2008 Jul 03 - Thu

Upgrade from Eclipse Europa to Ganymede (with painful Subversion)

Today, I upgraded from Eclipse/CDT Europa to Eclipse/CDT Ganymede. (CDT meaning C++ Developer Tools). The Eclipse upgrade was painless: download the Eclipse/CDT package, expand it, and start eclipse from within the directory. After pointing it to my workspace, everything was there. Nicely simple.

My subversion client was an entirely different story. For the Europa installation, everything came from the tigris site and worked well. For the Ganymede installation, there are now two sites involved, and I'm not sure which is what. I think the tigris site can now be ignored (for the time being). In the installation instructions somewhere, one needs to go to the Polarion site for their client. There are Eclipse update links there.

However, what I assumed to be workable defaults of using the JavaHL library on Debian turned out to be non-workable. The solution was not to use the JavaHL client but use the SVNKit client.

My key problem is that my SVN repository requries an ssh public/private key. The JavaHL library, if or when it would or wouldn't load, I'm not sure what I was seeing, but I could only see the option for user name and password authentication.

It would have been nice if the Subversion/Polarion/Eclipse guys would all get together and make it straight-forward in terms of which libraries from which sites need to be download. If they imply that the JavaHL libraries should be downloaded, please make it painless to get the paths set and ensure the binaries are present. After 15 million lines of code, you'd think that would be a small task to accomplish.

2008 Jun 17 - Tue

Concurrency aka MultiThreading

A number of my projects are approaching the phase where some of their feature sets will work better with some form of background processing. In a trading application, plowing through historical data on thousands of symbols looking for patterns would be best left to a background task, rather than rendering the user-interface frozen during the, well, duration. For Radius, with a listener on an accounting port, and one on an authorization port, the two threads need to coordinate access to resources.

Windows has a native threads API, but that isn't necessarily portable between operating systems. My trading application is in Windows, and the Radius application in on Linux. Using the same API on both platforms wuold be cool.

As I already use the Boost tools in their various forms, Boost::Thread would be a good candidate. The Boost documentation isn't exactly overflowing with examples. Dr. Dobb's Portal saves the day with an article dating from May 2002 entitled The Boost.Threads Library. It has good examples covering the basics:

• Thread Creation (boost::thread)
• Mutexes (boost::mutex), which protects one thread from another
• Condition Variables (boost::condition), which are good for getting data into and out of a thread
• Thread Local Storage (boost::thread_specific_ptr), for keeping thread specific storage separate from other threads
• Once Routines (boost::call_once), for making sure statics are initialized once and only once

For mutexes, protecting code regions can be as easy as declaring a mutex:

boost::mutex CodeProtectionMutex;

And then putting a scoped lock in the code encountered by multiple threads:

{ // some scope some where
  // ... some code
boost::mutex::scoped_lock lock(CodeProtectionMutex);
  // .. some more code, which is protected by the lock
} // the scope exit, no unlock is required as the destructor does the work

After reviewing the examples, making use of the Boost documentation should be an easier task. As such, boost::thread documentation should be reviewed anywa as boost::thread has gone through some changes since that article.

Paul Bridger has also written a tutorial on multithreading making use of the boost::thread class. The navigation through the tutorial isn't the greatest, but the content is good.

Making use of boost::thread as a base, Philipp Henkel has written threadpool. It has been brought up to date for use with boost v1.35. It provides a dead easy solution to making use of a limited number of worker threads to carry out tasks:

    pool tp(2);  //create a 2 thread pool
    
    // Add some tasks to the pool.
    tp.schedule(&first_task);
    tp.schedule(&second_task);
    tp.schedule(&third_task);  // this task waits until of the other two completes

In the similar vein to Henkel, Ted Yuan has a boost::thread based C++ Producer-Consumer Concurrency Template Library.

Zoltán Porkoláb has written an article on Distributed Programming and Metaprogramming in C++. It has many examples and goes into some additional examples for boost::thread. His article also introduces bind and tuples, which are good backgrounds to boost::lambda.

Back to boost for a second. You can't find it from the boost home page, but here is a good link to Boost Libraries Listed Alphabetically.

boost::thread is a basic threading library. Going above and beyond multi-threading grunt work, Intel's Thread Building Blocks has higher level constructs for getting multiple threads going. For example, it has a 'for' construct for simultaneously executing multiple elements of the for statement. Good tutorials and background information can be read through Kevin Farnham's Blog.

Building further on the Threading Building Blocks is something of simulating interest: go parallel looks to be chock full of content related to multi-core and multi-threaded programming.

From the theoretical perspective, I came across an HP paper called Foundations of the C++ Concurrency Memory Model, and written by Hans-J. Boehm and Sarita V. Adve. I havn't read it all the way through, but at some time, I think the bibiliography may be a worthy read in itself.

2008 Jun 16 - Mon

Keyword Matching (non-text streams)

In a previous blog article, I presented the beginnings of a Keyword Lookup class. This article takes that work, turns it into a template and makes it useful for longest match lookups.

I'll have to compare this lookup library with what a C++ map or unordered_map does for lookup speed. I'm hoping that when a comparison is made, that this routine is indeed faster. I'm thinking it might be because, even though a map will do a binary search through it's map, complete strings are compared at each step. With this library, keyward patterns are added to a rooted tree of characters, possibly reducing the amount of time spent mactching.

I must admit that at each match step, there is a linear search performed through a list of likely character candidates. To imporve the search, I've been thinking that once the pattern tree has been created, it could be sorted so that each step search can be done with a binary search. This will be something for next time.

In the meantime, this routine does work for finding maximum matches. For example when performing a long distance rate lookup, this will find the most specific rate code from a list of various length candidates, something which is difficult to do with a map.

This keyword match algorithm is template based. 'class T' is the type to be returned upon a successful match. It can be an index, a pointer, a number, or anything else suitable. The class constructor requires an initializer... basically a value to be given the equivalent meaning of NULL. On no match, this value is returned. Use 'AddPattern' to add patterns and their associated 'meanings'. Use FindMatch to perform the lookup.

// this is kind of a subset of Aho Corasick algorithm
// only full keyword matching, no text searches
// no on failure coding

#ifndef CKEYWORDMATCH_H_
#define CKEYWORDMATCH_H_

#include <string>
#include <vector>
#include <stdexcept>
#include <iostream>

template<class T> class CKeyWordMatch {
public:
  explicit CKeyWordMatch<T>( T initializer, size_t size );
  virtual ~CKeyWordMatch(void);
  void ClearPatterns( void );
  void AddPattern( const std::string &sPattern, T object );
  T FindMatch( const std::string &sMatch );
  size_t size( void ) { return m_vNodes.size(); };
protected:
    T m_Initializer;
  struct structNode {
    size_t ixLinkToNextLevel;  // next letter of same word
    size_t ixLinkAtSameLevel;  // look for other letters at same location
    T object;  // upon match, (returned when keyword found)
    char chLetter;  // the letter at this node
    explicit structNode( T initializer ) : ixLinkToNextLevel( 0 ), ixLinkAtSameLevel( 0 ), 
      object( initializer ), chLetter( 0 ) {};
  };
  std::vector<structNode> m_vNodes;
private:
};

template<class T> CKeyWordMatch<T>::CKeyWordMatch( T initializer, size_t size )
: m_Initializer( initializer )
{
  m_vNodes.reserve( size );
  ClearPatterns();
}

template<class T> CKeyWordMatch<T>::~CKeyWordMatch(void) {
  m_vNodes.clear();
}

template<class T> void CKeyWordMatch<T>::ClearPatterns() {
  m_vNodes.clear();
  structNode node( m_Initializer );
  m_vNodes.push_back( node ); // root node with nothing
}

template<class T> void CKeyWordMatch<T>::AddPattern( 
              const std::string &sPattern, T object ) {
  std::string::const_iterator iter = sPattern.begin(); 
  if ( sPattern.end() == iter ) {
    throw std::invalid_argument( "zero length pattern" );
  }
  size_t ixNode = 0;
  size_t ix;
  bool bDone = false;
  while ( !bDone ) {
    char ch = *iter;
    ix = m_vNodes[ ixNode ].ixLinkToNextLevel;
    if ( 0 == ix ) { // end of chain, so add letter
      structNode node( m_Initializer );
      node.chLetter = ch;
      m_vNodes.push_back( node );
      ix = m_vNodes.size() - 1;
      m_vNodes[ ixNode ].ixLinkToNextLevel = ix;
      ixNode = ix;
    }
    else { // find letter at this level
      bool bLevelDone = false;
      size_t ixLevel = ix;  // set from above
      while ( !bLevelDone ) {
        if ( ch == m_vNodes[ ixLevel ].chLetter ) { 
          // found matching character
          ixNode = ixLevel;
          bLevelDone = true;
        }
        else {
          // move onto next node at this level to find character
          size_t ixLinkAtNextSameLevel 
            = m_vNodes[ ixLevel ].ixLinkAtSameLevel;
          if ( 0 == ixLinkAtNextSameLevel ) {
            // add a new node at this level
            structNode node( m_Initializer );
            node.chLetter = ch;
            m_vNodes.push_back( node );
            ix = m_vNodes.size() - 1;
            m_vNodes[ ixLevel ].ixLinkAtSameLevel = ix;
            ixNode = ix;
            bLevelDone = true;
          }
          else {
            // check the new node, nothing to do here
            // check next in sequence
            ixLevel = ixLinkAtNextSameLevel;
          }
        }
      }
    }
    ++iter;
    if ( sPattern.end() == iter ) {
      if ( m_Initializer != m_vNodes[ ixNode ].object ) {
        throw std::domain_error( "Pattern already present" );
      }
      m_vNodes[ ixNode ].object = object;  // assign and finish
      bDone = true;
    }
  }
}

template<class T> T CKeyWordMatch<T>::FindMatch( const std::string &sPattern ) {
  // traverse structure looking for matches, object at longest match is returned
  std::string::const_iterator iter = sPattern.begin(); 
  if ( sPattern.end() == iter ) {
    throw std::runtime_error( "zero length pattern" );
  }
  T object = m_Initializer;
  size_t ixNode = 0;
  size_t ix;
  bool bDone = false;
  while ( !bDone ) {
    char ch = *iter;
    ix = m_vNodes[ ixNode ].ixLinkToNextLevel;
    if ( 0 == ix ) {
      bDone = true;  // no more matches to be found so exit
    }
    else {
      // compare characters at this level
      bool bLevelDone = false;
      size_t ixLevel = ix;  // set from above
      while ( !bLevelDone ) {
        if ( ch == m_vNodes[ ixLevel ].chLetter ) {
            if ( m_Initializer != m_vNodes[ ixLevel ].object )
                object = m_vNodes[ ixLevel ].object;
          ixNode = ixLevel;
          bLevelDone = true;
        }
        else {
          ixLevel = m_vNodes[ ixLevel ].ixLinkAtSameLevel;
          if ( 0 == ixLevel ) {  // no match so end
            bLevelDone = true;
            bDone = true;
          }
        }
      }
    }
    ++iter;
    if ( sPattern.end() == iter ) {
      bDone = true;
    }
  }
  return object;
}

#endif /*CKEYWORDMATCH_H_*/

2008 Jun 15 - Sun

Mean Reversion Thoughts

While still putting together the code for a trading solution, I've been thinking about what algorithms to implement for a trading strategy. I have access to live intra-day tick and quote data, so mean-reversion aka contrarian strategies seem like interesting candidates.

In the course of manual trading, I've learned that one needs to keep track of a number of items: current portfolio costs, current holding costs, existing profit/losses, expected market direction, current market location, external influences. This is a lot to do manually. Hence the desire to implment tools to automate, or even semi-automate the process.

A paper by Subramanian Ramamoorthy called A strategy for stock trading based on multiple models and trading rules discusses a state space mechanism for determining how to manage the portfolio composition. Another item he brings to the foreground is a description of the Sharpe Ratio, a ratio which helps one to keep profit consistent rather than widely dynamic.

Using different terminology, the makers of NeoTicker have a blog with an article called Counter-Trend Trading with Simple Range Exhaustion System. The key point, which could be hard to do, is "most counter-trend traders will try to time their entries as close to the extreme reversal points as possible to maximize the profits and minimize the risk exposures". Using multiple time frame charts, and reading the tape, along with some possibly helpful technical analysis tools, it might be possible to home in on the zones of reversal.

Working my way into a little scalping in the futures, an older article at Interactive Brokers explains the birth of the Dow Mini Futures. Some interesting points:

• "try to identify the leader in a group and how its price movement can help us predict movement in others in the group"
• "we start to trade it by hand so we can get a better understanding of the nuances in that particular trade"
• "We have a trader and a programmer trade together for a while and then we start the process of automation. We define our risk parameters and write the rules that we feel give us an opportunity to be profitable."
• "In our back testing we saw that if we were patient it would be profitable for us. The hard part was learning to be patient because our other successful trades were very high frequency. In the mini-sized Dow we may be in and out of 5 to 10 trades in a less than minute."
• hedge the mini dow with the underlying basket of stocks
• "We don't have scalping targets. We generate a theoretical value and make markets based purely on that value If we our pricing is accurate and we should naturally be able to scalp."
• "In the Dow because the bid-ask spread is so tight most of our profits are generated from trading."
• "he dow has a much tighter spread compared to the mini-spu. Also it is much easier to watch the stocks in the underlying basket to ascertain their effect on the future."
• "The Russell tends to be trendier than other indices."

Adaptive Arrival Price

A keynote lecture at the April 7th Algorithmic Trading Conference in London was by Mr. Julian Lorenz of ETH Zurich. The abstract for his lecture reads as follows:

Electronic trading of equities and other securities makes heavy use of "arrival price" algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they donot modify the execution speed in response to price motions observed during trading. We show that with a more realistic formulation of the mean-variance tradeoff, with no momentum or mean reversion in the price process, substantial improvements are possible by using dynamic trading strategies. We develop a technique for computing optimal dynamic strategies to any desired degree of precision. The asset price process is observed on a discrete tree with a arbitrary number of levels. We introduce a novel dynamic programming technique in which the control variables are not only the shares traded at each time step, but also the maximum expected cost for the remainder of the program; the value function is the variance ofthe remaining program. The resulting adaptive strategies are"aggressive-in-the-money": they accelerate the execution when the price moves in the trader's favor, spending parts of the trading gains to reduce risk. The improvement is larger for large initial positions.

I think I'll add 'arrival price algorithms' to my key word searches. The above extract was from a search on 'mean reversion trading system algorithms'.

2008 Jun 08 - Sun

Stocks & Commodities, 2008/06

In a recent issue of Technical Analysis of Stocks and Commodities, there was an interview with Tom Busby. A number of his comments struck home with some things I've learned. He also introduced a few more things about which I should think.

He noted that trading can be a twenty four hour operation. There is always some market open to trade. The world starts off with the Nikkei and the Hang Seng in the far east. In Europe, primary markets are CAS, FTSE, DAX and the Swiss. I'd say in today's market the IPE, with the Brent Crude Futures, is also important. Here in the west, we have the morning New York market and the afternoon California market.

Busby made mention that 'market open' is an important event. As such, it is important to know the time each of the markets open. I've been working on an algorithm that selects a series of instruments, selects a direction and lets the instruments run. I've been wondering what to set for an exit though. Busby, in the interview, suggests exiting once a third of ATR (Average True Range) has been reached. I'm not sure why he would use ATR (which accounts for any opening gap) rather than just the daily average range. Assuming one gets in sometime in the open, and exits by the end of the day (in order to eliminate what gaps in the wrong direction can do to one's portfolio), then using ATR doesn't seem quite right.

Anyway, To set the tone for a trading day, he suggests some benchmark indexes to be watched. Seven, which he calls the Seven Sisters are:

• S&P
• NASDAQ
• Dow Jones Indexes
• DAX
• Crude Oil
• Long Bonds
• Gold

As for micro-signals, he uses three kinds, with each needing to be in the same direction:

• Volume
• Tick (gainers vs loser)
• Trend

To finish things off, he suggests splitting an entry into three parts:

• Tick Part: the trickiest part of the entry based upon the three variables above
• Trade Part: with confidence building, try to make twice the reward vs risk
• Trend Part: capture the full movement of the day

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 

Wt, Some Build Modifications

Back on 2007/10/03, I wrote about installing Wt (a C++ library and application server for developing and deploying web applications) on a Debian server. I've revised things a little bit since thing while building Wt v2.1.3.

In this case, I build with the newly released version of the Boost libraries: 1.35. ASIO is now included in Boost, so some build steps can be removed.

Prerequisites are little changed but for a different library for gd:

apt-get install gcc
apt-get install zlib1g
apt-get install zlib1g-dev
apt-get install libbz2-dev
apt-get install libgd2-noxpm-dev
apt-get install cmake
apt-get install libfcgi-dev
apt-get install libapache2-mod-fastcgi
apt-get install libssl-dev

The web site and repository for Wt have changed, so CVS commands will be a bit different:

cvs -d :pserver:anonymous@cvs.webtoolkit.eu/opt/cvs login
cvs -z3 -d :pserver:anonymous@cvs.webtoolkit.eu/opt/cvs co wt

I've changed the cmake/build a little bit so the results go into /usr/local/wt/include and /usr/local/wt/lib:

cmake -D DEPLOYROOT=/var/www/wt -D WEBUSER=www-data -D WEBGROUP=www-data \
-D BOOST_DIR=/usr/local \
-D BOOST_COMPILER=gcc42 \
-D BOOST_VERSION=1_35 \
-D BOOST_INCLUDE_DIR=/usr/local/include/boost \
-D BOOST_LIB_DIR=/usr/local  \
-D BOOST_DT_LIB_MT=/usr/local/lib \
-D BOOST_DT_LIB=/usr/local/lib \
-D BOOST_FS_LIB=/usr/local/lib \
-D BOOST_FS_LIB_MT=/usr/local/lib \
-D BOOST_PO_LIB_MT=/usr/local/lib \
-D BOOST_REGEX_LIB_MT=/usr/local/lib \
-D BOOST_SIGNALS_LIB_MT=/usr/local/lib \
-D BOOST_THREAD_LIB=/usr/local/lib \
-D BOOST_ASIO_INCLUDE_DIR=/usr/local/include/boost  \
-D SHARED_LIBS=ON \
-D CONNECTOR_FCGI=OFF \
-D CONNECTOR_HTTP=ON \
-D EXAMPLES_CONNECTOR=wthttp \
-D WTHTTP_CONFIGURATION=/etc/wt/wthttpd \
-D CONFIGURATION=/etc/wt/wt_config.xml \
-D CMAKE_INSTALL_PREFIX=/usr/local/wt \
.

During make install, an error regarding CMakeFiles arises. The secret, that I know, is to remove the line which includes CmakeFiles in src/Ext/cmake_install.cmake, and restart 'make install'. The install should complete normally.

The library directory /usr/local/wt/lib will need to be added to /etc/ld.so.conf, and then run ldconfig to update things.

Remember to review the Ext widgets deployment page as there are some additional files to be downloaded and installed from Ext JS.

2008 Jun 04 - Wed

PostgreSQL Upgrade 8.2 to 8.3

Back in Febrary, I wrote a longish article on how to upgrade PostgreSQL. That article is outdated. An upgrade can now take place with two lines:

pg_upgradecluster -v 8.3 8.2 main
pg_dropcluster 8.2 main

The first copies the older version 8.2 files to the new 8.3 files directory. It does any modifications necessary. The second line then removes the old stuff.

2008 Jun 03 - Tue

OpenSSH Issues

In light of the not so recent news regarding the vulnerability of openSSH in Debian, many systems have had to be patched and inter-machine keys changed.

Via Steven Rosenberg's Site I learn that a simple 'apt-get update && apt-get dist-upgrade' will update the necessary files on my system. Also in the blog entry is a reference to DRONEBL which is another black list site dealing with root compromised sites. A commenter posts the following interesting remarks about further protecting a server:

If you aren't running fail2ban or denyhosts, you should. Both will detect brute force attempts and deny connections from the attacker for a time. If you feel uncomfortable automatically banning hosts for failed logins, you can weakly configure whichever you choose to allow 20 or more failed attempts before banning. There's no reason any authenticated service should tolerate brute force attempts, in my humble opinion.

Finally, there are services, such as the DroneBL dnsbl, which have honeypot servers set up to detect brute force attempts and add them to a blacklist. You can use the "aclexec" directive in hosts.deny to query this blacklists before allowing clients to connect, to prevent connections from known brute force attackers. See http://headcandy.org/rojo/ for a suitable script to call via aclexec (view the source for the checkdnsbl script for usage instructions), and see the man page for hosts_options for more info.

Running 'ssh-vulnkey -a' showed that there were a couple keys that needed to be deleted and/or redone.

Debian has a WIKI with good information regarding the problem, affected programs, and utilities to help determine where the problems are.

If weak keys have been copied to other non-Debian hosts, the keys need to be removed from those hosts as well.