Sharing Resources: Let's Not Reinvent the Wheel

C

Corey

After reading some recent posts, I realized how much isolated knowledge there was on this board. I thought that trying to aggregate our resources may be beneficial. Why should I bother trying to implement FIX if you already know a library that does it for free?

Below is a compiled list of the majority of the Automated Trading resources that I know about (and/or care about).

Archive of Papers
Behavioral Finance http://behaviouralfinance.net/

Forums and Public Resources
Tradery http://www.tradery.com/
JavaTraders http://groups.google.com/group/JavaTraders

Platforms
Commercial
MetaTrader http://www.metaquotes.net/
RealTick http://www.realtick.com/
TradeStation http://www.tradestation.co.uk/
WealthLab http://www.wealth-lab.com/Home/Default.aspx
NinjaTrader http://www.ninjatrader.com/webnew/index.htm
SmartQuant http://www.smartquant.com/

Open Source / Free
ActiveQuant http://www.activestocks.de/
EclipseTrader http://www.eclipsetrader.org/
AIOTrade http://blogtrader.net/page/dcaoyuan/category/AIOTrade
Merchant of Venice http://mov.sourceforge.net/
Open Java Trading System http://ojts.sourceforge.net/
TrueTrade http://code.google.com/p/truetrade/
Artificial Stock Market http://artstkmkt.sourceforge.net/
iTrade http://itrade.sourceforge.net/
Matlab Automated Trading Toolbox http://sourceforge.net/projects/mlmechtrade
NexTick http://nextick.sourceforge.net/
Robotrader http://sourceforge.net/projects/robotrader/

DataFeeds
NxCore http://www.nanex.net/

Software
R http://www.r-project.org/
Octave http://www.gnu.org/software/octave/
Gretl http://gretl.sourceforge.net/
Sage http://www.sagemath.org/index.html
Data Visualizer http://dataviews.sourceforge.net/
Market Analysis System http://eiffel-mas.sourceforge.net/
Matrex http://matrex.sourceforge.net/
Scilab http://www.scilab.org/
jMATLAB http://www.jmatlab.org/index.html

Historic Data
Historic Futures Data http://www.anfutures.com/data_es.htm
Historic Commitment of Traders http://www.cftc.gov/marketreports/commitmentsoftraders/cot_historical.html
Historic Forex Data http://disktrading.is99.com/disktrading/

Strategy Discussion
Pairs Trading http://yats.com/doc/cointegration-en.html

Software Libraries & Source Code
Note that many libraries offer APIs in other languages
C/C++
QuantLib http://quantlib.org/index.shtml
TALib http://ta-lib.org/index.html
GECODE http://www.gecode.org/index.html
Tokyo Cabinet http://tokyocabinet.sourceforge.net/spex-en.html
libmemcached http://tangent.org/552/libmemcached.html
TinyXML++ http://ticpp.googlecode.com/svn/docs/ticpp.html
QuickFIX http://www.quickfixengine.org/
OpenMP http://openmp.org/wp/
Gzstream http://www.cs.unc.edu/Research/compgeom/gzstream/
libevent http://monkey.org/~provos/libevent/doxygen/
qtstalker http://sourceforge.net/projects/qtstalker/

Erlang
Erlang to C++ http://code.google.com/p/eipp/

Ruby
EventMachine http://rubyeventmachine.com/
memcached http://www.deveiate.org/code/Ruby-MemCache/
Ruby to Erlang http://rubyforge.org/projects/erlectricity/

Python
Twisted http://twistedmatrix.com/trac/
Processing http://pypi.python.org/pypi/processing
Stackless http://www.stackless.com/
twill http://twill.idyll.org/python-api.html

C#
mono http://www.mono-project.com/
Interactive Brokers C# API http://www.dinosaurtech.com/utilities/
QLNet http://www.qlnet.org/
ScienceCode http://www.sciencecode.com/
RabbitMQ http://www.rabbitmq.com/

Java
Javolution http://javolution.org/
RabbitMQ http://www.rabbitmq.com/

Matlab
Free Packages http://newsgroups.derkeiler.com/Archive/Comp/comp.soft-sys.matlab/2005-10/msg00013.html
Matlab Toolboxes http://stommel.tamu.edu/~baum/toolboxes.html

Other
Indicator Formulas http://trader.online.pl/
Indicator Formulas http://tadoc.org/

GPU
VAST/AltiVec http://www.crescentbaysoftware.com/vast_altivec.html
PNY http://www3.pny.com/
CUDA http://www.nvidia.com/object/cuda_home.html
OpenCL http://en.wikipedia.org/wiki/OpenCL
BrookGPU http://graphics.stanford.edu/projects/brookgpu/index.html
CG Tutorial http://http.developer.nvidia.com/CgTutorial/cg_tutorial_chapter01.html
Matlab GPU http://www.accelereyes.com/

Mac OS X
MacResearch http://macresearch.org/
Velocity Engine http://developer.apple.com/hardwaredrivers/ve/

Cloud Computing
Eucalyptus http://eucalyptus.cs.ucsb.edu/
GoGrid http://www.gogrid.com/
Skytap http://www.skytap.com/
Sun Grid http://www.network.com/
Amazon Elastic Compute Cloud http://aws.amazon.com/ec2/

Databases
PostgreSQL http://www.postgresql.org/
MySQL http://www.mysql.com/
CouchDB http://couchdb.apache.org/
MonetDB http://monetdb.cwi.nl/projects/monetdb//Home/
db4o http://www.db4o.com/

Other
NASDAQ Symbol Directory ftp://ftp.nasdaqtrader.com/symboldirectory/



I would love to see some resources that I haven't found yet that would make any job relating to automated trading easier: be it software, library, or data. Hopefully we can make this a great resource.
 
I love your list Corey! I hope you can post it on tickzoom.org or allow me to do so when the site is up.

I agree with many in your list and add:

C# / .NET
ZedGraph.org for charting library


Also, I'm curious since the TickZoom.org test and black box platform will support strategies written in Java, C# or C++, which category would you put it in?

And since the software license and source code is free but TickZOOM.org will sell services, would it be in your free or commercial section?

I'm not being picky just curious how you think it fits with the other offerings.

Sincerely,
Wayne
 
I am currently in Stockholm, so I will make this brief.

Here are some good resources for using Google's <a href="http://labs.google.com/papers/mapreduce.html">MapReduce</a> paradigm.
The Phoenix System - http://csl.stanford.edu/~christos/sw/phoenix/
Qt Concurrent - http://labs.trolltech.com/page/Projects/Threads/QtConcurrent
SkyNet - http://skynet.rubyforge.org/
Disco - http://discoproject.org/
Hadoop - http://hadoop.apache.org/core/


I'll sort these into the list when I get back from my travels...

Thanks for the input guys. When I get the time, I hope to write a quick one or two page review of each of the links so that people can better find what they are looking for.

Merry Christmas Eve to all...
 
 
Just time for a 2 minute brain dump. Will try not to repeat what people have already suggested.

Mostly Java stuff, sorry. Libraries and components that may be useful in developing an ATS (all open source, various licences):

<b>Misc:</b>
Anything on Apache, more specifically:
Commons Math http://commons.apache.org/math
Commons Pool http://commons.apache.org/pool
Java Caching System (JCS) http://jakarta.apache.org/jcs/index.html or
EHCache http://ehcache.sourceforge.net

<b>JMS Messaging:</b>
Apache ActiveMQ http://activemq.apache.org

<b>IM:</b>
SMACK API for Jabber http://www.igniterealtime.org/projects/smack/index.jsp

<b>Rapid protocol client/server network development:</b>
Apache Mina (Apache Licence V2.0) http://mina.apache.org or
JBoss.org Netty 3 (LGPL) http://www.jboss.org/netty

<b>FIX:</b>
QuickFix/J http://www.quickfixj.org (QuickFix License V1.0)

<b>DB:</b>
Berkley DB Java Edition www.oracle.com/technology/products/berkeley-db/index.html

<b>CEP/ESP Engines:</b>
Esper (also NEsper for .net) http://esper.codehaus.org

<b>Distributed Computing/Clustering/Load Balancing/Failover etc.:</b>
SHOAL http://wikis.sun.com/display/shoal
JESSICA2 http://www.loband.org/loband/filter/hk/hku/csis/www/ /~clwang/projects/JESSICA2.html

<b>Open Source ATS platforms:</b>
IMVHO, one to keep an eye on: Marketcetera http://www.marketcetera.com
Dozens of others have already been mentioned I think.

Disclaimer: I have personally used most but not ALL of the above.

BMe.
 
Here is the list, recompiled with your additions...
I think I need to come up with a better way of organizing these. For example, I have products in the databases and distributed section that are Java only, Erlang only, C++ only ... et cetera. Some, on the other hand, are generic and language agnostic. So should I put the language specific ones under language libraries, or keep them under the type of library that they are related to? This would be easier if it were multi-page HTML where I could have click throughs...

Also, these need short one or two line descriptions. I'll get around to that eventually.

Archive of Papers
Behavioral Finance http://behaviouralfinance.net/

Forums and Public Resources
Tradery http://www.tradery.com/
JavaTraders http://groups.google.com/group/JavaTraders
InteractiveBrokers.API.Discussion.Forum http://finance.groups.yahoo.com/group/TWSAPI/

Platforms
Commercial
MetaTrader http://www.metaquotes.net/
RealTick http://www.realtick.com/
TradeStation http://www.tradestation.co.uk/
WealthLab http://www.wealth-lab.com/Home/Default.aspx
NinjaTrader http://www.ninjatrader.com/webnew/index.htm
SmartQuant http://www.smartquant.com/

Open Source / Free
ActiveQuant http://www.activestocks.de/
EclipseTrader http://www.eclipsetrader.org/
AIOTrade http://blogtrader.net/page/dcaoyuan/category/AIOTrade
Merchant of Venice http://mov.sourceforge.net/
Open Java Trading System http://ojts.sourceforge.net/
TrueTrade http://code.google.com/p/truetrade/
Artificial Stock Market http://artstkmkt.sourceforge.net/
iTrade http://itrade.sourceforge.net/
Matlab Automated Trading Toolbox http://sourceforge.net/projects/mlmechtrade
NexTick http://nextick.sourceforge.net/
Robotrader http://sourceforge.net/projects/robotrader/
TickZOOM http://www.tickzoom.org
Marketcetera http://www.marketcetera.com/

DataFeeds
NxCore http://www.nanex.net/
IQFeed http://www.iqfeed.net/
ESignal http://www.esignal.com/

Brokerage API
InteractiveBrokers TWS http://www.interactivebrokers.com/en/p.php?f=connAltern&p=i&ib_entity=llc
Genesis Securities http://www.gndt.com/automated/download.htm
Trading Technologies http://www.tradingtechnologies.com/ (http://devnet.tradingtechnologies.com/DevNet/ProductCenter.aspx)
FIXopaedia http://b2bits.com/fixopaedia/index.html
Assent Anvil http://www.assent.com/api.php

Software
R http://www.r-project.org/
Octave http://www.gnu.org/software/octave/
Gretl http://gretl.sourceforge.net/
Sage http://www.sagemath.org/index.html
Data Visualizer http://dataviews.sourceforge.net/
Market Analysis System http://eiffel-mas.sourceforge.net/
Matrex http://matrex.sourceforge.net/
Scilab http://www.scilab.org/
jMATLAB http://www.jmatlab.org/index.html

Historic Data
Historic Futures Data http://www.anfutures.com/data_es.htm
Historic Commitment of Traders http://www.cftc.gov/marketreports/commitmentsoftraders/cot_historical.html
Historic Forex Data http://disktrading.is99.com/disktrading/
Historical Tick Data http://www.tickdata.com/

Strategy Discussion
Pairs Trading http://yats.com/doc/cointegration-en.html

Software Libraries & Source Code
Note that many libraries offer APIs in other languages
C/C++
QuantLib http://quantlib.org/index.shtml
TALib http://ta-lib.org/index.html
GECODE http://www.gecode.org/index.html
Tokyo Cabinet http://tokyocabinet.sourceforge.net/spex-en.html
libmemcached http://tangent.org/552/libmemcached.html
TinyXML++ http://ticpp.googlecode.com/svn/docs/ticpp.html
QuickFIX http://www.quickfixengine.org/
OpenMP http://openmp.org/wp/
Gzstream http://www.cs.unc.edu/Research/compgeom/gzstream/
libevent http://monkey.org/~provos/libevent/doxygen/
qtstalker http://sourceforge.net/projects/qtstalker/
Qt Concurrent http://labs.trolltech.com/page/Projects/Threads/QtConcurrent
The Phoenix System http://csl.stanford.edu/~christos/sw/phoenix/

Erlang
Erlang to C++ http://code.google.com/p/eipp/

Ruby
EventMachine http://rubyeventmachine.com/
memcached http://www.deveiate.org/code/Ruby-MemCache/
Ruby to Erlang http://rubyforge.org/projects/erlectricity/
SkyNet http://skynet.rubyforge.org/

Python
Twisted http://twistedmatrix.com/trac/
Processing http://pypi.python.org/pypi/processing
Stackless http://www.stackless.com/
twill http://twill.idyll.org/python-api.html
disco http://discoproject.org/

C#
mono http://www.mono-project.com/
Interactive Brokers C# API http://www.dinosaurtech.com/utilities/
QLNet http://www.qlnet.org/
ScienceCode http://www.sciencecode.com/
RabbitMQ http://www.rabbitmq.com/
ZedGraph http://www.zedgraph.org

Java
Javolution http://javolution.org/
RabbitMQ http://www.rabbitmq.com/
Java Genetic Algorithms Package http://jgap.sourceforge.net/
Java Object Oriented Neural Engine http://www.jooneworld.com/
JFree (Charting) http://www.jfree.org/
JDOM (XML) http://www.jdom.org/
hadoop http://hadoop.apache.org/
ObjectPool http://commons.apache.org/pool/
Commons-Math http://commons.apache.org/math/
Java Caching System http://jakarta.apache.org/jcs/index.html
EHCache http://ehcache.sourceforge.net/
SMACK API for Jabber http://www.igniterealtime.org/projects/smack/index.jsp
MINA http://mina.apache.org/
JBoss Netty 3 http://www.jboss.org/netty
QuickFix/J http://www.quickfixj.org/

Matlab
Free Packages http://newsgroups.derkeiler.com/Archive/Comp/comp.soft-sys.matlab/2005-10/msg00013.html
Matlab Toolboxes http://stommel.tamu.edu/~baum/toolboxes.html

Other
Indicator Formulas http://trader.online.pl/
Indicator Formulas http://tadoc.org/

GPU
VAST/AltiVec http://www.crescentbaysoftware.com/vast_altivec.html
PNY http://www3.pny.com/
CUDA http://www.nvidia.com/object/cuda_home.html
OpenCL http://en.wikipedia.org/wiki/OpenCL
BrookGPU http://graphics.stanford.edu/projects/brookgpu/index.html
CG Tutorial http://http.developer.nvidia.com/CgTutorial/cg_tutorial_chapter01.html
Matlab GPU http://www.accelereyes.com/

Mac OS X
MacResearch http://macresearch.org/
Velocity Engine http://developer.apple.com/hardwaredrivers/ve/

Cloud Computing
Eucalyptus http://eucalyptus.cs.ucsb.edu/
GoGrid http://www.gogrid.com/
Skytap http://www.skytap.com/
Sun Grid http://www.network.com/
Amazon Elastic Compute Cloud http://aws.amazon.com/ec2/
SHOAL http://wikis.sun.com/display/shoal/Shoal+Home;jsessionid=BD7F428E2C147D75EEAECC0526B205D9
JESSICA2 http://www.loband.org/loband/filter/hk/hku/csis/www/ /~clwang/projects/JESSICA2.html

Databases
PostgreSQL http://www.postgresql.org/
MySQL http://www.mysql.com/
CouchDB http://couchdb.apache.org/
MonetDB http://monetdb.cwi.nl/projects/monetdb//Home/
db4o http://www.db4o.com/
Berkeley DB http://www.oracle.com/technology/products/berkeley-db/index.html

CEP / ESP
Esper http://esper.codehaus.org/

Other
NASDAQ Symbol Directory ftp://ftp.nasdaqtrader.com/symboldirectory/
 
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