januson Registered: Mar 2007 Posts: 105 08-06-10 01:22 PM Quote from gtor514: If what's critical in your mission critical app is a lot of processing and calculation of data, c++ is the way to go hands down. I can see where some HFT routines could be implemented where seconds count and you would want to use c++. c++ can be on a order of 2-30 times faster for some calcs, such as sorts and transforms. Keep in mind that many backtesting and ATS programs can be a java frontend and all the guts are in another language like python or c++. Kind of funny to keep reading these occasionally. This goes to both CPtrader and you! -> I can guarantee you both that it will not be the language that creates the bottleneck, Java, C# or C++ , same same.... What you really should be worrying about is the tick/ trade/ quote-rate at which your provider can deliver his feed and how many messages your trading- pc/ server/ portable can process. What you read about.. take for instance... StreamBase, Esper that announce events up to 500.000 per second, this is nothing compared to doing it yourself. I will soon post my performance measures of commercial CEP contra Homebrewed CEP. Feel free to inspect the comparison between c++, c# and java: http://www.tommti-systems.de/go.htm...benchmarks.html Remember to do your homework before posting such content
dcraig Registered: Jun 2003 Posts: 2050 08-12-10 01:18 PM Quote from nbates: With these techniques, which can only be done in C++, C or ASM there are at least 4-5x ORDERS OF MAGNITUDE the performance of the same thing done in .NET, C# or Java. I don't believe ya! It also depends on what the "thing" that you are doing is. 4-5 order of magnitude difference is right off the deep end - well and truly. Some things are actually faster in Java than C++ - object creation, I believe, being one of them. As an indication, with Java, I can easily deal with several hundred stocks real time using IQFeed which is supposed to send every tick, creating a new tick object for each tick and queuing them in standard Java thread safe queues. This uses a trivial amount of CPU on a Q9550. Fast markets - no problem. I really don't understand what you are talking about with Java collections. There is no COM involved and no C++ STL either, as far as I know. I think the implementation is pure Java. Java is perfectly fast enough for most things including most ATS. Even garbage collection pauses, which has been held to be it's achilles heel for real time work really are not very significant on modern CPUs.
http://www.codeproject.com/KB/cs/CSharpVsCPP.aspx http://www.elitetrader.com/vb/showt...=204368&perpage=6&highlight=java&pagenumber=1
Optimization of trading strategies is an important factor for creating of successful trading systems. In the article "The Best Strategies of the 2006-2010 Automated Trading Championships" we reviewed statistical characteristics of top 20 trading systems of past Championships. This time we use Kohonen maps to analyze the whole picture based on the statistical characteristics of participants of the Automated Trading Championship 2010. The advantage of Kohonen self-organizing maps is their ability to "project" multidimensional data onto a plane. With the learning algorithm of Kohonen, network multidimensional vectors with similar directions appear close to each other and form clusters. Data were analyzed using the Deductor Academic package developed by BaseGroup Labs. Statistical Characteristics of Trading Systems Trade reports of Automated Trading Championship participants contain various statistical characteristics of trading systems. We have chosen some of them for our analysis: Total Net Profit - the difference between the total profit and total loss; Profit Factor - shows the profit generated by profitable trades divided by the losses generated by losing trades; Relative drawdown - shows the maximal drawdown percentage, allowing to estimate possible losses as a percentage of the initial deposit; Trades - the number of trades; Profit Trades (%) - percentage of profitable trades; Average Profit Trade - amount of the average profit; Average Loss Trade - amount of the average loss; GHPR (%) - geometric mean of a relative gain per trade; AHPR (%) - arithmetic mean of a relative gain per trade; Sharpe ratio; ZScore - a serial test of correlation between deals; ZScore (%) - the probability of correlation between deals; LR Correlation; LR Standard Error - standard error of balance deviation from the linear regression; MFE-Profit Correlation - correlation between trade results and Maximum Favorable Excursion (profit in the favorable direction of price movement, use of Take Profit); MAE-Profit Correlation - correlation between trade results and Maximum Adverse Excursion (loss in the unfavorable direction of price movement, use of Stop Loss); MFE-MAE Correlation; Recovery Factor. You can read the full text of the article on the Championship site - Analyzing Trading Results of the ATC 2010 Participants. The Automated Trading Championship 2011 is sponsored by MIG Bank, Go Markets Pty Ltd and Vantage FX. The media sponsor is Forex-TSD.
MGJ Registered: Jun 2006 Posts: 707 08-20-11 06:29 PM Yes there is. Here is how you can discover it for yourself. First, calculate your total risk of the position at the time of entry: ($ risk per share at entry) x (#shares at entry). Let us call this number "TRAE" for TotalRiskAtEntry. Now, some amount of time after trade entry, calculate your total risk right now: ($risk per share right now) x (#shares right now). Let us call this number "TRRN" for TotalRiskRightNow. If the trade has moved in your favor and if your stop has tightened up, there is a chance that TRRN < TRAE. In other words, the risk right now is LESS THAN the risk at entry. If so you can take some additional risk, equal to (TRAE - TRRN). So use this additional amount of risk, to calculate how many shares you can add onto your existing position, thereby lifting your TotalRiskRightNow, back up to the TotalRiskAtEntry. Express it as a formula and email it to yourself. Post it here if you're feeling generous. That wasn't so complicated, was it?
Maverick74 Registered: Mar 2002 Posts: 9774 01-19-11 04:19 PM 2010 Hedge Fund Returns: Performance Numbers From Top Managers Data from Hedge Fund Research indicates that as a whole, hedge funds returned 10.5% for 2010, lagging the S&P 500 return of 15.06%. Below you'll find specific hedge fund performance from top managers for last year. We'll continually update this post as more numbers roll in. In general, the month of May was brutal for hedgies, but the majority managed to turn things around by the end of the year. And if you're interested in a year-over-year comparison, head to our posts on 2009 hedge fund returns as well as 2008 returns. Hedge Fund Returns: 2010 Paulson & Co: +11%. That number pertains to John Paulson's Advantage Fund. The firm saw varied performance last year as its Advantage Plus Fund returned 17%, its Recovery Fund soared 24%, its Gold Fund returned 35%, and its merger arbitrage fund returned 27%. Also worth highlighting is the fact that the gold share classes of Paulson's funds performed markedly better. The gold share class of the Advantage Fund was up 31% in 2010 (compared to +11% for the normal class). As always, we've showcased an in-depth look at Paulson's gold fund. Bridgewater Associates: +38%. Ray Dalio's 'zen' approach to an investment firm paid off as they returned one of the higher totals across the hedge fund industry last year. The firm manages around $34 billion. Renaissance Technologies (Medallion Fund): +30%. Jim Simons' legendary hedge fund continued its epic run of performance in 2010. What's astonishing is that those numbers are net of a 5% management fee and a 44% performance fee (gross performance of the fund would have been around 60%). Back in 2008, Medallion returned an astonishing 80% while markets crumbled. RenTec's RIFF finished up 22.7% and its RIEF was up 16.5%. We've posted up the Medallion Fund's historical returns before for those interested. Millennium Management: +13.3%. Israel Englander's firm now manages around $9.1 billion. Greenlight Capital: +12.5%. We've of course covered David Einhorn's portfolio in-depth on the site. Last year seems to be the first that he's lagged the major market indexes as he took a cautionary stance given economic uncertainty. SAC Capital: +15%. Steven Cohen's firm was amongst a bevy of other hedge funds that saw returns in the mid-teens. Pershing Square Capital: +29.7% net. Bill Ackman's hedge fund had a stellar year as a bet on General Growth Properties' (GGP) bankruptcy turnaround paid off. Ackman discusses his portfolio here. Tudor Investment Corp: +7.5%. Paul Tudor Jones' flagship BVI Global fund was positive for the year but still lagged the markets in general. Glenview Capital: +15.3% net. Here is our coverage of Larry Robbins' portfolio activity. Moore Capital: +3%. Louis Bacon's flagship Moore Global was up only single digits for 2010, but its macro managers fund returned 105%. AQR Capital: +27.3%. Cliff Asness' firm saw solid returns last year in its macro strategy. Third Point: +34%. Dan Loeb's Offshore hedge fund had an impressive year and we've detailed his portfolio throughout the year. He manages around $2 billion. JANA Partners: +8.4%. Barry Rosenstein's activist and event-driven hedge fund has around $1.9 billion AUM. Clarium Capital: -23%. Peter Thiel's hedge fund continues to struggle as its long-term predictions face near-term volatility. While Clarium was down single digits in 2008 (and thus beat the market that year), the fund has lost money for three straight years. At last tally, Clarium managed $681 million, way down from its peak of over $7 billion. Citadel Investment Group: +10%. Ken Griffin's investment firm saw 10% returns in its main Kensington and Wellington funds. Passport Capital: +5% gross. John Burbank's macro style of investing has been known for its volatile near-term swings but solid long-term performance. We previously posted Passport's market commentary. Centaurus Energy: -3.8%. Famed energy trader John Arnold suffered his first yearly loss in 2010. Arnold makes large and concentrated bets and has been hampered by regulators imposing position limits. Xerion Fund (Perella Weinberg Partners): +12.66% net. Dan Arbess' fund manages $2.3 billion and we posted Xerion's 2011 investment outlook. BlueCrest Capital: +16%. This quant fund turned in better numbers than its multi-strategy fund, which was up 8% or so. T2 Partners: +10.3% net. Whitney Tilson and Glenn Tongue's hedge fund had a great start to the year but then bled gains as their short positions rallied against them. Here are T2's long and short positions. Och-Ziff: +8.44%. Performance is for their flagship Master Fund. Their Special Investments Fund was up 13.16% for 2010. The firm manages over $27 billion. Perry Capital: +14.6%. We talked about one of Richard Perry's latest investments here. Possibly the most intriguing note about hedge fund returns for 2010 is that a number of big name investors lagged market indices. This includes Ken Griffin (Citadel), Paul Tudor Jones (Tudor Corp), and one of Louis Bacon's funds (Moore Capital). Heading into 2011, we've already seen that hedge funds have reduced equity exposure so it will be interesting to see how they zig and zag through markets this year. Read more: http://www.marketfolly.com/2011/01/...l#ixzz1BUzFtfmD
Tintin92 Registered: Nov 2004 Posts: 29 06-05-10 10:41 AM Hello, Open Source Java Trading Softwares This list is keep up to date here : http://groups.google.com/group/javatraders Open Source Java Trading Softwares Release 1.4.3 ActiveQuant http://www.activequant.org/ http://www.activestocks.eu/ 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. ActiveQuant P2 http://aqp2.activequant.org P2 is one part of the activequant suite, providing optimization and live running capabilities for algorithm trading. It is possible to use all AQ API modules from within P2. AIOTrade http://sourceforge.net/projects/humaitrader http://blogtrader.org/ AIOTrade (formerly Humai Trader Platform) is a free, open source stock technical analysis platform built on pure java. Its pluggable architecture is also ideal for custom features extending, such as indicators and charts. It Requires JRE 1.5.0+. Auge http://sourceforge.net/projects/auge http://auge.sourceforge.net/ Auge is an easy-to-use financial portfolio management application. Auge will help you monitor and analyze your stock and mutual fund positions, providing powerful insight into your entire investment portfolio. Chartsy https://sourceforge.net/projects/chartsy/ http://www.chartsy.org/ Chartsy - Open Source stock charting, screening and trading platform Crossbow http://crossbow-library.blogspot.com/ http://github.com/ViliusN/Crossbow Crossbow is an open source Java library for trading strategy developers. Data Visualizer http://sourceforge.net/projects/dataviews http://dataviews.sourceforge.net/ Modular environment for graphical visualization of stock market type data EclipseTrade http://sourceforge.net/projects/eclipsetrader/ http://eclipsetrader.sourceforge.net/ Stock exchange analysis system, featuring shares pricing watch, intraday and history charts with technical analysis indicators, level II/market depth view, news watching, automated trading systems, integrated trading. Based on Eclipse RCP framework. JOpenComponents http://sourceforge.net/projects/jopencomponents/ JOpenComponents is meant to be a common platform to develop trading systems using the Interactive Brokers API (TWS). JQuantLib http://sourceforge.net/projects/jquant/ http://www.jquantlib.org JQuantLib aims to provide a free, open-source and comprehensive framework for quantitative finance, written in Java. It's based on QuantLib, which is written in C++. For more information on JQuantlib, please see http://www.jquantlib.org JBookTrader http://code.google.com/p/jbooktrader/ http://groups.google.com/group/jbooktrader JBookTrader is a fully automated trading system (ATS) that can trade various types of market securities during the trading day without user monitoring. JStock http://sourceforge.net/projects/jstock/ http://jstock.sourceforge.net/ JStock is a free stock market software for 24 countries. It provides Stock watchlist, Intraday stock price snapshot, Stock indicator editor, Stock indicator scanner, Portfolio management and Market chit chat features. Free SMS/email alert supported. JSystemTrader http://code.google.com/p/jsystemtrader/ http://groups.google.com/group/jsystemtrader JSystemTrader is a fully automated trading system (ATS) that can trade various types of market securities during the trading day without user monitoring. Manticore-trader http://www.manticore-projects.com/ http://developer.berlios.de/projects/manticore/ Manitcore-trader is a feature complete software collection about short and mid term trading of equities, indices, commodities or currencies through derivatives (e. g. certificates). Market Analysis System http://sourceforge.net/projects/eiffel-mas http://eiffel-mas.sourceforge.net/ System for analysis of financial markets using technical analysis. Includes facilities for stock charting and futures charting, as well as automated generation of trading signals based on user-selected criteria. Operates on both daily and intraday data. Marketcetera http://trac.marketcetera.org/ http://www.marketcetera.com/ Marketcetera LLC is building a new software platform committed to providing fast, flexible and reliable securities trading tools to financial services professionals. Merchant of Venice http://sourceforge.net/projects/mov http://mov.sourceforge.net/ Venice is a stock market trading programme that supports portfolio management, charting, technical analysis, paper trading and genetic programming. Venice runs in a graphical user interface with online help and has full documentation. ojAlgo http://sourceforge.net/projects/ojalgo/ http://ojalgo.org/ oj! Algorithms - ojAlgo - is Open Source Java code that has to do with mathematics, linear algebra and optimisation; particularly (but certainly not exclusively) suitable for the financial domain. Open Java Trading System http://sourceforge.net/projects/ojts/ http://ojts.sourceforge.net/ The Open Java Trading System (OJTS) is meant to be a common infrastructure to develop (stock) trading systems. There are four parts: gathering of raw data over the internet, recognition of trading signals, a visualisation module and trading with banks. Oropuro trading system http://sourceforge.net/projects/oropuro http://www.oropuro.org Complete technical analysis & trading system, full set of features: retrieve, analyze EOD stocks data; manage multiple portfolios; technical analysis & graphical rendering; neural networks for generation of trading signals; support trader community, SFL Java Trading System Enviroment http://sourceforge.net/projects/sfljtse http://www.sflweb.org/index.php?blog=sfljtse The SFL Java Trading System Enviroment is a java application built on KISS principle (Keep It Simple,Stupid) and its aim is to provide a fast and platform indipendent infrastructure to develop and execute trading systems. TrueTrade http://code.google.com/p/truetrade/ TrueTrade is a framework for developing, testing and running automatic trading systems. It is intended to provide support for a wide range of orders, financial instruments and time scales.
cooolweb Registered: Sep 2010 Posts: 369 09-04-11 12:27 PM Quote from Lucias: I'm, also, going to give you some deep insight. You are operating from a mindset so far from the successful mindset that wow you're going to do a complete 360.ake a good poker player if you know the value of a dollar. I'm going to give you a really key and brilliant insight. This insight is so brilliant that I actually wasn't even going to share it. The insight is that I'm fat (I am doing something about it, I'm on a vegetarian/Paleo diet now) but still the point is that I'm fat. I'm not fat because I'm undisciplined. If I knew everyday how much I needed to eat and workout without a doubt to lose weight then I'd always either be flat or lose weight. I got fat and I'm fat because I don't know where that line is, and I like to eat. I was ignorant about how much I was eating. If I knew the exact number I'd always be disciplined.. I was an optimist.. I was ignorant. But I wasn't undisciplined nor lazy. Maybe, I had a problem with making good eating decisions under conditions of uncertainty, sure you could argue that. Bottom line is that I don't know the number. If I knew where the line was then I wouldn't have any problem. this is EXTREMELY bad, what ur insights tell me, is u are not facing reality, a successful trader must be successful in almost everything. what ur insight tells me if you can't fix a simple problem such as weight loss, it means you are over valueing yourself by **a lot**. A successful person, keeps on refining everything he does. To put it bluntly, you want to be successful, make sure its everything. You just can't be a successful trader while being a fatass. you have a lot to work on yourself, be persistant, work on improving a small thing one at a time, espically that weight loss shit, thats without a question the easiest problem a man can ever have. Always stay real to oneself, be as close to reality as possible.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=81958&perpage=6&pagenumber=88 http://goldsilver.com/about/