2007 Feb 08 - Thu

Perl based Code Colorer

In another article, I was looking at various batch oriented code colorization routines. In looking for Perl Modules for another take, I found that there is a Perl module that will do such a job, inline. It can be found at Colorer Library with another similar CPAN module at Syntax Hightlight Universal. I think that second supports about 200 different languages.

[/Personal/SoftwareDevelopment/HTML] permanent link

Cisco Callmanager Call Detail Records (CDR) with Perl

It is possible to obtain Cisco Callmanager Call Detail Records through Perl. However, there are a few prepatory steps to make it work.

Because Cisco recommends that Callmanager not be a member of a domain, it isn't possible to use flow through authentication to access the SQL Database server when on a host other than Callmanager. Cisco therefore suggests that SQL Authentication be changed to 'Mixed Mode'. This can be accomplished by starting sQL Enterprise Manager on the Callmanager Server containing the CDRs (there should only be one server in the cluster with CDR responsibilites), right click on the server name and select properties, select the security tab, and choose 'SQL Server and Windows' for authentication. Callmanager will need to be restarted.

To connect to the database tables, one could code the sa username and password into the queries, but that probably isn't a very good thing. Instead, I'd suggest creating a new login, call it cdr_reader, and assign it to the CDR database with public and db_owner roles.

Perl DBD drivers for Sybase can be used for connecting to the SQL 2000 database tables in Callmanager 3.3 and 4.X. For those who aren't using Debian, steps outlined at Linux Journal and FreeTDS: Tabular Data Stream.

For Debian users, obtaining the package is as simple as running 'apt-get install libdbd-sybase-perl' from unstable or testing. As of the time of this writing, I don't think Stable has the most recent and appropriate version.

I then modified the example from a Perl HowTo slightly to give it a try:

#!/usr/bin/perl

#-- open database
use DBI;
my $dbh = DBI->connect('DBI:Sybase:server=10.10.10.10','cdr_reader','password') or die $DBI::errstr;
$dbh->do("use CDR");

#-- sample query
my $rows = $dbh->selectrow_array("SELECT COUNT(*) FROM CallDetailRecord");
print "CDR has $rows records\n" if ( defined $rows );

That turned out to be quite straightforward. I'll publish another article with some perl queries and summaries I've used.

[/Cisco/Callmanager] permanent link

Some Ideas for Algorithmic Trading

When I mentioned to someone that I do trading development with SmartQuant's QuantDeveloper, they said they've encountered similar tools with names such as KDB and Apama.

Upon further research, KDB is a tick database developed by ksxystems. It is designed for recording high frequency ticks, as well as manipulating the data efficiently. I'm wondering what sort of price tag is associated with it.

Apama is a Buy Side Algorithmic trading tool by Progress Software. They have an Algorithmic Trading Resource Center. On that page, I found a one page article on 10 Innovative Algorithmic Trading Techniques by John Bates. Here are the top ten techniques:

• Making your own "secret sauce"
• Gaining "first mover"
• Algorithmic trading beyond equities
• Concurrent access to multiple liquidity pools
• Cross-asset Trading
• Combining news analysis into algorithms
• Real-time market data capture
• Backtesting and Tuning
• Digital Forensics
• Managing Trading Risk

[/Trading/AutomatedTrading] permanent link

Trading Site of the Day -- KQuant: Pointers to Who's Who and What's What

K|Quant is a nice, eye pleasing site introducing one to the world of Quantitative Finance. Stereotypically, it is Rocket Scientists, also known as Physicists, who are known to be comfortable in this type of work.

However, the site's maintainer, Rico Blaser, does a great job of introducing the niche field to the aspiring quant. He has a page describing some good books for getting introduced to the mathematics of the field. He also has some good links to the pages of well known researchers, authors, and personalities of the field.

The one drawback is that it doesn't appear to be updated very frequently. On the other hand, it is a good source of basic information.

[/Trading/SiteOfTheDay/D200702] permanent link

Darvas Selections for 2007/02/08

Here are the selections for Thursday. These lists have the Darvas stop calculated in the second column.

Start: 2007-01-07 High: 2007-02-01 EOD: 2007-02-07 Symbol Stop AA 32.29 ACF 25.60 ACN 37.98 AGU 34.51 AL 50.00 ANF 80.46 ARBA 9.42 BA 89.73 BAX 49.98 BC 30.49 BMET 42.08 BNI 75.70 CECO 28.13 CEM 11.78 CEN 30.38 CGV 39.99 CIT 58.63 CONR 33.30 CPWR 8.88 CRM 44.32 D 85.53 DE 100.95 DHI 29.38 DO 79.34 EFA 74.51 ETR 96.32 FRX 56.54 GGB 17.97 GILD 71.92 HLT 37.31 HLTH 14.02 HRB 24.26 HYSL 42.44 IJR 68.48 ITT 60.26 ITW 50.29 JCP 84.09 KR 25.99 LEH 84.13 LLL 83.25 LYO 31.30 MAT 25.33 MCO 72.60 MET 62.87 MNST 51.39 NIHD 73.64 OI 23.11 ONNN 9.35 PRU 90.02 PX 63.18 RCL 45.01 RGC 22.44 RYL 57.30 SLE 17.30 SNV 32.10 SUNW 6.25 SVU 37.74 SWK 57.26 SYK 62.07 TIN 48.29 TMX 30.93 TSN 18.15 TV 28.65 TYC 32.32 UBS 63.33 UIS 8.50 UNP 99.09 WPI 28.01 WSM 35.65 XLI 35.96 XRX 17.30

Start: 2007-01-07 High: 2007-02-02 EOD: 2007-02-07 Symbol Stop ABB 18.62 ACN 37.98 ADCT 15.98 AEP 43.48 AMP 59.35 ANF 80.46 ARBA 9.42 AVP 36.89 BC 30.49 BNI 75.70 BUD 50.65 CA 25.77 CAR 26.76 CEM 11.78 CEN 30.38 CGV 39.99 CHKP 24.43 CIT 58.63 CMS 17.12 COH 47.03 CPWR 8.88 CRM 44.32 CROX 57.32 CX 36.37 D 85.53 DE 100.95 DHI 29.38 ETN 78.23 ETR 96.32 FRX 56.54 GMST 3.98 GR 48.39 HAS 27.91 HCR 53.08 HLT 37.31 HLTH 14.02 HYSL 42.44 IJR 68.48 IR 43.26 JCP 84.09 KEY 38.97 KR 25.99 LEH 84.13 LLL 83.25 MAT 25.33 MCO 72.60 MET 62.87 MIR 34.61 MNST 51.39 NKE 100.35 NOC 73.57 NTY 52.32 NYB 16.94 ONNN 9.35 PCAR 69.72 PLCM 32.57 PRU 90.02 PWR 20.60 RAD 6.24 RCL 45.01 RGC 22.44 RRI 15.89 RTN 53.22 RYL 57.30 SCUR 8.84 SID 35.80 SLE 17.30 SNV 32.10 SPF 29.27 SSTI 5.28 SVU 37.74 SWK 57.26 T 37.22 TIN 48.29 TSN 18.15 TYC 32.32 UIS 8.50 WSM 35.65 XLI 35.96 XLY 39.72

[/Trading/Darvas/D200702] permanent link

Darvas Results at EOD 2007/02/07

In comparison, the Dow Jones Industrial Index opened at 12656, had a high of 12700, had a low of 12630, and closed up at 12666.

If Low is green, then it stayed above the stop level. If Close is green, the symbol closed up for the day.

Start: 2007-01-06
High: 2007-01-31
EOD: 2007-02-06

Symbol	Open	High	Low	Close	Stop	O->H	O->C
ACF	27.68	27.77	27.55	27.65	25.60	0.09	-0.03
AGU	35.45	36.05	35.43	35.78	34.51	0.60	0.33
AL	51.23	51.69	50.32	50.66	50.00	0.46	-0.57
APA	69.72	70.20	68.95	69.20	70.73	0.48	-0.52
BMET	42.25	42.49	42.17	42.45	42.08	0.24	0.20
CECO	29.08	29.25	28.97	29.01	28.13	0.17	-0.07
CEN	30.69	30.95	30.62	30.76	30.38	0.26	0.07
CHRW	51.76	53.38	51.67	52.85	50.82	1.62	1.09
CIT	61.18	61.59	60.94	61.36	58.63	0.41	0.18
CMX	60.65	61.73	60.56	61.60	61.16	1.08	0.95
CPWR	9.06	9.18	9.03	9.14	8.88	0.12	0.08
EL	46.60	46.68	45.87	45.87	45.19	0.08	-0.73
GGB	17.95	17.95	17.50	17.65	17.97	0.00	-0.30
GGP	63.57	66.73	62.95	66.39	63.53	3.16	2.82
GTI	7.99	8.15	7.91	8.09	7.77	0.16	0.10
HCP	41.20	41.88	41.10	41.88	39.81	0.68	0.68
HLTH	14.13	14.40	14.13	14.37	14.02	0.27	0.24
HYSL	43.00	43.07	42.31	42.50	42.44	0.07	-0.50
IR	42.65	43.71	42.54	43.63	43.26	1.06	0.98
ITW	52.00	52.09	51.80	52.00	50.29	0.09	0.00
KR	25.62	26.23	25.58	26.14	25.57	0.61	0.52
LYO	31.14	31.36	30.59	30.89	31.30	0.22	-0.25
NCR	47.10	47.30	46.98	47.25	46.25	0.20	0.15
NIHD	74.05	74.68	73.53	74.52	73.64	0.63	0.47
PPC	30.96	31.11	30.52	30.75	31.16	0.15	-0.21
PRU	89.65	90.37	89.65	90.37	90.02	0.72	0.72
RGC	22.84	22.88	22.61	22.74	22.44	0.04	-0.10
SPG	118.89	123.96	117.90	123.78	118.66	5.07	4.89
SUNW	6.57	6.62	6.51	6.59	6.25	0.05	0.02
SVU	38.61	38.69	38.28	38.52	37.74	0.08	-0.09
SWK	58.35	58.41	57.66	58.09	57.26	0.06	-0.26
SYK	62.15	62.42	61.70	62.40	62.07	0.27	0.25
T	37.44	37.61	36.88	37.16	37.22	0.17	-0.28
TIN	49.76	49.96	49.43	49.88	48.29	0.20	0.12
TMX	31.15	31.20	30.75	31.08	30.93	0.05	-0.07
TV	28.96	29.11	28.81	28.96	28.65	0.15	0.00
UIS	8.92	9.07	8.90	9.06	8.50	0.15	0.14
UNP	100.35	102.19	99.93	100.15	99.09	1.84	-0.20
	1642.40					21.76	10.82

Start: 2007-01-06
High: 2007-02-01
EOD: 2007-02-06

Symbol	Open	High	Low	Close	Stop	O->H	O->C
AA	32.85	32.86	32.07	32.15	32.29	0.01	-0.70
ACF	27.68	27.77	27.55	27.65	25.60	0.09	-0.03
ACN	38.50	39.10	38.44	39.10	37.98	0.60	0.60
AGU	35.45	36.05	35.43	35.78	34.51	0.60	0.33
AL	51.23	51.69	50.32	50.66	50.00	0.46	-0.57
ANF	80.67	81.59	79.92	80.24	80.46	0.92	-0.43
ARBA	9.30	9.45	9.21	9.26	9.42	0.15	-0.04
BA	90.59	91.20	89.70	90.35	89.73	0.61	-0.24
BAX	49.46	49.66	49.40	49.65	49.98	0.20	0.19
BC	34.21	34.21	33.75	33.86	30.49	0.00	-0.35
BMET	42.25	42.49	42.17	42.45	42.08	0.24	0.20
BNI	80.31	81.30	79.62	79.90	75.70	0.99	-0.41
CECO	29.08	29.25	28.97	29.01	28.13	0.17	-0.07
CEM	11.82	11.89	11.73	11.77	11.78	0.07	-0.05
CEN	30.69	30.95	30.62	30.76	30.38	0.26	0.07
CGV	40.07	40.14	39.63	39.99	39.99	0.07	-0.08
CIT	61.18	61.59	60.94	61.36	58.63	0.41	0.18
CPWR	9.06	9.18	9.03	9.14	8.88	0.12	0.08
CRM	47.20	48.15	47.06	47.69	44.32	0.95	0.49
D	87.15	87.30	86.78	86.99	85.53	0.15	-0.16
DE	104.70	104.94	103.41	103.50	100.95	0.24	-1.20
DHI	30.18	30.18	29.47	29.64	29.38	0.00	-0.54
DO	84.47	84.89	83.05	84.47	79.34	0.42	0.00
EFA	75.18	75.45	75.03	75.26	74.51	0.27	0.08
ETR	97.39	98.04	96.92	97.92	96.32	0.65	0.53
FRX	55.95	56.30	55.07	55.40	56.54	0.35	-0.55
GGB	17.95	17.95	17.50	17.65	17.97	0.00	-0.30
GILD	71.12	73.25	70.93	72.24	69.51	2.13	1.12
HLT	37.49	37.65	36.97	37.52	36.68	0.16	0.03
HLTH	14.13	14.40	14.13	14.37	14.02	0.27	0.24
HRB	24.85	24.95	24.73	24.84	24.26	0.10	-0.01
HYSL	43.00	43.07	42.31	42.50	42.44	0.07	-0.50
IJR	68.56	68.88	68.27	68.88	66.81	0.32	0.32
ITT	60.18	60.18	59.14	59.97	60.26	0.00	-0.21
ITW	52.00	52.09	51.80	52.00	50.29	0.09	0.00
JCP	85.00	85.68	84.21	84.42	84.09	0.68	-0.58
KR	25.62	26.23	25.58	26.14	25.57	0.61	0.52
LEH	85.95	86.18	85.20	85.70	84.13	0.23	-0.25
LLL	86.35	87.75	86.31	87.06	83.25	1.40	0.71
LYO	31.14	31.36	30.59	30.89	31.30	0.22	-0.25
MAT	25.40	25.88	25.40	25.82	25.33	0.48	0.42
MCO	72.61	74.00	72.12	73.95	72.60	1.39	1.34
MET	63.65	64.31	63.50	64.21	62.87	0.66	0.56
MNST	51.59	52.80	51.59	52.74	51.39	1.21	1.15
NIHD	74.05	74.68	73.53	74.52	73.64	0.63	0.47
OI	23.85	23.85	22.93	23.14	23.11	0.00	-0.71
ONNN	9.66	9.73	9.52	9.72	9.35	0.07	0.06
PRU	89.65	90.37	89.65	90.37	90.02	0.72	0.72
PX	63.29	63.65	63.20	63.40	63.18	0.36	0.11
RCL	42.13	42.33	41.30	41.59	45.01	0.20	-0.54
RGC	22.84	22.88	22.61	22.74	22.44	0.04	-0.10
RYL	58.70	58.90	57.56	57.97	57.30	0.20	-0.73
SLE	17.27	17.29	16.83	17.00	17.30	0.02	-0.27
SNV	32.54	32.78	32.53	32.65	32.10	0.24	0.11
SUNW	6.57	6.62	6.51	6.59	6.25	0.05	0.02
SVU	38.61	38.69	38.28	38.52	37.74	0.08	-0.09
SWK	58.35	58.41	57.66	58.09	57.26	0.06	-0.26
SYK	62.15	62.42	61.70	62.40	62.07	0.27	0.25
TIN	49.76	49.96	49.43	49.88	48.29	0.20	0.12
TMX	31.15	31.20	30.75	31.08	30.93	0.05	-0.07
TSN	18.23	18.40	18.11	18.15	18.15	0.17	-0.08
TV	28.96	29.11	28.81	28.96	28.65	0.15	0.00
TYC	32.34	32.34	31.65	31.97	32.32	0.00	-0.37
UBS	63.43	63.92	63.31	63.63	63.33	0.49	0.20
UIS	8.92	9.07	8.90	9.06	8.50	0.15	0.14
UNP	100.35	102.19	99.93	100.15	99.09	1.84	-0.20
WPI	27.85	28.19	27.74	28.08	27.69	0.34	0.23
WSM	35.50	35.50	34.92	35.05	35.65	0.00	-0.45
XLI	36.35	36.35	36.19	36.24	35.96	0.00	-0.11
XRX	17.27	17.38	17.27	17.33	16.12	0.11	0.06
	3032.42					25.46	0.15

[/Trading/Darvas/D200702] permanent link