finance

What's the most efficient way to parse FIX Protocol messages in .NET?

≯℡__Kan透↙ 提交于 2019-12-03 06:02:47
问题 I came across this very similar question but that question is tagged QuickFIX (which is not relevant to my question) and most of the answers are QuickFIX-related. My question is broader. I'm looking for the most efficient way to parse a FIX Protocol message using C# . By way of background, a FIX message consists of a series of tag/value pairs separated by the ASCII <SOH> character (0x01). The number of fields in a message is variable. An example message might look like this: 8=FIX.4.2<SOH>9

FIX internal sequence numbers

ぃ、小莉子 提交于 2019-12-03 05:58:32
I have a process between the Sell side client and an exchange that does currency conversons. There are two FIX adapters - one recieving the messages from the sell side and serving the messages to the process. And another FIX engine that takes the messages from the process and sends them in FIX to the exchange. Every FIX message has a unique sequence number dented by tag 34. However, it seems that each of these FIX engines has a INCOMING SEQUENCE number (what FIX engine is expecting for counter party) and an OUTGOING SEQUENCE NUMBER (what FIX engine is sending to counter party). Are these

The best way to parse a FIX message? [closed]

孤者浪人 提交于 2019-12-03 05:36:12
问题 As it currently stands, this question is not a good fit for our Q&A format. We expect answers to be supported by facts, references, or expertise, but this question will likely solicit debate, arguments, polling, or extended discussion. If you feel that this question can be improved and possibly reopened, visit the help center for guidance. Closed 7 years ago . How do you parse a FIX message using python ? (FIX message as in the 'financial' FIX Protocol) 回答1: do you mean by using QuickFIX ? (I

Calculating future value with compound interest with JavaScript

梦想的初衷 提交于 2019-12-03 03:52:49
I'm trying to work on a script where the user inserts a monthly income and gets the future value with compound interest after 30 years. As it is now, I've assigned some values for testing purposes. // Future Value var investment = 800; var annualRate = 2; var monthlyRate = annualRate / 12 / 100; var years = 30; var months = years * 12; var futureValue = 0; for ( i = 1; i <= months; i++ ) { futureValue = futureValue + investment * Math.pow(1 + monthlyRate, months); } Problem is, I'm actually building this from an Excel spreadsheet that's using the built-in FV() formula and when cross checking,

Which are the order matching algorithms most commonly used by electronic financial exchanges?

∥☆過路亽.° 提交于 2019-12-03 01:50:54
问题 Which are the order matching algorithms most commonly used by electronic financial exchanges? Is there a list of order matching algorithms somewhere? 回答1: In general, there are two groups of matching algorithms, one for each of the states of the market: Continuous trading Auction There's quite a variety of algorithms for auction trading, which is used before the market opens, on market close etc. but most of the time, the markets do continuous trading . I'll therefore go into the latter

Bloomberg BDH function with ISIN

吃可爱长大的小学妹 提交于 2019-12-02 23:09:24
I have to download historical end of day data for a huge list of stocks. I found on the bloomberg excel add-in the function BDH that is very useful. That is what I need but there is an issue: my stocks are identified by ISINs and i have tried in many way to put the ISINs in the first field of the function but it doesn't work. The function isn't able to identify the security by the ISIN despite the fact that is reported as security identifier in the bloomberg formula syntax: look at slide 24 here http://lgdata.s3-website-us-east-1.amazonaws.com/docs/205/56376/bloomberg%20excel%20desktop%20guide

Calculating returns from a dataframe with financial data

懵懂的女人 提交于 2019-12-02 22:32:39
I have a dataframe with monthly financial data: In [89]: vfiax_monthly.head() Out[89]: year month day d open close high low volume aclose 2003-01-31 2003 1 31 731246 64.95 64.95 64.95 64.95 0 64.95 2003-02-28 2003 2 28 731274 63.98 63.98 63.98 63.98 0 63.98 2003-03-31 2003 3 31 731305 64.59 64.59 64.59 64.59 0 64.59 2003-04-30 2003 4 30 731335 69.93 69.93 69.93 69.93 0 69.93 2003-05-30 2003 5 30 731365 73.61 73.61 73.61 73.61 0 73.61 I'm trying to calculate the returns like that: In [90]: returns = (vfiax_monthly.open[1:] - vfiax_monthly.open[:-1])/vfiax_monthly.open[1:] But I'm getting only

Web scraping of stock key stats from Finviz with R

妖精的绣舞 提交于 2019-12-02 17:09:20
问题 I tried to scrap from Finviz for some stock key stats. I applied codes from the original question: Web scraping of key stats in Yahoo! Finance with R. To collect stats for as many stocks as possible I create a list of stock symbols and descriptions like this: Symbol Description A Agilent Technologies AAA Alcoa Corp AAC Aac Holdings Inc BABA Alibaba Group Holding Ltd CRM Salesforce.Com Inc ... I selected out the first column and stored it as a character in R and called it stocks. Then I

Which are the order matching algorithms most commonly used by electronic financial exchanges?

谁都会走 提交于 2019-12-02 14:03:05
Which are the order matching algorithms most commonly used by electronic financial exchanges? Is there a list of order matching algorithms somewhere? In general, there are two groups of matching algorithms, one for each of the states of the market: Continuous trading Auction There's quite a variety of algorithms for auction trading, which is used before the market opens, on market close etc. but most of the time, the markets do continuous trading . I'll therefore go into the latter category here. The most commonly used ones would be Price/Time priority and Pro-Rata . Both have been adapted and

Pulling Upside/downside Capture Ratio from morningstar.com

我的梦境 提交于 2019-12-02 06:51:02
问题 First Time Long Time. New to this VBA thing, however catching on. I'm interested in pulling the upside/downside capture ratio for a lot of mutual funds and want to automate the process. The table I am taking the info from is not your typical table; I guess it's a "dynamic object" on morningstar's website Here is the website. http://performance.morningstar.com/fund/ratings-risk.action?t=FDSAX&region=USA&culture=en-us This is specically for SunAmerica's Focus Dividend Fund; however I want to do