Recent content by pwa2

thanks srinir.

sle, what was "today's VIX trades" (21 July)? Can you give details - strike, maturity, payoff, size etc. please? thanks

Patrick, Can you provide a list of TT enabled brokers who offer this venue? thanks

QuantLib-Python is a SWIG based wrapper around the C++ Quantlib, the python bindings are generated by SWIG. You could develop your custom payoffs in C++ using some of QuantLibs functionality (e.g day count conventions, yield curve generators etc) and then expose this functionality (your new...

I'm a fan of it. What do you want to do - vol stuff? Be careful of your ./configure settings flags so that you don't accidentally mix debug/release versions, O levels etc (./configure --help) and also using the right boost version, so checking the ./bjam flags when building. Hope you find it...

http://fix8.org

http://www.fixprotocol.org/discuss/read/84efba93 www.openfix.org

a) What operating system I go with? Linux sounds like a natural choice but it will somewhat restrict my software choices. It does, however, seem to be most cost effective and scalable. >> I think linux would be very well suited to this type of project - at least for the server side aspects...

after calling cancelOrder(...) you must wait for it to be acknowledged i.e. orderStatus(...) returns with status=="Cancelled" or perhaps status=="Filled" and go from there. Otherwise you will be assuming... http://www.interactivebrokers.com/php/apiUsersGuide/apiguide.htm The order status...

Can someone tell me if the time in tws/api is the local computer time? or perhaps its sent over the wire from IB... Just I see a consistant difference when comparing the timestamps in the api log and the local computer timestamps in a sockets based app. A sample from the app log vs api log...

i can get a good anagram out of

Craig66 Sorry to hear FIX is being a pain. What sort of problems are you experiencing? What FIX engine are you using? Did the broker/ISV provide a test environment or perhaps you used a third party one - I take it you had no issues from testing and the problems are only coming up...