Tag Archives: Member

Youtube video of Quant member demo with Matlab C++ Microsoft .Net C# Java R HFT models algo trading strategies and way more

Youtube video of Quant member demo with Matlab C++ Microsoft .Net C# Java R HFT models algo trading strategies and way more

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quant members choose well

Latest testimonial from Quant Members. Coming down to the wire for LAST CHANCE for the lowest DISCOUNTED rates EVER

Hi there
I really hate doing this but here we go:
You got 24 hours until the NEW QuantLabs.net Membership rates kick in. This takes affect sometime on Tues morning of Jan 15. So be forwarned! I also posted a great supportive member testimonial to show the true value of this. As a result, get your LAST CHANCE discount now. This will be the cheapest rate EVER for the membership moving forward. 
Remember: The rate does go up 50%. This is not a typo!
1. Amazing testimonial from QuantLabs.net Premium Members posted today. Big thanks to them and their support!!!
…If you are creating C++ modules from Matlab, it should be quite easy to develop .NET “appliances” or “bots” to perform various advanced functions (add-ons which traders want very badly but cannot get or cannot afford) useful for enhancing the capabilities of any data/broker platforms which support .net. HUGE market for your memberships…
2. 2 videos of Moving Average conversion to C++ and full HFT update! New trading model API!
3. Music to my ears message for MATLAB Coder from M script to C++: coder(‘-build’, ‘Algo Trading.prj’) Code generation successful
4. Potentially BIGGEST social quant finance and R Matlab user Meetup yet reservation set for Monday nite!
Lastly, if you want it, now is the time to get it.
Thanks either way,
Bryan
P.S. Choose well my friends,choose well.

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For Members: Trading platform with Matlab, C++, C#, Interactive Brokers. and IQFeed update video posted for Jan 9 2013

For Members: Trading platform with Matlab, C++, C#, Interactive Brokers. and IQFeed update video posted for Jan 9 2013

Again this is for QuantLabs.net Premium Members only

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Quant member asked a series of questions in this new HFT testing system done in Matlab

Quant member asked a series of questions in this new HFT testing system done in Matlab

A new QuantLabs.net Premium Member asked a series of questions in this new HFT system

Brian,

So after watching most of the videos you have on youtube yesterday;
which is the more efficient way to connect to IB?  C++ or JAVA?
–> C++ for sure. I will be demoing my complete system in coming weeks which everyone will have access to the source and everything. I also do Matlab.
I come from the Point+Click (TD Ameritrade / Fidelity) way of doing
things and want to get on board with HFT.  I have no prior programming
experience, except for taking a 1 semester course on Matlab in
college.  I am new to this and starting from scratch will learn what I
have to in order to take advantage of the entry points I see on a
chart.
–> I hear you but the system will automate all this. Matlab is very easy to work with.
From talking with IB, who are not people that do not like to hold
your hand, I understand that the optimal way to connect to their
servers is FIX.  The throughput is 3x as fast. Where I am at now is do
I connect to their servers through the IB FIX client or go to an
extranet provider like Savvis?
–> The system will be able to connect to IB via FIX but I will start with the connection through their TWS. You get much better support for newbies.
From there I will need to assemble and execute my strategies based
upon streaming by the second tick data.  I noticed that in Matlab you
can connect eSignal/Interactive Data and IQ Feed right to Matlab,
through the Datafeed toolbox, how efficient this is; I don’t know.
Trading equities I want the system to be able to recognize entry &
exit points from RSI & MACD studies, to name a couple.  I don’t
believe that filtering through 16,000 symbols is something that Matlab
will be able to do and I will have to go to another method……

Can you point me in the right direction??

–> I am on working on all the above in coming weeks so stay tuned. I am using IQFeed for my data provider. I have some code already posted to help there but I should have something together in coming days.

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From Qaunt Premium Member, the truth of open source vs money sucking proprietary software like Tradestation or Multicharts

From Qaunt Premium Member, the truth of open source vs money sucking proprietary software like Tradestation or Multicharts

 

This is a series of queries for:

Big announcement as I move back to Matlab for my quant model and trading strategies instead of R for my custom HFT 

 

 

Queries are below followed by –>

 

Bryan:

Once you have the C++ translations for analysis modules, can you use Scilab and/or Octave? Can Scilab generate translated modules? I believe particularly Scilab has a lot of recent effort put into it so it can integrate Matlab code and toolkits.
—> The end system is all done in C++ where the Matlab M script code is converted thanks to the  Matlab Coder toolbox. I will drop that C++ into my HFT platform.
The rest of this email, is just FYI,  some background to inform you about my particular personal interests and experience.

I am not at all sure if there is any good way to integrate with R though, even though I am aware that many traders’ analysts are rallying around R, whether the traders wear both analysis and trader hats at the same time, or are working as teams dividing the specialities among partners. I am still in Stone Age struggling with TradeStation for historical data and Multicharts for “dot net integration” to be able to use the legacy Easylanguage file writing of compressed data sitting around in various traders’ old backup TradeStation caches becoming no longer readable with new TS versions or Windows operating systems. But new traders can save tens of thousands of dollars sharing those old caches between others who just happened to save them. Many of these historical tick data can be found in forums on the internet already.

–> Tradestation is propietary which I am not a fan of. I like to work with things that are not so black box. R is fine but it does not quite live up to tick by tick analysis in real time. You can easily generate your own tick files thanks to IQFeed.net. http://www.youtube.com/watch?v=Ry7igGVN1uQ&feature=plcp

So why spends of thousands of dollars?
Isn’t it suspicious that the proprietary trading platform developers and sellers do not willingly encourage or even allow even simple ASCIII file READING of the same files they are easily capable of writing???

 

–> See that Youtube video above to have your mind blown.

The database work you are doing is fascinating, but the trader I am working with recently in New York by Teamview still has faith in the stored up caches of TradeStation tick data sitting around which I think will soon be almost impossible to gather, maintain, and read if it is not translated and recorded in a less proprietary format. I still am trying to find more time to study your data base proposals soon.

–> There is no proprietary technology to the above video. It is live tick by tick or  a any frequency historical data you can generate on your free will thanks to IQFeed

But I still have to spend time babysitting TradeStation, Multicharts, and Interactive Brokers accounts while I try to learn the more flexible escape routes from proprietary platforms without losing use of proprietary software I accumulated over many years.

 

–> Wow! Unfortunately you are getting left behind my friend. Programming will be a critical in the ‘next generation of trading’. Most of what I do is based on FREE open source technology but the only thing holding you back is learning the languages.

In terms of what kinds of data analysis I am interested in, it is mostly signal processing, as my background is electrical engineering, and I have for many years studied filtering, neural networks, audio technology which involves a lot of filtering.

 

–> Most strategies I am working on generate those signals but this video will change your views on how to trade in the next generation of software

Pretty cool huh?
I particularly like the java coded constraint-based filter design work in differential evolution by Rainer Storn, ( I own source code license)  the Singular Spectrum Analysis work by N. Golyandina et al. of Gistat Group,  the Biocomp software by Carl Cook, and the neural network tools by the late Steve Ward for all of which I have long ago paid up licenses. Most of these  are trading-oriented filtering and mapping tools useful for time series decomposition , compression,  and reconstruction.  Some I have seen no substitute yet in open source, others are just becoming available in R, Octave and Scilab. Of course, Matlab has been way aheadfor a long time, but I was hoping to escape the large matlab fees which I now am too “small” to afford…..

–> Sure I hear you on the costs of Matlab but fortunately for my Premium Membership will make these C++ generated strategies available for my members. People in the future will be paying thousands for these. Once I get past the development of my HFT platform, it will open this world very quickly. Remember I can use R but the previous video will show the bottlenecks with R which meant I had to resort back to Matlab for the Coder toolbox.

 

These tools will be quite useful for pre-processing historical data into a form useful for saving a lot of time now wasted in re-processing history redundantly in the proprietary platforms.  Better ( IMO, personally) to have available a “library” available for instant look-ups to determine what state a market is most probably in so  intelligent choice of current trading strategy does not have to always be repeated from scratch analytics. State change time and price-action intervals with useful repetitive persistence attributes are visible using these tools ( in retrospect) down to the minute, or even single tick in history for quick easy reference. This will be valuable time, equipment, and screen real estate saver when trying to pin down and classify causal evidence of state changes later. Many of these are quite simple in nature, thus useful for simple strategies, such as “what are  typical retrace ranges of this instrument ? , and how longare they likely to persist, and why, because what intrinsic and extrinsic events are probably the state change correlated causes?”  Being able to quickly relate quantifiable events outside of price data observation alone, especially scheduled events, to quantifiable persistent price activity behavior and its periodic change events is one valuable and essential approach in the toolbox. Isn’t that why traders call people quantifying, classifying, and identifying market state changes related to “events”……. “quants”?
–> Many people can use whatever type of analysis but the pro toolboxes from Matlab enable me to bang out stuff pretty quickly or at least test it within Matlab

 

Best Regards,
MR X (member  trying to find more time to follow your work, and escape from proprietary software platforms)

P.S.
Thanks for your invitation on Linked In! Am looking forward to correspondence more in future, and your opinions about my own points of view.

 

–> No worries as things will get more exciting after the HFT platform proves itself. Thanks for being a Member, it is guys like you that enable me to continue what I do.

 

So JOIN NOW so you don’t get left behind.

Memebership benefits listed

Or join my free newsletter for more info

 

 

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Upcoming Premium member webinars and new Google Android apps coming!

Upcoming Premium member webinars and new Google Android apps coming!

This was sent to all my Premium members today!

Hi to all:
I am letting everyone know about the Premium webinar events for you my QuantLabs.net members.  These include:

Sep 25;

Live event online demo: How to capture market data fast with an affordable service provider.

 

Oct 9:

 

Parallelize your R analysis big data and use open source NOSQL as a potential market data repository

 

Oct 16:

 

Live demo event: How to automatically best fit R model and implement ARIMA, AR(p,q) ARMA autoregressive simulation against a time series

 

More will be scheduled after mid Oct but do let me know if you want to do a private General Q&A for you.

 

All events listed for Premium Members are available with detail. All Premium Member events are listed in yellow.

https://quantlabs.net/blog/complete-calendar/

Please login to the member area to get access to the GotoMeeting login details. These will be listed under Webinars.

 

Lastly, be on the lookout for Google Android mobile apps being posted on the Play store soon.

 

Thanks

 

P.S.I will be moving this member list to another server so you may get a question to double opt in to continue receiving these as a member. Also,  got questions or comments? Let me know.

GET ACCESS TO THESE WEBINARS NOW!

 

 

 

 

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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!

A complete Q&A from a potential quant member about Detlix, back testing, ticks, strategies, and trading platform

A complete Q&A from a potential quant member about Detlix, back testing, ticks, strategies, and trading platform

A potential member and visitor asked the following:

(Answers followed by my ->)

Writing this email to check some assumptions and ask some questions.

 

Am a rather new trader with math and 15 years of complex software

development.

Looking to become a profitable trader both discretionary and automated.

 

Very interested to use models you talk about on the site.

Looking to put some money to work.

Not afraid of hard work but must be profitable and not do it to satisfy

my software development and self education thirst.

 

–> Sure we want all that but no one can ever guarantee profitability

 

Would you say one can be profitable with the strategies and models your

group uses?

Are there such existing strategies that bring profits now?

 

–> I am about to start this analysis but this will take weeks (or months) but again, no one can ever guarantee profits. As profits prove themselves, it will add value to my membership which will then result higher monthly rates

 

Would you say they are production ready and able to trade real money?

If not then what does it take to take them there?

 

–> everything is production ready but again you will need to optimize the strategy code to your liking and trading goals. What I show is a foundation for now. My private member only webinars will show how to do this

 

Can you please tell me more about your business goals so I can better

gauge how I’d fit and help?

 

–> Like everybody profits but I am going slow and steady to understand each step of the way in great detail

 

More questions below if you care to answer them.

 

Thanks

Nick

 

1. Have you used NinjaTrader? I have some indicators useful for my

discretionary trading and would like to

reverse engineer & port them to a platform with better back testing

support.

Can you do this (reverse engineering) or others in your group?

–> I don’t use other platforms after long time learning, I would recommend working with your chosen broker’s API instead as that will save time in the long run

 

Not very sophisticated: fib lines, ATR based trend indicators, etc.

 

2. Do you use advanced strategy development tools like alphacet and

deltix?

 

–> I have been offered these but I am not interested in anything blackbox

I am looking at Deltix and it is pretty awesome.

Would you care to consider it for the group? (we’d share the costs)

–> I am not sure if this can be done in terms of having 70+ members sharing one license

 

Costs a lot per month due to expensive tick based data feeds but feels

very powerful.

 

3. What kind of strategies and models do you use?

 

– trend following

– counter trend

– breakout

– order-flow based

– tick data based

– volume based

– sentiment based (like ravenpack)

 

–> most will be quant based but the focus will be in order of priority of the results of this

http://quantlabs.net/surveys/2012/06/29/what-financial-forecasting-model-type-do-you-focus-on-within-r-or-other-statistical-tool/

 

If not then you interested in the above?

 

4. What data feed you use?

Tick or not?

 

–> both put prefer tick for live analysis but back testing needs bar

 

5. What backtesting tools, data feed and practices do you use?

–> I will be using parts of an open source HFT platform which has this in an automated way

 

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Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA

Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA

Questions from a member:

I reviewed the links. I see all literature its about stocks…. Are
there some examples with R code with Forex for cointegration?
Why Lmax is candidate to forex trading? What do we look for in broker
for be candidate to hft ?

My answer:
These should work for forex. I will posting some links on arima as a model type. This is the most popular type of modeling on a recent poll I did. Lmax does not manipulate your odrder so they are market neutral. This is what you look for in a broker. I hoped this helps

More questions from the same member:
Thanks, I wait for your posting, how many periods do you check wiht arima? Wich time frame ?
Source feed is yahoo? Thanks

My response:
I am probably going to use 1 min bars but you could easily use ticks if you want. My source is IQFeed but Yahoo can really only be done with End of Day if you want free data.

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More reasons why a new QuantLabs.net Premium member like our quant membership to learn high frequency trading

More reasons why a new QuantLabs.net Premium member like our quant membership to learn high frequency trading

Just got this from someone who joined yesterday:

I still very much like the great work you are doing trying to scout out ways to integrate
analysis available in academic journals with brokerage and data source interfaces.

The proprietary guys almost (so far, at least) always seem to get executive orders from above to withhold certain critical parts,
like reading text and data files…..
Or using competitors’ data or brokerage services!
Or ability to scale up by adding more computers, software package “instances”, bandwidth, and storage.
Or ability to fix certain serious bugs by contributing a tiny bit of hard work in exchange for a lot of other people’s hard work.

Join now to learn all this stuff!

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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!

Get our benefits and advantages in being a Premium member to learn HFT, Strategies, Quant, etc

Get our benefits and advantages in being a Premium member to learn HFT, Strategies, Quant, etc

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

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!