Recent content by Jump1180

1. IQFeed or Interactive brokers data feed. 2. Interactive Brokers (Probably better services out there but it works for me). 3. C# (openquant) 4. C# 5. I have never stress tested this but I have not had a problem with 100+.

Agreed.

Unfortuantly they are not error free. If you look into their robust regression (Proc Robustreg) techniques they have plenty of errors in the way they process their residual analysis. Their out of sample fitting routines (R-square hold-out in Time series for example) is computed entirely wrong...

From a fellow SAS programmer/statistician, I wouldn't reccomend using SAS for this kind of thing. Sure it has some advatages in regards to databasing, proc sql, Proc ARIMA, Proc Reg, and things of that nature but there are too many other packages out their that are better for automated trading...

I do something very similar to what you are trying to do only I use SAS. ARIMA and ARMA models can fail to estimate depending on the time series and desired (p,d,q)(P,D,Q) values that are specified. I was able to correct this by increasing the number of interations the ARIMA model would...