Tag Archives: Implementation

Starting the forex aka FX implementation but…

Starting the forex aka FX implementation but…

I am going dark here and this is why:

I have gone overkill on this futures and options strategy overview from this UC Davis course, it is now time to start analyzing the FX (foreign exchange also known as Forex). Here everything is critical as another way to make some decent cash. I plan to implement behind the scenes without revealing sources where this info comes from. I will just talk/teach the GENERAL trading overview. I need to maintain my trading edge over others are you can imagine. This may take a while but I do plan to implement the data loading/calculating with both Python and C++. It just depends on the convenience I need. So again, I don’t plan to share this with anyone as I will just showcase the data analytics that come from it. This is just another reason not to explain it publicly anymore. Let the trading platform gurus show you that as I have given up on that a while ago.

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Java connection pool party implementation

Java connection pool party implementation

How to make multi connections into something to serve something up

http://www.codeproject.com/Tips/1082280/Connection-Pool-Implementation

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Fast C++ implementation for order book HFT

Fast C++ implementation for order book HFT

This is a decent article on applying the order book in an efficient C++ implementation. The authors does the same with calling Matlab charts as well. I may explore this blog further

Limit Order Book Implementation for Low Latency Trading (in C++)

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Python implementation of the NASDAQ ITCH 4.1 specification

Python implementation of the NASDAQ ITCH 4.1 specification
From Chris Reeves: 

This is a python (2.6) implementation of the NASDAQ ITCH 4.1 specification.
The spec can be found at http://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf

This is meant to be an educational project. While this can process about 8
gigs (on my quadcore anyways) in a little over an hour, the message queue 
just is not fast enough to handle the information to make nanosecond speed 
decisions. I still hope that it can serve as a guide to how ITCH data is 
received, and allow users to test ideas based on historical information.

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Great video series on Linux Kernel programming for those serious about high frequency trading implementation

 

Great video series on Linux Kernel programming for those serious about high frequency trading implementation

For those that don’t know about Linux Kernel programming, this is an excellent series of videos explaining it for the little. Many HFT shops are doing this for their trading operation. Don’ t forget Matlab has the capability code generate clean efficient code through the Matlab Coder or Simulink Coder toolboxes.

Also note about Matlab: Matlab & Simulink are fantastic development environments and the code generation is top drawer..there is no doubt about that. If you want to add more determinism to your code, look into using rtwintgt (real-time windows target) in Matlab.

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And so on…many other examples in this decent video series

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Where we go with Matlab Simulink withSQL Server and Windows Server 2012 implementation for market data and lowest latency HFT

Where we go with Matlab Simulink withSQL Server and Windows Server 2012 implementation for market data and lowest latency HFT

 

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This cam in form a Premium Members:

> Bryan, hope you do very well

> IQFeed, yahoo etc are too slow

> when i load many symbols, matlab seems to experience memory related problems?

>

>             * what’s the status of the previous database project you mention to

> ‘hook’ subscribers please?

>             * any progress since then?

>

> its my biggest hassle, think true for most subscribers

First of all, I would NOT recommend importing a ton of data into Matlab. I have tried 4 million observations in a time series which can slow down the system. I only recommend take a small subset of that data as in 100000 which should be fine for prototyping purposes. I am sure you know best. Anything more would probably will be overkill. Also, depending on my result this week, I am hoping to get a world class trading HFT system in place to do the importing of real time data and execution of orders. If not, I will fall back onto Tradelink which I am have confirmed recently for capturing IQFeed data and Interactive Brokers. Refer to the end of:

In summary, all Dukascopy and LMAX is no use due to funding requirement or technical limitations. As a result, I will be continuing with this theory of using Matlab and Simulink to generate the DLL as I have demoed in Feb. Also, this post below also confirms Tradelink can be used to execute trades from the Matlab/Simulink model DLL. This looks like how it will play out.

Is it me or is Interactive Brokers starting to go downhill fast for trading? Go into the dumper?

Interactive Brokers is the only option I have here in conservative Canada despite the headline. I hope to scale up to a better broker or even potential exchange like LMAX if the trading results improve in the long run.

The combination of IQFeed and IB should be fine for the small player but the development stack should be sufficient to scale up to a software solution which is better.

As for the database, I just posted this using Windows Server 2012 and SQL Server but those are really early days.

Can you predict markets with Big data, Hadoop, Microsoft Windows Server 2012, and SQL Server with data streaming?

As said, this stuff will be put on the backburner for a while as I need to focus on the profit potential strategies with Matlab, SImulink, and Stateflow. I will then hopefully implement the Windows Server 2012 and SQL Server at a later date. It is not the priority right now.

I do also find Linux just to be to counterproductive for me as there are too many bugs, dependencies that get broken, a flippant community that really does NOT help you succeed, no commercial support, no standards, and worst of all the 1970s era like command line. In this day and age, Microsoft has gone to great lengths to make Windows Server 2012 secure and stable. Most of all, it seems to be quite easy to use but this just speculation of course until I start playing with the platform.  I can easily say Microsoft has been very good to me and the groups I run.

I hope this helps.

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Working on FIX implementation for Matlab Simulink model of inflow of simlulated market data and executions of trading market orders

Working on FIX implementation for Matlab Simulink model of inflow of simlulated market data and executions of trading market orders

I do believe I have somewhat figured out how to do the inflow for my potential Simulink model. From the working models I have seen it just reads a simple text file to read into the Matlab workspace. The model works off that.

I am now looking at incorporating an open source implementation of FIX for both inflow of market data and outflow for execution of the orders. I hope can work something out. This will be the role model to more fowards with as I then just focus on the Simulink models for the algos and trading strategies. Again, this is not for live trading but just a simulated mode as I can generate the C/C++ or FPGA HDL code for a live platform.

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Quant analytics: Pros and cons of k-means and k-means++ algorithm? also provide me the implementation of these two algorithm?

Quant analytics: Pros and cons of k-means and k-means++ algorithm? also provide me the implementation of these two algorithm?

 

==

The basic k-means approach has been faulted for the placement of the initial cluster seeds and a number of researchers have demonstrated circumstances under which the default procedure will produce a sub-optimal cluster solution.

To address this, a number of alternative methods (including k-means++) have been proposed to generate initial seed placements that yield more optimal cluster solutions.

As for “pros” & “cons”… the “pro” is a more optimal cluster solution (although how much ‘more optimal’ varies greatly depending on your data)… the “con” is the additional effort required.

A nice overview & comparison of 11 different k-means seeding techniques on 9 different data sets can be found here (and k-means++ is method 10):
http://www.public.iastate.edu/~apghosh/files/IEEEclust2.pdf

 

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All models are now complete with implementation! They should be part of the daily Matlab rotation starting today

All models are now complete with implementation! They should be part of the daily Matlab rotation starting today

This is a big deal. I will have a total of how many new models and algos will be included in this service only available to Premium Members.

http://quantlabs.net/membership.htm

 

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Quant Development: Design and Implementation of a High Performance Financial Monte-Carlo Simulation Engine on an FPGA Supercomputer

Quant Development: Design and Implementation of a High Performance Financial Monte-Carlo Simulation Engine on an FPGA Supercomputer

http://www.see.ed.ac.uk/~s0787821/fpt08.pdf

 

==

FPGA’s are handy for high performance implementation of other not-very-obvious computationally intensive algorithms — for example, sophisticated scheduling (such as using time/utility functions and utility accrual-based optimality criteria — Google Scholar is your friend, or go to my web site).

 

 

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