Tag Archives: real world

Real-World trading Application of Deep Learning at Industrial Scale

There are some very good tips on ensuring to use clear and established indutry data. It seems you also need to apply business definitions to the your models. You think this could be applied to enterprise wide strategy with these types? I think large High Frequency Trading shops like Sigma Two implement across their own enterprise. This is the definitely the future of trading outfits.

View story at Medium.com

 

 

Have you seen how crypto currency big coins have going crazy in the last hour alone!

#cryptocurrency world is going bonkers with hourly moves of #litecoin up 3.65 %#bitcoin 2.93% #ethereum up 5.94%

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Real world portfolio optimization examples in Matlab with examples and source code?

Real world portfolio optimization examples in Matlab with examples and source code?

There are so many here but just Google Search:
portfolio optimization matlab

This would be interesting to see how it could implement into the Trade Manager software I am looking at
http://www.mathworks.com/discovery/portfolio-optimization.html
http://www.mathworks.com/help/finance/mean-variance-portfolio-optimization.html
http://www.mathworks.com/help/finance/examples/portfolio-optimization-examples.html
http://www.mathworks.com/videos/getting-started-with-portfolio-optimization-68762.html
http://www.mathworks.com/help/finance/portfolio-class.html
http://www.mathworks.com/help/finance/portfolio-optimization-theory_bswiwm6-1.html
http://www.mathworks.com/help/finance/portfolio-optimization-functions.html

http://apps.olin.wustl.edu/faculty/Ringgenberg/index_files/Matlab_Port_Opt.pdf

Applied Portfolio Optimization with Risk Management using Matlab

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Real world Risk management examples? Yes in Matlab with webainar and source code

Real world Risk management examples? Yes in Matlab with webainar and source code

This should merge wise with this Trade Manager we are looking at

Just Google search: risk management matlab

http://www.mathworks.com/discovery/financial-risk-management.html

http://www.mathworks.com/solutions/financial-services/risk-management.html

Applied Portfolio Optimization with Risk Management using Matlab

http://www.crcpress.com/product/isbn/9781439835944

http://www.mathworks.com/discovery/energy-trading-and-risk-management.html

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Download my charts to see how my automated scripts can generate a real world snapshot of the American economy for trading forecasting

Download my charts to see how my automated scripts can generate a real world snapshot of the American economy for trading forecasting

This is in relation to my trading scripts which generate these charts

https://quantlabs.net/blog/2014/10/automated-charts-show-the-true-economic-idea-long-short-pairs-potential-for-idea-in-spread-trading/

Download my scripts hereAmericanCharts

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Is this the best book for DOTNET for FSharp? Real-World Functional Programming: With Examples in F# and C#

Is this the best book for DOTNET for FSharp? Real-World Functional Programming: With Examples in F# and C#

This is the  most receommended books to read as an intro to the F# language

http://www.amazon.co.uk/Real-World-Functional-Programming-With-Examples/dp/1933988924/ref=sr_1_4?ie=UTF8&qid=1406303825&sr=8-4&keywords=F%23

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Genetics programming does not work from my POV regardless of what academics it but what about profitable real world trading

Genetics programming does not work from my POV regardless of what academics it but what about profitable real world trading
From a fellow subscriber:
Jonathan Kinlay is using it, Eugene Durenard is using it and I’ve spoken with a few professionals lately who seem to be leveraging the approach as well.
They are making use of high performance computing for idea generation and applying mathematics/statistics to avoid curve fitting.  To me it seems like the natural way to evolve and rapidly test ones ideas.
You will often hear people say that if GP works than why aren’t all academics rich?  I disagree.  I think that in order for GP to work one has to be smart in how you apply it.
Anyhow, that is my opinion what is your?
I personally believe this does not work outside of genetic programming
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Revealing trade secrets in building an amazingly ultra fast REAL WORLD HFT system in Microsoft .NET C#, Mongo DB NOSQL, ZeroMQ, etc

Revealing trade secrets in building an amazingly ultra fast REAL WORLD HFT system in Microsoft .NET  C#, Mongo DB NOSQL, ZeroMQ, etc

After spending about 7-8 hours in the last few days on an amazingly fast demoed HFT capable system, I am easily impressed to mimic the technology chosen for it. The person who is a real world top level quant showed this to me but I am not going into great detail here. I need to really to thank him for this demo as it once again, prevents me from going down hundreds of rabbit holes I have gone down over the last two years.  The Matlab Simulink model code generated DLL will still  play an important role in what is being discussed below.

Here is the comparison between Visual C++ and .NET C#.

http://www.codeproject.com/Articles/212856/Head-to-head-benchmark-Csharp-vs-NET

I plan to use C# for the following logic with a solid in memory database and message queuing. The maintainability of C# is much easier than C++ but make sure you use the correct data type for collection for speed. Please do not engage on Java 7 with its latest headline news of insecurity where my confidence is pretty well shaken.

As this system is to deployed on to Windows, Redis does not offer any official support on Windows. Depsite Microsoft’s port, it does not seem to be production ready which is kind of too bad. Redis does have a nice pub sub model with clustering capabilities but after my counterproductive debacle in Linux, I find I really want to stick with WIndows.

Because there is no real Redis offering for Windows, I am going with MongoDB. Here are some decent tutorials in C#:

http://stackoverflow.com/questions/7272967/any-good-tutorials-for-the-offical-mongodb-c-sharp-driver

How to install MongoDB on Windows:

http://docs.mongodb.org/manual/tutorial/install-mongodb-on-windows/

The secret sauce in making this platform fast is your schema but I got that inside scoop for my Premium Membership.

I like CodeProject.com stuff.

Here is ZeroMQ is the choice of messaging libraries:

http://mikehadlow.blogspot.ca/2011/04/message-queue-shootout.html

http://serverfault.com/questions/80679/how-to-pick-between-rabbitmq-and-zeromq-or-something-else

http://stackoverflow.com/questions/7921324/performance-comparison-between-zeromq-rabbitmq-and-apache-qpid

http://www.zeromq.org/intro:get-the-software

As you can imagine, these tips are part of the inside scoop of REAL WORLD HFT system from the most experienced and intelligent quant I have seen. As  a result, I will be following the above tips as of today to implement. Do note that is this works, I will for putting my QuantLabs.net Premium Membership at the high end considering all the source code being supplied both from this platform and future models/strategies.

In the end learn how I plan to implement this ultra fast HFT system.

OR JOIN THE MEMBERSHIP NOW 

 

 

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My Youtube Video HFT demo of c++ and r with rinside and real world market historical and tick data from IQfeed

My Youtube Video HFT demo of c++ and r with rinside and real world market historical and tick data from IQfeed

http://quantlabs.net/membership.htm

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This Monday Sep 25, learn how to capture real world market time series data instantly from a popular affordable data provider

This Monday Sep 25, learn how to capture real world market time series data instantly from a popular affordable data provider

Hi

Starting this Monday Sep 25 at 6 PM Eastern Standard Time is our first Premium Membership webinar for my R script I wrote last weelk. This webinar looks like the most in demand which includes

 

How to capture market data fast with an affordable service:
Using my third party software, I can easily capture over 9 years of market data under 10 seconds. This is also using the most popular, reliable and affordable data service out there. I will also show how to set up the data so your analytics software can instantly import data. I demo all this within the popular R statistical programming language. I can also show the various package options you can get from my data providers which includes Forex, CME, and major stock exchanges.
Note: You will need access into the membership to get access to this webinar!

Get the entire schedule here with all Member events in yellow:

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

Get in on this action now by joining the membership by going here:

 

See you on other side

Bryan

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Real world comparison of Monte Carlo Gibbs simulations for HFT between C, C++, Java, Python, R, Scala, and Groovy?

Real world comparison of Monte Carlo Gibbs simulations for HFT between C, C++, Java, Python, R, Scala, and Groovy? Surprised on the winner?

This is the closest real world comparison I could find. I think what is written is dead on! It seems Python with PyPy is a good choice but has little library support. Java is nearly as good as C so I have no point in relearning new languages like Groovy, Python, or Scala. They are not that popular in the banking world anyways so for career move that could be a time waster. There was a mention of using R for prototyping and extending through Java or C++ with R packages like Rcpp or RCppGSL. It looks impressive.

http://darrenjw.wordpress.com/2011/07/16/gibbs-sampler-in-various-languages-revisited/

The R with Rcpp and RcppGSL looks like promising too.

http://dirk.eddelbuettel.com/blog/2011/07/14/

I might go this route so we shall but posting definitely help out. Java with R is another very good option with Rcaller.

 

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