Algorithmic Trading Algorithmic Trading Algorithmic trading (also known as Black-box trading) - computer-guided trading, where a program with direct market access can monitor the market and order trades when certain conditions are met. As of this writing (2009) probably ~40% of all trades are done this way. As computers eventually has beaten people in chess, it is expected that the same will happen in investing. Algorithmic trading is usually performed on a relatively short-term basis (from thousandths of a second - to seconds, minutes, hours, days). Direct Market Access (DMA) today is provided by many brokers, thus making Algorithmic Trading possible to even small investors. The benefits of algorithmic trading: There are many kinds of algorithms, tactics and strategies of algorithmic trading. Algorithms can be based on price, volume, timing, etc. Important 2 books: More good books: Journals: websites: Problems: Causes of latency:
Starting Python Development on Windows These are some notes on starting Python development on Windows. Installing Python First, download the latest version of Python from the official Website. The Windows version is provided as an MSI package. To install it manually, just double-click the file. The MSI package format allows Windows administrators to automate installation with their standard tools. By design, Python installs to a directory with the version number embedded, e.g. Typing the full path name for a Python interpreter each time quickly gets tedious, so add the directories for your default Python version to the PATH. C:\Python27\;C:\Python27\Scripts\ You do not need to install or configure anything else to use Python. Briefly, the default Python package automatically provides you with: The Python runtime An interactive shell (use the menu icon, or type python in a command prompt window) A basic IDE, called IDLE A large standard library, along with documentation An extensive tutorial, to help you get started Essential Tools
Boost C++ Libraries User’s Guide — PyTables 3.2.2 documentation Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: a. Redistributions of source code must retain the above copyright notice, this list of conditions and the following disclaimer. b. c. Front Office, Middle Office and Back Office The front office is literally the bank's interface with the market. The front office coordinates and handles all the needs of the bank and its clients with respect to hedging and financing. Investment, position management trading, arbitrage Front-Office information systems : Electronic listing and trading systems Position-keeping systems often specialised for certain financial instruments (derivatives, fixed-income products, stock markets, etc.) The middle office, located very close to the front office, ensures the control and processing of transactions. The back office monitors the post-market processing of transactions: confirmation, payment, settlement and accounting. On all levels, the efficiency of the information system is defined by its ability to process transactions automatically and in a secure manner: the byword is STP (Straight Through Processing): the transaction is processed straight through.
Real Time Market Database by ModulusFE The Real Time Market Data Server by Modulus Financial Engineering The perception of speed is relative to the perspective of the observer. -- Unknown RMD Server Desktop Edition Scenario: You have a Desktop trading application that uses one or more data feeds. You would like to work with just one interface for simplicity, and be able to request secondly, minutely, and daily bars with ease. RMD Server Enterprise Edition Scenario: You have multiple data feeds. View the RMD Server Documentation Any in-depth study of the method in which Time Series Analysis (TSA) results are obtained reveal that a structured relational database is the last way that time series data should be stored. "Having an RDBMS doesn't mean instant decision-support nirvana. - Ted Codd, inventor of the relational database model, 1993. If the man who invented the modern-day computer database doesn’t think that it is suited for data analysis, why do we insist on storing data in them? A look at traditional data storage Features
LINQ Distinct: IEqualityComparer and Func extension method Implementations - Carl's Blog As you may know when working with LINQ there is a method that allows one to return distinct elements from a sequence. Two prototypes are supported: Distinct<TSource>(IEqualityComparer<TSource>)Distinct() Unlike most sequence operations that take some form of a Func parameter, the Distinct() method takes an instance of an IEqualityComparer Type. It is the implementation of this Type that I will be discussing which will hopefully provide some insight into why this approach has been taken. I am going to demonstrate the Distinct() method using the following class definition: A distinct product is one defined where the Reference and ProductVersion values are unalike. For testing and demonstration purposes the following code will be used: The line creating the distinct collection is: IEnumerable<Product> distinctProducts = products.Distinct<Product>(new ProductEqualityComparer()); The initial attempt at an IEqualityComparer implementation may be something along the lines of:
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Windows Forms Controls - NetAdvantage for Windows Forms - User Experience Controls and Components We’re Here for You. Technical support is important. Especially when you get stuck. And we offer the very best support on the market — and it starts when you download the trial. Consulting Services Sometimes you need experts to help you get your project finished. Training Services You want to know what it takes to design experiences that propel your product to the next level? How to read and write a file to or from a BLOB column by using ADO.NET and Visual C# .NET This article describes how to read and write data from LongVarBinary BLOB columns in a database table. This article contains examples of both the SqlDataAdapter class and the OleDbDataAdapter class. The only differences between the two classes, other than the class names, are the connection strings and the declaration of SQL parameters; the fundamental technique for retrieving the BLOB data is the same. The sample code in this article uses a sample record that is added to the Categories table of the Northwind database. After you use this sample, you may want to remove this record: Enter the following command in SQL Query Analyzer, and then press F5: use Northwind delete from Categories where CategoryName = 'Test' Requirements Create the project and add the code Open SQL Query Analyzer. Read from a BLOB column The functions in the following sample code use the DataReader class to retrieve the BLOB value and to assign the BLOB value to a byte array. There are two calls to the GetBytes method:
Join Example: LINQ LINQ provides a fully featured query language. It offers the join operation. As with other query languages—such as SQL—joining matches every element in two collections based on some condition. Example This first example shows the Join extension method from the System.Linq namespace. And then it shows the equivalent join query expression syntax. Extension Method Tip:You can read in painful detail how query expressions are translated in the chapter on Expressions (7) in the C# specification. But:This material is complex, tiresome and not all that useful for actual development. With the Join method, we provide delegates as arguments. So:If ints1 contains an element of value 4, it is selected only if there is an element of value of 5 in ints2. Int Array In my view, the second syntax in the example—with the query expression—is easier to read. Tip:The Join and GroupJoin methods are hard to use directly. Example 2 This example program uses two classes for storing data. Same as SQL. Discussion Summary
MS-DOS/MSDOS Batch File troubleshooter Troubleshooter: How to use this Batch Troubleshooter Troubleshooter Using this page Terms in Dark blue or purple and ? symbols, all show more details on demand: Common problems: Some common Batch problems and questions Session index We round up the usual suspects for common Batch file problems. symbol will often disclose different information (where it's appropriate). NT/2000/XP An enhanced version of the MS-DOS Batch Language comes with Windows NT/2000/XP . NT/2000/XP The normal command processor is CMD.EXE (a 32-bit program that doesn't need or use V86 mode). , waits for you to type a new command. NT/2000/XP The command processor to use is CMD.EXE .
MS-DOS/MSDOS Batch Files: Batch File Tutorial and Reference Interactive Batch Course with built-in Reference The versatile MS-DOS/MSDOS Batch Language automates routine tasks with Batch files (lists of Batch commands). Learn how to write Batch files with this free , interactive Course and built-in Batch Reference. You need no prior knowledge of Batch files: you're guided through each step on screen in your Web Browser – no need for printouts. What's new or quick if you're in a rush? The full Batch Course or just a In our full Course of 21 interactive Lessons, you build a menu-driven Batch file project for backup, and learn a wide range of Batch file skills. Lesson Index and Course Syllabus This fully-interactive Course probably isn't like anything else you've met on the Web. Learn to use the interactive Exercises on which the entire Course is based Create the working folder used for all the Batch file work that follows Create and configure the BatchWindow (a DVM, or DOS box) for Batch work The Lesson pages are designed so that you can for details) .