Tag Archives: market data

Nanex is providing market data for HFT Flash Crash Equity Failures in 2006, 2007, 2008, 2009, 2010, and 2011

Nanex is providing market data for HFT Flash Crash Equity Failures in 2006, 2007, 2008, 2009, 2010, and 2011

http://www.nanex.net/FlashCrashEquities/FlashCrashAnalysis_Equities.html

Thanks to the NYC contact for sending this

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IS TeaFiles and DiscreteLogics a decent cheaper alternative to SQL Server 2014 with market data internal memory for time series analysis?

IS TeaFiles and DiscreteLogics a decent alternative to SQL Server 2014 with market data internal memory for time series analysis? It is obviously more affordable for most people as well.

This was spawned by a comment at

https://quantlabs.net/blog/2014/02/automated-trading-system-debate-of-internal-memory-database-vs-relational-database-like-sql-server/

This works with all the popular programming languages like C#, C++, Python, R, and Matlab. Exciting as it is quite affordable as well.  It is obviously more affordable for most people as well.

http://discretelogics.com/

Let me know what you think.

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SO what is exactly is a tick when in comes to the stock market data and HFT?

SO what is exactly is a tick when in comes to the stock market data and HFT?

A question from a newsletter subscriber:

 

Bryan, a very simple question…. what’s a tick?

Is it a movement of a tick/pip that has the various associated volume metrics attached or is it a simply price change within the underlying instrument?

 

I think you answered your own question but I watch my ticks at subsecond.

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Improved CSharp DotNet WinForm with live IQFeed market data fed into potential quant trading strategy or model

HI there

Another source sample was just posted:

Improved WinForm with live IQFeed market data fed into potential quant trading strategy or model

https://quantlabs.net/blog/2013/10/improved-winform-with-live-iqfeed-market-data-fed-into-potential-quant-trading-strategy-or-model/

Thanks to the London Quant for doing this. It ensures thread safety in the code to make it more stable. Did I say the source code is included for my QuantLabs.net Premium Members?

So what you waiting for? There will be a lot coding samples like this included. So:

–> JOIN NOW <—


Many benefits listed here.

I hope you have a profitable trading day.

Bryan

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Working demo of primitive model with real time market data to calculate quant and submit market order

Working demo of primitive model with real time market data to calculate quant and submit market order

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Is SQL really too slow for real time market data with equity, forex, and options? Even complex event processing?

Is SQL really too slow for real time market data with equity, forex, and options?  Even complex event processing?

From a Youtube visitor

To:Bryan Downing

SQL is too slow to handle options tick data if that’s the road you’re headed down. Something you might want to test out before you get too deeply involved. Options data is much heavier than equities data.

Yes this is quite possible but I have been extensively testing this. I am reporting these results to my QuantLabs.net Premium Members. I am finding this is not the case but I still need to put it through a real world all day test with real market data. So far, it is enouraging with SQL Server and Stream Insights for the complex event processing.

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See how fast Microsoft SQL Server with StreamInsight to retrieve over 1.2 million market data ticks

Hi there
See how fast SQL Server with StreamInsight to retrieve over 1.2 million market data ticks


https://quantlabs.net/blog/2013/09/see-how-fast-sql-server-with-streaminsight-to-retrieve-over-1-2-million-market-data-ticks/

At first when I saw this, I was very excited to see the results. After talking to the London Quant, it appears that further tests are needed to get see if this is the correct architecture to go with. I will release the results in coming days as I piece all this together. Stay tuned as this could be a good week.
Just a friendly message,
Bryan
PS. Remember my QuantLabs.net Premium Membership days for the public are now numbered!


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Further info here.

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Free Matlab? Free Morningstar market data? $105 million profit? How?

Hi there

This has turned into a great week to start with in my strategy development

1. Wow now I can get Morningstar data. Neat!

How to get free MSN Money with new data source with Morningstar newsfeed through XLQ and Excel for dot Net
https://quantlabs.net/blog/2013/06/how-to-get-free-msn-money-with-new-data-source-with-morningstar-newsfeed-through-xlq-and-excel-for-dot-net/
2. Challenged by the high expense of Matlab. We are working on packaging up deployable .NET packaged DLL files for various trading strategies and algos for your platform. All scripting generated from Matlab.
How to get access to your FREE headless version of Matlab to interface with Java or Microsoft .NET C#?
https://quantlabs.net/blog/2013/06/how-to-get-access-to-your-free-headless-version-of-matlab-to-interface-with-java-or-microsoft-net-c/
3. Can you really do this? If you watch it, you would become a believer after these videos. Let me know what you think.
Can you really earn over $105 million in profit in 5 fears by trading options and futures with 2 new hedge funds?

https://quantlabs.net/blog/2013/06/can-you-really-earn-over-105-million-in-profit-in-5-fears-by-trading-options-and-futures-with-2-new-hedge-funds/

Imagine the potential. It is quite huge. I am feeling pretty excited about this direction especially the new data sources I have figured out. With the power of Matlab, you can do some pretty cool things.
It is just over one week away before I close out the current promotion to get $697 in FREE courses from my new Academy.This is a great chance to get access to them by just being a new QuantLabs.net Premium. There are so many benefits! You have until Monday June 30


–> JOIN NOW FOR INSTANT ACCESS TO LEARN THESE ACADEMY COURSES <–

Here is a complete list with videos:


http://quantlabs.net/academy/buy-all-our-courses-in-r-matlab-quanthft-and-trading-software/

Many many Membership benefits listed here:


http://quantlabs.net/quant-member-benefits/

Hope you like all this neat stuff
Thanks Bryan

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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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No MYSQL database needed, use Matlab Datafeed connector with FREE Yahoo or IQFeed for market data for SImulink trading model

No MYSQL database needed, use Matlab Datafeed connector with FREE Yahoo or IQFeed for market data for SImulink trading model

Now it appears I actually don’t need a database connection like MYSQL. I can just use the Matlab Datafeed Toolbox using IQFeed or Yahoo as a source. You can also use Bloomberg or Reuters as another set of options as well. It just depends what you can afford. Of course, this will get ‘streamed’ in to a Matlab workspace matrix much easier with one less layer like a database. Crap, why did I not just think of this earlier? Also, we can worry about integrating the code generated c++ Simulink model  with the IQFeed APi. Let’s just some simple trading models built with Simulnk first shan’t we?

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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!