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Open Source Financial Software

A quick review of the financial open source projects used and evolving in today’s world of financial software:

QuickFIX

QuickFIX/J

The Financial Information eXchange (FIX) protocol is a messaging standard developed specifically for the real-time electronic exchange of securities transactions. FIX is a public-domain specification owned and maintained by FIX Protocol, Ltd (FPL).

QuickFIX/J is a full featured messaging engine for the FIX protocol. It is a 100% Java open source implementation of the popular C++ QuickFIX engine.

QuantLib

The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration. See the extensions page for details.

Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.

The library could be exploited across different research and regulatory institutions, banks, software companies, and so on. Being a free/open-source project, quants contributing to the library would not need to start from scratch every time.

Esper

Esper is a component for CEP and ESP applications, available for Java as Esper, and for .NET as NEsper.

Esper and NEsper enable rapid development of applications that process large volumes of incoming messages or events. Esper and NEsper filter and analyze events in various ways, and respond to conditions of interest in real-time.

Complex Event Processing, or CEP, is technology to process events and discover complex patterns among multiple streams of event data. ESP stands for Event Stream Processing and deals with the task of processing multiple streams of event data with the goal of identifying the meaningful events within those streams, and deriving meaningful information from them. Real-time OLAP (online analytical processing) and continuous query are also terms used frequently for this technology.

Marketcetera

Open Source Trading Platform

Marketcetera is an open source platform for strategy-driven trading, providing you with all the tools you need for strategy automation, integrated market data, multi-destination FIX routing, broker neutrality and more.

Marketcetera provides an open-source trading platform that hedge funds and others use to process and deliver trades through a brokerage to an exchange (like NASDAQ).

ActiveQuant

AQ is a framework or an API for automated trading, opportunity detection, financial engineering, research in finance, connecting to brokers, etc. - basically everything around trading, written in Java, using Spring and Maven2. All is published under a usage friendly open source license.

Source Quantitative Computing: Open Source Financial Software
 
I've been doing some research on Marketcetera. They are not actually a completely new open source platform, what they have done is combine other pre-existing open source tools, like Esper and QuickFIX that you mentioned.

Is it safe to assume that updates to Esper/QuickFIX = updates to Marketcetera?

And how easy is it to update the platform when updates come out? I would be worried about it mucking up the whole thing if I already had it trading live and didn't have a development box.

Has anyone here gotten Marketcetera working?
 
Also have a look at AlgoTrader (http://www.algotrader.ch)

AlgoTrader is a Java based Algorithmic Trading Platform that enables development, simulation and execution of multiple strategies in parallel. The automated Trading Software can trade Forex, Options, Futures, Stocks & Commodities on any market. The system is based on Complex Event Processing (CEP) and Event Stream Processing (ESP) using Esper.

Some of the features available are:
  • Automate Trading Strategies based on Complex Trading Rules
  • Develop, Simulate and Trade multiple Strategies in parallel
  • Multiple Broker Interfaces and Market Data Providers
  • Support for Forex, Options, Futures, Stocks, Commodities & more
  • Support for Synthetic Instruments & Custom Derivative Spreads
  • Several build-in Execution Algorithms
  • Multi-Account Functionality
  • Automated Forex Hedging & Options Pricing Engine
  • Based on Open Source Technology like Esper, Spring & Hibernate
  • Scalable / Low Latency / High Throughput Architecture

There are two versions available of AlgoTrader.
· An Open Source Version that you can download for free from here
· A Commercial Version (with Support and Professional Services) is available here
 
I had a quick look, and it doesn't really look like open source. You have to pay for their connectivity-plugins. I'm not sure what you can do with them...

4 years ago they were. Look at the date in the post.
 
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