Recent content by dazzwater

He could work on a C++ port of TradeLink then. Not sure about the benefits of such a project, but it'll still beat reinventing the wheel.

For trading platforms, you could contribute to the TradeLink project instead of starting a new one. For risk and pricing models, see QuantLib.

Thanks for sharing your experience tiddlywinks. Which client are you using to access the IQFeed data? I'm presently considering the following options, which allow me to download feed data to text files for import into my R scripts: $112/mth for the DTN.IQ client, or $68/mth for the basic...

And so I've confirmed that IQFeed provides historical intra-day futures options data (for unexpired options only) with a $68 monthly subscription to their basic service, excluding the startup fee and exchange fees for COMEX and NYMEX. Happy times.

Kinetick, CQG, Kibot and Pi Trading apparently offer only historical prices for futures, but not for options on futures. IQFeed has real-time feeds for futures options according to their websites. I've mailed them to confirm whether historical intra-day data is available as well. Haven't...

For IB, according to http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm it seems you can download only a max of 2 days worth of 1-min data. It's a relatively cheap option though, if you're looking to populate your own database going forward...

For anyone who's watching this thread, I did a bit of searching on ET and found this useful post by biba4: http://www.elitetrader.com/vb/showthread.php?s=&threadid=181633&perpage=6&pagenumber=4

I need to download futures and futures options intraday (1-min) historical prices for equity indices, commodities, currencies, and preferably also bonds and IR swaps. I need the data downloaded as text (CSV) files, to be loaded into a stats analysis application. I need at least 2 years' worth of...

For a short-term bearish/long-term bullish strategy, why not just apply any combination of write short-term call/buy short-term put/buy long-term call/write long-term put on your target companies? This solution would be low-cost if you stick to OTM options, as well as low-risk if you...

Draw the payout graphs (P&L vs stock price) and you can compare the pros and cons for yourself. Writing a call option by itself will give you unlimited losses on the downside if the stock price keeps rising. Adding a stock to make it a covered call will limit your loss to the stock value...

Why do you care if it works with multiple cores? I haven't seen any TWS features that perform CPU-intensive operations.

Have you considered signing up with a prop firm? I started developing a simulation framework recently, in R and C++ and using historical data from WRDS plus live feeds from IB. It's taking a while due to work and school and family commitments. I don't have a basement full of servers yet; in...

I faced the same problem as you when I first started out. My solution: Automate. Algorithms don't have emotions.

The CompuStat database on WRDS. But there could be cheaper alternatives.