Everyone): 8:48 PM: http://the-studio-reykjavik.com/blog/2014/12/7/market-armor-by-paul-cottrell-1

Bryan Downing (to Everyone): 8:51 PM: meetup.com/quant-finance

Steve Perrott (to Everyone): 8:51 PM: Thank you Bryan.

Patrick (to Everyone): 8:52 PM: Thanks Bryan. Good Night everyone.

j bates (to Everyone): 8:52 PM: thanks

Ken (to Everyone): 8:52 PM: Cheers

 

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!