ActiveQuant Projects

Attached a chart from the backtesting functionality, it uses Bid/Ask prices, has a C optimized part in it and loads from the archive.
The upper chart shows the underlying's price, the red and green triangles are sell or buy signals. The middle chart shows the position (+/- 1 lot) and the bottom chart shows the PNL.

Well, I can't tell too much, to not break the suprise, but AQR 1.1 is on its way.
Stay tuned.

Hi there,

I have cleaned up the data loading packages in AQ-R 1.1, it is not yet committed, but will be in very soon. It is now possible to load quotes and candles from an AQ-P2 data archive format, both over HTTP and from disc. More about the archive format is available at http://aqp2.activequant.org/archive.html .

In case you have a recorded data archive and want to share it, contact us.

Beside this, AQ-R 1.1 is also on its way to becoming a CRAN package, I have cleaned up the package structure and am really very happy with the current status. Stay tuned!

Cheers, and give me some fuel!

The AQ-R 1.1 package is growing slowly but steadily. Yesterday I added a little UI function with tcl/tk, that simply builds a little window with some user interface functionality and a button to reload from the archive servers the latest candles. The archive servers are some AQ recorders that run on my laptops at home, over dyndns it is possible to load that data.

It is also possible to backtest with the quotes in the archive, it also works well, but has plenty of improvements.

Maybe I really have to double check this blotter package at one point, although I strongly dislike this iterative approach it takes.

Hey there,

the 1.3 version now contains tickSize, lotsize and tick values for instrument specification. Using the hibernate dao with your database will result in an automatic upgrade (or database schema creation) through hibernate. Three columns for the afore mentioned pieces of information are added plus to the existing columns.

Upgrade should be painless because of hibernate.

Cheers!

A while ago already, Mike released the 1.2 version of aqt-base. It's worth a look !
I think we are slowly getting into a release cycle mode :-)

Release 1.1 is an interim release, to be shortly replaced with 1.2.

We have few bugs fixed here and there. Note that we dropped checked exceptions from many of AQ interfaces, so when linking against new AQ base release, you'll have to adjust your code accordingly.

We also added source attachments to maven artifacts, which should make eclipse experience better.

Temporarily I added extra repository for AQ artifacts because continuum on the main AQ site is giving us some technical problems (this is why we will need to re-release as soon as this is fixed).

To try things out - go and check out activequant-examples project (that has been released in sync with the base). Use SVN tag 1.1.

activequant:/opt/MessageQueue/mq

activequant:/opt/MessageQueue/mq/bin# ./imqbrokerd -tty -name mybroker -vmargs -Dcom.sun.management.jmxremote

service:jmx:rmi://activequant.org/stub/rO0ABXNyAC5qYXZheC5tYW5hZ2VtZW50LnJlbW90ZS5ybWkuUk1JU2VydmVySW1wbF9TdHViAAAAAAAAAAICAAB4cgAaamF2YS5ybWkuc2VydmVyLlJlbW90ZVN0dWLp/tzJi+FlGgIAAHhyABxqYXZhLnJtaS5zZXJ2ZXIuUmVtb3RlT2JqZWN002G0kQxhMx4DAAB4cHc4AAtVbmljYXN0UmVmMgAADTg4LjE5OC43OC4xMjkAANFZvUXpqcyxJ5yFx/HzAAABI3B54u6AAgB4

Further informations are available from http://wiki.glassfish.java.net/Wiki.jsp?page=OpenMQJMXQuestions

Upon abuse of this system, security will be enforced.

After long years, AQ finally contains Tick Size, Tick Value and Lot size in the Instrument Specification. Now it is finally possible to properly compute the cash value of a contract, which is very important for computing things like exposure.

Calendar package put into sandbox for preview.

Package contains very detailed NYSE calendar (incl special days, and trading interruptions due to disasters, computer failures, etc). It also has NASDAQ calendar (less detailed - just trading hours and holidays).

Useful when filtering data.