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by Russell
February 18th, 2009, 9:05 am
Forum: Trading Forum
Topic: High frequency trading of stocks with large spreads
Replies: 15
Views: 47500

High frequency trading of stocks with large spreads

<t>High frequency trading of an illiquid market with large spreads sounds like a recipe for losing money imho. In data backtesting unrealistic expectations of prices achieved when trading are the no.1 cause of impossible to achieve returns (again imho).Try and be as conservative as possible in backt...
by Russell
February 18th, 2009, 8:53 am
Forum: Trading Forum
Topic: pv01 of bond futures
Replies: 4
Views: 50166

pv01 of bond futures

<t>Find out the cheapest to deliver from the exchange website, or calculate it from the reverse repo rates. Then calculate the PV01 of this CTD using the conversion factors etc. Fiddly work I'm afraid.For a rule of thumb in this low interest rate world, given the coupons on all the standard bonds ar...
by Russell
February 15th, 2006, 5:38 pm
Forum: Programming and Software Forum
Topic: ExcelDna - open-source Excel/.Net integration
Replies: 15
Views: 132415

ExcelDna - open-source Excel/.Net integration

<t>Govert,Thanks for your answers I will try again with the addin tomorrow. My other addins should work with NET2.0 so should be ok forcing them to use the new runtime. Btw do you know offhand if the Net2.0 runtime has been loaded will dll's compiled against the 1.1 runtime need to be recompiled bef...
by Russell
February 7th, 2006, 1:40 pm
Forum: Programming and Software Forum
Topic: ExcelDna - open-source Excel/.Net integration
Replies: 15
Views: 132415

ExcelDna - open-source Excel/.Net integration

<t>Dear Govert,I like the idea of this. I'm really looking forward to getting it working on my PC.There are a few things that I might add:1. I can't get it to work yet because of the Net 2.0 thing (that you mention in all the release notes). I actually have a number of Net 1.1 framework addins that ...
by Russell
December 22nd, 2005, 9:43 am
Forum: Programming and Software Forum
Topic: Serialization in C#
Replies: 3
Views: 129554

Serialization in C#

<t>Hi Tiger,Serilaization is deep (each field in your class must also be serializable or you will get errors when you try and serialise).In you example above if you serialise a AChild even though it was contained in a variable defined as type ABase you will create a serialised object that *is* of ty...
by Russell
November 3rd, 2005, 5:40 pm
Forum: Programming and Software Forum
Topic: SONY Music CDs introduce Malware!
Replies: 12
Views: 132046

SONY Music CDs introduce Malware!

Not relevant to QF, but very interesting nonetheless! I'm starting to think Cd's are more hassle than they are worth, a crippled product. So perhaps I will download instead... from official sites of course... where guess what more crippled product...
by Russell
October 18th, 2005, 1:33 pm
Forum: Student Forum
Topic: Hurst Exponent question
Replies: 10
Views: 135041

Hurst Exponent question

<r>R/S method does give about 0.56 for white noise (I have tried this on a small scale simulation).The method Wheeb descibes as "DFA" might (I think) be the method the National Simulation Resource recommend here (called disp or dispersion analysis in their terminology) <URL url="http://nsr.bioeng.wa...
by Russell
September 6th, 2005, 5:57 am
Forum: Programming and Software Forum
Topic: Quick SQL question
Replies: 8
Views: 137839

Quick SQL question

<t>Interesting information about scans and using a cursor.I tried version (a) SELECT TOP 1 DateTime, BidORDER BY [Bid] ASCSELECT TOP 1 DateTime, AskORDER BY [Ask] DESCagainst (b):select Time,bidPrice,askpricefrom Tabwhere bidprice = (select Max(bidprice) from tab) OR askprice = (select Min(askprice)...
by Russell
August 30th, 2005, 3:51 pm
Forum: Programming and Software Forum
Topic: Quick SQL question
Replies: 8
Views: 137839

Quick SQL question

<t>saliq - good reply. This works, although when there is a tie for best bid/ask you get all the ties. Would probably be interested in only the earliest one but it's fairly easy to generate a subquery. I wonder if internally the server just does one table scan?Athletico - thanks for the advice. Prob...
by Russell
August 30th, 2005, 11:17 am
Forum: Programming and Software Forum
Topic: Quick SQL question
Replies: 8
Views: 137839

Quick SQL question

Yeah, if you do Max(Bid) you get the best bid but not the time at which that occured (a crucial part of my overfitting!)I tried Union but you are only allowed one ORDER BY clause!
by Russell
August 30th, 2005, 10:13 am
Forum: Programming and Software Forum
Topic: Quick SQL question
Replies: 8
Views: 137839

Quick SQL question

<t>There must be a simple answer to this but I am struggling to find it!Suppose I have a table with fields DateTime, BidPrice, AskpriceI'd like to retrieve the best (highest) bid and the best (lowest) ask and the times at which these occur. Can I do it with one SQL statement?It's easy with two i.e.S...
by Russell
August 9th, 2005, 11:05 am
Forum: Programming and Software Forum
Topic: Optimisation source code
Replies: 4
Views: 140250

Optimisation source code

<t>Does anyone have source code in C# or Java for BFGS or a similar optimisation algorithm?Characteristics of my problem:1) low(ish) number of dimensions 2-7.2) Relatively smooth3) Very expensive to compute4) Analytic derivatives not available but numerical derivatives built up from previous evaluat...
by Russell
May 18th, 2005, 5:07 am
Forum: Programming and Software Forum
Topic: Excel People, Interview Questions
Replies: 31
Views: 160183

Excel People, Interview Questions

<t>QuoteOriginally posted by: DCFCWhat we have here is the difference between a language construct and a function.Agreed, although as written in the Excel help you wouldn't really know the difference. IF(a, b, c) is presented as a worksheet function like all others.Moving on to VBA a peculiarity is ...
by Russell
May 17th, 2005, 10:20 am
Forum: Programming and Software Forum
Topic: Excel People, Interview Questions
Replies: 31
Views: 160183

Excel People, Interview Questions

<t>I intially thought that =And(A(), B()) would call only A(). I was under the impression that Excel did some sort of psuedo compilation of the text (and that compilation being C based would use the short circuiting method of and). This isn't the case it evaluates the argument list first and then ca...
by Russell
December 3rd, 2004, 5:02 pm
Forum: Programming and Software Forum
Topic: join tables in VBA
Replies: 11
Views: 169383

join tables in VBA

How about using a collection in the manner of a hashtable, try adapting this code.... You will need to catch errors when there is no match.To do 100,000 lookups this way takes less than 1sec on my machine
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