Sometime ago, SmartQuant sold their QuantDeveloper code to QuantHouse. I now see in an article at Wall Street & Technology, QuantHouse listed as one of five vendors who have Alpha Generation Technology. QuantHouse must have done some additional work on the platform. QuantDeveloper definitely fit the defintion of a workflow platform:
- Data acquisition and preparation
- creation of the initial alpha discovery model
- back testing the model using historical data sets
- analyzing the results of back-testing and fine tuning the model
- simulation with live data
- coding the quant research model into production for the live trading environment
Alpha is defined as "excess risk-adjusted returns measured above a benchmark".
Key attributes of the packages reviewe included items such as:
- seamless integration with data sources and databases for rapid data capture
- transformation and storage for analysis
- ease of use in creating back testing and simulation environment
- detailed documentation of model creation process
- charting, reporting and visualization tools
- ease of integration with leading statistical packages
- offers a straight through processing feature that enables quants to move from idea
generation to
order generation in a reduced time frame
- offers a codeless environment for rapid strategy development
QuantDeveloper did offer up all those features but that last one. QD is actually
a C# development environment disguised as an Alpha Generation Platform.
I'm not promoting or demonting QD here. I did use the package for a couple of years and
have since migrated to a custom C++ platform, which I think, in the end, is going offer very
similar capabilities. What with QuickFix tested against OpenFix, QuantLib for the math, and
a myriad of other integrated abilites, it may just have a chance to be seen in the big
leagues.
Yes I do spend much of my time day dreaming. But there is a drop of reality there
somewhere.
As a side note, the article threw out a bunch of names. I'll have to follow up on what
these do sometime: "real-time high performance databases such as Vhayu, KX and OneTIck. On
top of that, analytics and statistical packages are required, such as MATLAB, S+ and R, as
well as optimization tools like Northfield, BARRA, Morningstar, Ibbotson, etc., and
EMSs/OMSs like Portware, FlexTrade, OrcSoftware, Aegis Software and Tethys, etc.".