At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: ... [Read more...]

In the previous post I shared an example how to get high frequency data from IB broker (well, it is retail version of HFD – it has only best bid/ask and the trades). Now, once you saved some data – what should you do next? Next logical step would be data ... [Read more...]

Are you looking for ways how to save real time, high frequency data taken from Interactivebrokers.com API ? I built an example in C++ which saves all incoming data in Mongodb. Check this link if you are interested: https://github.com/kafka399/TwsMongo   [Read more...]

In my previous post, I tried to show, that Rcpp is 1000 faster than pure R and that generated the fuss in the comments. Being lazy, I didn’t vectorize R code and at the end I was comparing apples vs oranges. To fix that problem, I built a new script, ... [Read more...]

While ago I built two R scripts to track OMX Baltic Benchmark Fund against the index. One script returns the deviation of  fund from the index and it works fast enough. The second calculates the value of the fund every minute and it used to take for while. For example, ... [Read more...]

During the summer I was contacted by a hedge fund from Bahamas. The fund was looking for someone with R language skills on-site and insisted for phone interview. Besides obvious questions about finance, statistics, coding and how many tennis balls can fit in Boeing 747 (ok, this question was omitted), they ... [Read more...]

When dealing with transaction cost analysis, a stock’s volume is assumed to be stable or foreseeable.  However, there is different picture, then we are dealing with an illiquid stock. It is relatively easy to forecast the volume of a liquid stock, because trading volume has high autocorrelation – the volumes ... [Read more...]

I will be giving a presentation on “Optimal transaction cost” in Vilnius on  16  August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be ... [Read more...]

While investigating Intraday patterns in FX returns and order flow paper I have faced the problem with timezone. I had 3 data sources with different timezones (GMT, CET, CEST). Most confusing thing was, that I didn’t know, how to deal with summer time. But why did I have the data ... [Read more...]

I came up with an idea to draw correlation network to get a grasp about relationship between a list of stocks. An alternative way to show correlation matrix would be head map, which can have limitations with big matrices (__100). Unfortunately,  ggplot2 package doesn’t have a easy way to draw ... [Read more...]

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