the vast majority of FX Options are traded over-the-counter - that is to say these are private deals done between banks or other large institutions. You can get some overall statistics on this segment of the FX and interest rate market from BIS.
There is a small fraction of the FX options...
Just a quick thought here: FPGA's, co-processors and other hardware accelerators will make sense for applications where you have a relatively fixed set of calculations that need to be done very quickly, repetitively and with low latency. I am thinking of things like pricing an option based on...
There is a lot that goes in to a trading algorithm - much more than just getting a hold of some prices and making a buy/sell decision. To do even something simple, you will definitely need to learn some programming.
If you are interested in being able to back-test strategies right away, I...
By "Market Data" do you mean quote and trade data or something that updates less frequently such as end of day pricing, balance sheet data, etc. FIXML is another alternative you might consider: http://www.fixtradingcommunity.org/pg/file/fplpo/read/30011/fixml-44-schema-specification-revision-1
I have been assembling a set of introductory tutorials for programming the Bloomberg API and the Interactive Brokers ActiveX API. Likely this is pretty basic stuff for readers of this forum but you may get some ideas from it. I am planning to expand both sets with additional languages...
You may wish to look into running the Windows OS on your Mac laptop. Two software products that help with this are:
Parallels Desktop for Mac
VirtualBox for Mac OS X
These "virtualization" programs allow you to share your CPU, memory, disk and other hardware resources among multiple running...
Here is another tip. Many Universities subscribe to the "Books24x7" service. This service has tons of technology books on all sorts of database, programming language and other topics. The user-interface is a little clunky but if you are patient you can check out a ton of materials. I believe...
Are you at Baruch College? If so we subscribe to the raw ITCH feed and have a few year's of data we can work with. If not, you might try EssezRadez (also known as Trading Physics). Art has most of the major depth of market equity feeds. Let me know if you have questions.
This is probably very basic for this crowd but there may be some folks who have never worked with Microsoft Visual Studio previously. Here are some thoughts on a tutorial I have been revising:
Getting Started with Microsoft Visual Studio 2010 using C++...
Hi - not to be picky here but just to clarify. The Wharton Research Database Service (WRDS) provides "access" to a bunch of different data sources. Two basics ways of working with WRDS are the web query interface and (for faculty and usually PhD students) unix/linux access via SAS programming...
I did not see anyone talk about the operating system. if we assume .NET == WindowsOS and C/C++ == Unix/Linux Or C/C++ == WindowsOS then we have many more things to compare. What about network stack latency on Windows vs. Solaris vs. Linux? What about bypassing the OS all together an running the...
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Penn State Trading Strategy Competition
An equity trading competition that tests your ability to develop successful automated trading strategies with multiple securities and varying time horizons
Competition Dates: March...
Workshop for CUNY faculty/students: High Performance Computing Using Graphics Processor Units
At the end of March we will be hosting a workshop on High Performance Computing Using Graphics Processor Units in collaboration with the CUNY High Performance Computing Center. Here is a bit of...
In the US, the Options Price Reporting Authority (OPRA) re-distributes the top of the book quotes/orders and trades for each of the US Options exchanges. You can read more on their web site (www.opradata.com). There are basically two ways you can work with this data in real time. First...
This just arrived in my in box. No endorsements implied.
A Seminar on GPU-Accelerated Derivative Pricing and Risk Models
Presented by SciComp Inc. and NVIDIA Corporation
GPU-accelerated Monte Carlo derivative pricing and risk models run 30X-200X faster than serial code. No...
At the Baruch Options Data Warehouse (optionsdata.baruch.cuny.edu) we capture between 5 and 6 billion messages a day from the seven US options market centers. Often this data reaches a peak of close to 800,00 message per second. So I suppose this counts as "high frequency".
Since we mainly...
Prof. Robert Schwartz of Baruch College is widely recognized as a top authority on market structure including call auctions. You would do well to look at some of his books and papers. For example:
Equity Markets in Action: The Fundamentals of Liquidity, Market Structure and Trading," with Reto...
Intro to unix/Linux workshop January 22, 2008
The following workshop is open to Baruch students (must have Baruch ID card to get
in the building).
Happy New Year from the Baurch College CIS Society!
Are you curious about Open Source Technology? Not sure what "Open Source" refers to...
I am planning to do a partial day workshop on an introduction to
UNIX and Linux during the January break. This will be done during a
week day likely from 10:00am to 3:00pm with a break for lunch.
The materials will be very introductory. The topics should include:
- Brief history of UNIX...
How would Friday October 26 work? I am giving a reception and tour for the
Graduate Business Student Services Association from 5:00 to 6:30 (or 7:00)
After that event is over we can get in and use the trading floor.
p.s. sorry about the PM. If you need to contact me please e-mail me at...
Sorry for the late reply on this. Better late than never I suppose.
Regarding intra-day data, Subotnick Center has about 3 years worth of
NYSE TAQ data that covers all NMS equities. (including NYSE and NASDAQ).
We also have 2+ years of Equity Options data. A bit of heavy lifting would
Every semester the Wasserman Trading Floor/ Subotnick Center hosts between 40 and 50 workshops (FREE to all Baruch students, faculty and staff) that teach the basics of using
Reuters and Bloomberg. In the Summer we run just a small number of them. The
basic workshops are taught by...
I'll add two more suggestions to what has already been said. For real-time applications
that need to process tick-by-tick data, Java's non-deterministic garbage collection
is a killer. For example, an algorithm missing a few ticks or a pricing model missing an
update to an underlying instrument...
Not open source but may be less expensive...
There seem to be many new entrants into this space.
Vhayu, StreamBase and others. I think StreamBase offers a free demo version.
You might also look at Times Ten (acquired by Oracle - also has a trial version)...
I am going to be doing a test of a new Fixed Income trading simulation
this Monday May 14 starting at 12:45pm at the Wasserman Trading Floor /
Subotnick Center. I am inviting all Baruch students who are interested to
participate. (To those non-Baruch students who are reading this, I am...
It was a pleasure meeting you all and working with you this evening.
I do hope that your learned something new and also had some fun!
For better or worse I am posting the results of our last trading run
For those of you interested in exploring this kind of event further,
OK - Looks like it is not such a big deal. There is a tutorial (via WAPI <GO>) on adding the control to MS Excel. I basically followed that only using a form in MS Access and it seems to work OK. One main difference is in Access, to add a control to a form (not from the tool box) you have to...
As far as I can tell, BB's "integration" functions are directed only at Excel.
I can take another look through in more details tomorrow but I seem to recall
doing something similar in the past and Excel was offered as the only solution.
So it sounds as if you are running up against the 65,556...
Baruch has a number of student organizations that focus on various aspects of finance. Four that I am aware of are:
- Graduate finance and investments club
- Undergraduate Finance and Economics Society
- Undergraduate Investment Banking Club (http://www.investmentbankingclub.com/)
There is no sign-up sheet for now. However if you come in and someone is hogging the machine let me or one of the assistants know. We have never had any issues with contention for the machine and everyone so far has been very polite and conscientious if others are waiting.
(Sorry for all of the posts. Have been meaning to spread the word for some time about these resources...)
In a number of posts folks have mentioned technical analysis and back-testing of trading strategies. The software from TradeStation is one of the leaders in the market at these...
In addition to the Trading Floor / Subotnick Center resources I mentioned in my prior post (https://www.quantnet.com/threads/resources-at-baruchs-wasserman-trading-floor-subotnick-center.414/). I wanted to say a few more words about access to Bloomberg.
We have two Bloomberg...
I just posted a thread giving a basic intro to the Wasserman Trading Floor / Subotnick Center resources. It would be great if you all could read that prior to Thursday's class session.
I figured I would give some introduction to the resources we have at the Wasserman trading Floor / Subotnick Center. If you all read this post, then we will not have to waste time on it (except for any further questions you might have) when we meet on Thursday April 26.
A few quick comments / suggestions.
First up - In speaking to a few of you over the last couple of weeks, it would appear there
is a misconception that the Wasserman Trading Floor and Subotnick Center's resources
are somehow reserved for use only by Zicklin students. This is definitely...
The "sleep" function you are calling does not allow other VBA events to execute. So this is why your spreadsheet is blocking for 2 seconds at a time.
You might instead consider using a Timer. "Timer" itself gies the number of seconds elapsed since midnight.
So you could do something like...
A tad late to the party...Some notes on the Wasserman Trading Floor / Subotnick Center
I admit I am late to this party - I read the postings only sporadically but will try to pay more attention in the future.
Let me make a blanket statement: Our resources at the Wasserman Trading...
Impications of RegNMS on internalization
One implication of RegNMS on firms internalizing orders is that if they
cross an order internally at a price better than the displayed BBO of the
market, then they must make good on all of the current orders at the top
of the book at each market...