2008 Jul 30 - Wed
SmartQuant QuantDeveloper & DataCenter Release
SmartQuant has released a revision
to DataCenter and
QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:
DataCenter
Version 3.0.3 (30-Jul-2008)
QuantDeveloper Enterprise Edition
Version 3.0.3 (30-Jul-2008)
QuantDeveloper Source Code
Version 3.0.1 (21-Apr-2008)
* Recent Versions available through
version control
[/Trading/SmartQuant/Releases]
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2008 Jul 11 - Fri
Alpha Generation Platforms
Sometime ago, SmartQuant sold their QuantDeveloper code to QuantHouse. I now see in an
article at
Wall Street & Technology,
QuantHouse listed as one of five vendors who have Alpha Generation Technology. QuantHouse
must have done some additional work on the platform. QuantDeveloper definitely fit the
defintion of a workflow platform:
- Data acquisition and preparation
- creation of the initial alpha discovery model
- back testing the model using historical data sets
- analyzing the results of back-testing and fine tuning the model
- simulation with live data
- coding the quant research model into production for the live trading environment
Alpha is defined as "excess risk-adjusted returns measured above a benchmark".
Key attributes of the packages reviewe included items such as:
- seamless integration with data sources and databases for rapid data capture
- transformation and storage for analysis
- ease of use in creating back testing and simulation environment
- detailed documentation of model creation process
- charting, reporting and visualization tools
- ease of integration with leading statistical packages
- offers a straight through processing feature that enables quants to move from idea
generation to
order generation in a reduced time frame
- offers a codeless environment for rapid strategy development
QuantDeveloper did offer up all those features but that last one. QD is actually
a C# development environment disguised as an Alpha Generation Platform.
I'm not promoting or demonting QD here. I did use the package for a couple of years and
have since migrated to a custom C++ platform, which I think, in the end, is going offer very
similar capabilities. What with QuickFix tested against OpenFix, QuantLib for the math, and
a myriad of other integrated abilites, it may just have a chance to be seen in the big
leagues.
Yes I do spend much of my time day dreaming. But there is a drop of reality there
somewhere.
As a side note, the article threw out a bunch of names. I'll have to follow up on what
these do sometime: "real-time high performance databases such as Vhayu, KX and OneTIck. On
top of that, analytics and statistical packages are required, such as MATLAB, S+ and R, as
well as optimization tools like Northfield, BARRA, Morningstar, Ibbotson, etc., and
EMSs/OMSs like Portware, FlexTrade, OrcSoftware, Aegis Software and Tethys, etc.".
[/Trading/SmartQuant/Articles]
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2008 Jun 06 - Fri
SmartQuant QuantDeveloper & DataCenter Release
SmartQuant has released a revision
to DataCenter and
QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:
DataCenter
Version 3.0.2 (06-Jun-2008)
QuantDeveloper Enterprise Edition
Version 3.0.2 (06-Jun-2008)
QuantDeveloper Source Code
Version 3.0.1 (21-Apr-2008)
* Recent Versions available through
version control
[/Trading/SmartQuant/Releases]
permanent link
2008 Apr 21 - Mon
SmartQuant QuantDeveloper & DataCenter Release
SmartQuant has released a revision
to DataCenter and
QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:
DataCenter
Version 3.0.1 (21-Apr-2008)
QuantDeveloper Enterprise Edition
Version 3.0.1 (21-Apr-2008)
QuantDeveloper Source Code
Version 3.0.1 (21-Apr-2008)
* Recent Versions available through
version control
[/Trading/SmartQuant/Releases]
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2008 Feb 06 - Wed
C# Drivers and Indicators on SourceForge
For the code in the zip files I released back in
2007/10/07, I've uploaded it to
SourceForge. The code can
be reviewed and downloaded via Subversion. In summary, these are a series of C# routines
designed for use in market trading applications.
Some of the IQFeed utilities can be used without SmartQuant libraries. The standalone
IQFeed utilities are desigend to retrieve live as well as historical data from DTN/IQFeed's
services.
The Sockets directory provides one mechanism for asynchronously receiving data from a
socket and passing it upwards through the stack of waiting routines.
In the Trading.PatternAnalysis directory is an example of a ZigZag or PeakMatching
indicator. Be aware that it is a lagging indicator, but it is good for keep track of the
peaks and valleys of price movement through the day.
There are three indicators supplied in the Signals library: Darvas (currently set with
aggressive signallig), Pivots (the self fulfilling floor trader signals), and TVI (which is
a trade volume index indicator).
Probably the most interesting file in the SmartQuant directory is the Accumulation.cs
file. It shows a mechanism for running a sliding window (based upon seconds duration)
through a live series of data and obtaining some deviation, variation, mean, and Bollinger
Band statistics for the window.
In the same file are some files for setting up a Microsoft SQL Server database for
maintaining IQFeed mktsymbol.txt information, trading calculations, and related information.
[/Trading/SmartQuant]
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2008 Feb 05 - Tue
C# Genetic Programming Code Released on SourceForge
I've released my
Genetic Programming code library on SourceForge.
The code can be viewed through SubVersion. The most interesting directory is the
GeneticProgramming directory where the Node, Individual, and Population algorithms are
maintained. The remaining directories are devoted to testing, scaffolding, and runtime
environments. The code has been written to integrate with SmartQuant's QuantDeveloper
Trading Strategy Development Environment.
With a little effort, it can be modifed to work in other environments. At some point,
I plan to take the basic code and convert it to C++ to run with the new trading environment
I'm developing.
The code is released to use as you wish. Feedback on the Sourceforge forum would be
appreciated.
[/Trading/SmartQuant]
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2008 Jan 25 - Fri
SmartQuant QuantDeveloper & DataCenter Release
SmartQuant has released a revision
to DataCenter and
QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:
DataCenter
Version 2.3.6 (25-Jan-2008)
QuantDeveloper Enterprise Edition
Version 2.7.4 (25-Jan-2008)
QuantDeveloper Source Code
Version 2.7.4 (25-Jan-2008)
* Recent Versions available through
version control
[/Trading/SmartQuant/Releases]
permanent link
2007 Dec 29 - Sat
SmartQuant QuantDeveloper & DataCenter Release
SmartQuant has released a revision
to DataCenter and
QuantDeveloper. DataCenter and QuantDeveloper are at the following revision levels:
DataCenter
Version 2.3.5 (29-Dec-2007)
QuantDeveloper Enterprise Edition
Version 2.7.3 (29-Dec-2007)
QuantDeveloper Source Code
Version 2.7.1 (20-Sep-2007)
* Recent Versions available through
version control
[/Trading/SmartQuant/Releases]
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2007 Dec 15 - Sat
SmartQuant QuantDeveloper Code Excerpts
Here are some QuantDeveloper code snippets:
[/Trading/SmartQuant]
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Candle Analysis for SmartQuantLibraries
A couple of posts at the SmartQuant forums have requested information on Candle
definitions and analysis. Here are two C# modules which can used as a basis for your
own analysis and signal generation:
There are various knobs you can make use, with 'bald' (which controls when a hair is
detected) being the main one. There are some percentages which I should have set as
constants scattered through the code (0.40 being one of them), which set whether something
is relatively long bodied or short bodied.
If you have changes, let me know, I'll add them and repost.
The source of inspiration was Bigelow's Profitable Candlestick Trading.
[/Trading/SmartQuant/Articles]
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