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Search results

  1. J

    Are there software libraries (java, C# ..) with Table Valued Functions?

    There's also Deedle, which is a free, open-source data-frame library for .NET (like R and Pandas); it's mostly used with C# and F#, but you could probably use it from other .NET languages (e.g., VB.NET) too. http://bluemountaincapital.github.io/Deedle/
  2. J

    Integrating R and Excel

    It's also possible to integrate R into Excel via F#, using Excel-DNA and the F# type provider for R.
  3. J

    Problem ny using C # in Excel with Debug (xlw)

    JohnAd is right -- it's an issue related to how floating-point numbers work. Read the Wikipedia article on 'IEEE-754' if you want to know all about it. Alternatively, you can use the 'decimal' type when you really need the exact value. Operations on 'decimal' are much slower than those on...
  4. J


    RavenDB is written specifically for .NET, SQLite is written in C and requires you to use a separate library to interop with the "real" database. This isn't a huge deal, but it may be depending on your deployment scenario -- interoperating with native code requires your program (via the user)...
  5. J


    TobiAkin, if you're doing it in C# you should also check out RavenDB (http://www.ravendb.net/). It's an open-source, document-based database written in C# (specifically for .NET 4.0). It should be pretty easy to get up and running. Unless there's a specific reason you want to use a high-end...
  6. J

    Assembler language

    Like I said, check out LMAX Disruptor for a really good example of writing low-latency managed code: https://code.google.com/p/disruptor/ Loops in C# and Java don't suck and don't require huge amount of time resources. If you find some C# or Java code which is slow, take some time to look at...
  7. J

    GPUs for Finance -- HPC & GPU Supercomputing Group of New York

    The HPC & GPU Supercomputing Group of New York is holding an event, "GPUs for Finance", on Monday, December 19, 2011 from 6PM-8:30PM. The event is free and will provide an overview of how GPUs are being used within the financial industry; we'll also discuss which algorithms work best on the GPU...
  8. J

    Assembler language

    Not necessarily. It's a common misconception that low-level languages (like assembly, or even C/C++) always provide higher performance than higher-level and/or garbage-collected languages like C# or Java. Are there cases where you can improve performance by coding something in assembly? Of...
  9. J

    How to display C++ code and math beautifully

    The syntax highlighting looks great, Andy. For the LaTeX, why not use MathJax (http://www.mathjax.org/) instead? It might be a little lower-maintenance than running your own LaTeX image server, and they already have a MediaWiki theme available. Just a thought :)
  10. J

    Bitcoin - a new kind of currency

    There's a new Bitcoin exchange which launched a few days back (at least, publicly): https://www.bitcoinica.com/ I don't use Bitcoin myself, but I poked around the site a bit and it looks reasonably-well put-together. They also have a nice RESTful API in case you want to try out any algo trading.
  11. J

    .NET HFT systems

    This thread popped back into my head today and I remembered something else worth mentioning: if you really, really need serious speed and want to code some parts of your app in native C++ but you'd also like to work with .NET -- wrapping your native code for use by some other .NET project, or...
  12. J

    YCombinator (Startup Incubator/VC Fund) NYC Meetup

    YCombinator, a startup incubator / VC fund is having an event in NYC on September 26th. It's fairly rare for them to hold anything outside of Silicon Valley, so this is a great opportunity if you're interested in getting into, investing in, or just learning more about the startup scene. Space...
  13. J

    .NET HFT systems

    Sure: GPU.NET Basically, the idea is that you can write code similar to CUDA, but in C# (and within the next few months, VB.NET and F#). We also handle all of the memory management automagically. 99.9% of the codebase is F#, with the remainder in C#. Most of the things we do in GPU.NET --...
  14. J

    Jane Street OCaml Open Source

    For those of you familiar with C#/VB.NET and interested in learning about functional programming, take a look at F#. It's based on OCaml / ML so it provides a great stepping stone if you're coming from the Windows/.NET world. If you visit the Jane Street site (linked in Andy's post), make sure...
  15. J

    What is the best way to parse a Fix Protocol message in C#

    Have you looked around for any open-source .NET libraries for working with FIX? E.g., http://www.codeproject.com/KB/cs/fixprotocol.aspx If you're only parsing one kind of message (what you posted above) and your code already works, then I wouldn't over-engineer the problem. I'm not very...
  16. J

    Entrepreneurs/Software projects (C++)

    Well, hanging around Quant forums helps :) You might also do some reading to become familiar with basic terminology, common pricing models and so forth. Perhaps contribute to an existing open-source quant project (e.g., quantlib) or start your own; even if it's something as simple as cleaning...
  17. J

    Java vs Matlab

    I don't do much work in Java (I'm a .NET dev, mostly), but I don't think there are any real features that one has that are totally unavailable in the other. As Alex said, Matlab is good for rapid prototyping, whereas Java really isn't; on the other hand, it'll likely be easier to interoperate...
  18. J

    Writing code, probably.

    Writing code, probably.
  19. J

    BUILD Windows Conference - Anaheim, CA

    Microsoft changed the name of the conference this year, it used to be called PDC: https://secure.wikimedia.org/wikipedia/en/wiki/Professional_Developers_Conference
  20. J

    is there any good online VB course?

    Are you looking to learn VBA (based on VB6), or the newer, .NET-based VB.NET? They're similar but also have crucial differences, so make sure to learn the one you'll be using.
  21. J

    How to build a High Frequency Trading system

    I'll second this. "Tales from the Trading Desk" covers a lot of great technical material useful for quants and algo traders. From what I've seen, it also tends to lean a bit towards Windows and .NET-based development.
  22. J

    How to build a High Frequency Trading system

    I haven't had to deal with this much myself, but I just wanted to chime in that you can easily get a GPS time signal for next to no cost. All you need is a GPS receiver of some kind (standalone, the one in your phone, etc.) that'll let you directly access it's output. All GPS chips output their...
  23. J

    .NET HFT systems

    I co-founded a startup (which I'm currently working at), and I used to work as a C# developer (part-time, when I was in school). Our first product is .NET-based and (depending on how you look at it) *much* faster than C/C++. I won't post the link here (unless Andy OK's it) since I don't want...
  24. J

    Programming / Technical Interview Questions

    I saw this posted today on a programming news site I frequent and thought it might be of interest to the other QN'ers; it's a StackExchange knock-off for programming/technical interview questions. http://xorswap.com/ There's only ~100 questions on there so far, but I think it's a fairly new site.
  25. J

    Need C# advice

    I'll second Daniel Duffy's remarks. It'll get messy, quickly, if you try to create a type hierarchy for this. I'd probably take a "hybrid" approach and create a basic, clean hierarchy using ONLY interfaces (e.g., IDistribution&lt;T&gt;<t>, then derived interfaces...
  26. J

    Method Overloading

    You could also use delegates and closures if you'd like to avoid using 'dynamic'. Here's an example, though I'd clean it up a bit (specifically, remove the casts from the inside loop) before using it in practice. If I had to write something like this though, I'd prefer to use F# these days...