Autospreader's Blog

Interesting survey article -> “Measuring market liquidity: An introductory survey”

autospreader — Tue, 03 Jan 2012 13:59:20 +0000

I ran across this artcle in my morning reading and thought it may be enjoyable for others. Cheers!

Excel/Code bundle

autospreader — Thu, 29 Dec 2011 13:47:55 +0000

Per request, I have bundled all the Excel files and source code into a single ZIP archive and posted it @ http://www.fileserve.com/file/yCqYtB8/Autospreader.zip for a single download.

Happy New Year!

Yahoo! Finance data downloading tool

autospreader — Fri, 18 Nov 2011 13:00:49 +0000

Hola!

I would like to share with you a small project that I created in C# for collecting end-of-day data from Yahoo!Finance. This application (source included) will create a directory on your C:\ drive called “data” where it will create many CSV files for each instrument listed in “MasterSymbols.txt” listed in the Working directory, that is the directory that you run the executable from. Add symbols to the “MasterSymbols.txt” file if you want to have the application pull them down as well. It is a console application that will write out exactly what symbol it is downloading and from when it is doing this.

The source code and binaries are here

You will need 7-zip to un-compress them.

A C# class for downloading Yahoo!Finance data

autospreader — Mon, 17 Jan 2011 05:46:51 +0000

well there has been demand for a utility to download data from Yahoo!Finance so here you go (https://sourceforge.net/projects/autospreader/files/C%23/YahooFinance.cs/download).

A C# Ornstein-Uhlenbeck class

autospreader — Mon, 17 Jan 2011 05:38:02 +0000

Here (https://sourceforge.net/projects/autospreader/files/C%23/OrnsteinUhlenbeck.cs/download) is the file…it has a dependency on GeneralMatrix again (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx). Enjoy!

A C# Kalman filter class

autospreader — Mon, 17 Jan 2011 05:26:17 +0000

Well here you go, a small C# class for Kalman filtering (https://sourceforge.net/projects/autospreader/files/C%23/KalmanFilter.cs/download)….it has a dependency on the GeneralMatrix (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx) library but any matrix library would suffice….Enjoy and as always if you have questions ASK!

C# class for spreads

autospreader — Sun, 16 Jan 2011 23:58:48 +0000

Per requests, I put together a simple C# class for spreads that we have spoken of to date in this blog. You can grab it from my sourceforge site (https://sourceforge.net/projects/autospreader/files/C%23/Spread.cs/download).

Open source options chain calculator

autospreader — Wed, 12 Jan 2011 10:45:09 +0000

Found this (http://opensourcefinancialmodels.com) calculator on NuclearPhynance.com under software and thought it was a great share. It runs any of the options models behind the scenes that are available in Financial Recipes in C++ at http://finance.bi.no/~bernt/gcc_prog/.

2010 in review

autospreader — Wed, 12 Jan 2011 10:33:57 +0000

The stats helper monkeys at WordPress.com mulled over how this blog did in 2010, and here’s a high level summary of its overall blog health:

The Blog-Health-o-Meter™ reads Wow.

Crunchy numbers

A Boeing 747-400 passenger jet can hold 416 passengers. This blog was viewed about 8,300 times in 2010. That’s about 20 full 747s.

In 2010, there were 36 new posts, growing the total archive of this blog to 41 posts. There were 57 pictures uploaded, taking up a total of 15mb. That’s about a picture per week.

The busiest day of the year was March 30th with 215 views. The most popular post that day was C# Yahoo! stock data downloading/charting .

Where did they come from?

The top referring sites in 2010 were Google Reader, en.wordpress.com, forexfactory.com, linkedin.com, and slashingtongue.com.

Some visitors came searching, mostly for autospreader blog, autospreader, autospreader.wordpress.com, eurodollar butterfly, and cqg autospreader.

Attractions in 2010

These are the posts and pages that got the most views in 2010.

C# Yahoo! stock data downloading/charting February 2010
8 comments

The future of quantitative trading March 2010
2 comments

Eurodollar butterfly relationships February 2010
1 comment

Treasury – Eurodollar (TED) spreads February 2010

Eurodollar term structure February 2010

MongoDb trials

autospreader — Sun, 09 Jan 2011 21:28:47 +0000

Alright I am a sucker for new technology and well I have been sucked into a new NoSql solution called MongoDb (http://www.mongodb.org/). Basically I dislike Sql as it lacks the performance of most alternatives on the market (CouchDB, MongoDb, etc.) and the Sql Management studio is a poorly designed user interface. Wait can it really perform that much better than my good ol’ SQL? Check out Kennedy’s blog (http://www.michaelckennedy.net/blog/2010/04/29/MongoDBVsSQLServer2008PerformanceShowdown.aspx) for some background; he has done some extensive testing on this subject and came up with some stunning results. I have posted his results at the end of this post for your inspection. There is the source, C# driver, and a few other source code goodies here (https://github.com/mongodb). I will post a separate article on using the C# driver later on but wanted to give an introduction for now.

So what is MongoDb? A high performance DOCUMENT database and by document I mean Java Script Object Notation (JSON, http://bsonspec.org/). What does this mean for me? I can store nested and often very complex data structures in this database and still be able to query such a thing.

So is it hard to install and run on Windows? Nope, just create a C:\data directory then create a C:\data\db sub-directory…..Mongo won’t do this by itself which feels kind of lame in my opinion but I still like it. Then download the version of your desire ( I am currently Windows 7 64 bit) from http://www.mongodb.org/downloads then unzip it and stick wherever you want it. After doing this you will need to start up mongod.exe under the bin directory (from unzipping) which is the server then mongo.exe which is the command line client. You will see something similar to this:

where the top window is the server and the bottom is the client. From here you should be able to run through the many examples floating out on the internet. Have fun and remember Kennedy’ s findings…it is worth the pain to learn a new technology IF the gain justifies the costs: