C#

For the code in the zip files I released back in 2007/10/07, I've uploaded it to SourceForge. The code can be reviewed and downloaded via Subversion. In summary, these are a series of C# routines designed for use in market trading applications.

Some of the IQFeed utilities can be used without SmartQuant libraries. The standalone IQFeed utilities are desigend to retrieve live as well as historical data from DTN/IQFeed's services.

The Sockets directory provides one mechanism for asynchronously receiving data from a socket and passing it upwards through the stack of waiting routines.

In the Trading.PatternAnalysis directory is an example of a ZigZag or PeakMatching indicator. Be aware that it is a lagging indicator, but it is good for keep track of the peaks and valleys of price movement through the day.

There are three indicators supplied in the Signals library: Darvas (currently set with aggressive signallig), Pivots (the self fulfilling floor trader signals), and TVI (which is a trade volume index indicator).

Probably the most interesting file in the SmartQuant directory is the Accumulation.cs file. It shows a mechanism for running a sliding window (based upon seconds duration) through a live series of data and obtaining some deviation, variation, mean, and Bollinger Band statistics for the window.

In the same file are some files for setting up a Microsoft SQL Server database for maintaining IQFeed mktsymbol.txt information, trading calculations, and related information.

I had recieved a private message by someone requesting some background on what I had done for my Genetic Programming trials with QuantDeveloper.

I am releasing the example source code into the public domain. If you make changes and would like to see the changes recorded here, please let me know, and I'll update the files. Continue reading "Trade Optimization by Genetic Programming,..." »

In the upcoming release of Microsoft's .NET version 3.0, code named ORCA, they have a fewature called Language Integrated Query (LINQ). [Come to think of it, v3.0 is now out, I've been rooted in C++, I'll have to get back to C@ and check it out]. The language extension allows one to write queries for anything with an iterator. Writing inline SQL queries comes immediately to mind. I've also heard that there is something called PLINQ (Parallel LINQ).

Here are a couple of references regarding the subject:

• The LINQ Project
• The Evolution Of LINQ And Its Impact On The Design Of C# (v3.0)

On an unrelated programming note, erlang is said to be a language for developing interacting distributed applications. One interesting capability is Hot Code Replacement (replacing code and data without stopping the system).

Cruising through book stores, I usually encounter the 800 page behemoths that 'teach you programming in 24 hours' or something similar. I suppose those are good for getting you programming with lots of examples.

However, I like to think I'm a pretty good programmer, having grown up with Pascal, C, and C++. I may be aging myself with that first one, but anyway. So in order to pick up a new language, I don't really need a lot of hand holding. I simply need something to show me the syntax and basic flavour of the language. After that, I can start developing applications quite quickly. Getting used to the libraries of the language is something else altogether. Continue reading "C# Essentials (2nd Edition) by Ben Albahari - A..." »