Saturday, June 26, 2010

RE: [TheOptionClub.com] Setting up analytics : technology choices

 

Jay –

I’ve done something like this in the past to gather some rather interesting data on expiration day pinning, as well as monitoring the IV and greeks at 15 minutes intervals throughout the day.

What I did was pull the option chain from yahoo every 15 minutes, compute the IV and greeks and store this information in a database along with a date-time stamp.

 

I used “Numerical Recipes” C-library for computing the greeks and IV, then MySQL (free) data base for storage, and perl as a wrapper.  Then I just wrote a cron job to kick this off every 15minutes of trading hours.

My code isn’t all that pretty, but if you’re interested, I don’t mind sharing.

 

If you’re into more ‘heavy’ statistical analysis, 3D volatility surfaces,  term-structures, time-series correlations, etc…check out “R” it’s a free Matlab-ish package that has an options plug in as well as many other financial add-ins (portfolio theory stuffs, etc..)  I recently learned it also has a plug in for Interactive Brokers to pull real-time data, perform high speed statistical operations, and initiate trades based on the outcome of the data.  There are a few retail traders messing around with this from what I understand – but I think it’s mostly academic. 

 

Quantlib – is another great, free package that is the back-end for many high frequency trading firms.  It’s also free and there is allot of support for it in the open source community.  Solomon Brothers uses it extensively, as do many others.  I’ve used it for American and European option pricing and greeks – but that’s really just a small portion of it’s underlying power.  An excel version (believe it or not) was release not that long ago as well…

 

All good stuff –

 

QuantNet:  http://www.quantnet.com/

QuantLib: http://quantlib.org/index.shtml

“R” = http://addictedtor.free.fr/graphiques/

 

 

 

From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of Jay
Sent: Saturday, June 26, 2010 4:49 AM
To: OptionClub@yahoogroups.com
Subject: [TheOptionClub.com] Setting up analytics : technology choices

 

 

Hi,

I am in the process of setting up my own little analytics database for generating some technical indicators as well as for options Greek. I wrote the initial technical analysis part in Perl which I found was too slow when more than one day needs to be processed. So re-wrote it into Octave (clone of Mat lab) which was faster but querying the result from Octave native files was a pain. So yet again decided to use a database system to keep the data and chose kdb (trail version for now). However Octave does not seem to have any interface to kdb, once again I had to go back to Perl and write it for kdb - which is now fast enough.
As you may realize Perl is not really handy for modeling ( while Octave is ), so although I am done for now I am realizing this is not perfect for future expansion considering that I have not yet started with the Options pieces. I was considering the "q" language which works with kdb as a script which seem to be quite different from any other scripting languages I have used in the past and not as much readable. I am sure a few of you out there have tacked similar problem as me with the wide choice of languages out there. Any suggestions which one of these (or something not mentioned here) could

be a winner long term?

 

Tx

 

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