SVN

For those who are given access to an AQ project or AlgoQuant (AQ) itself in svn repository, you need a software to check out code from the source control. If you are a Windows user, we recommend you to use ​TortoiseSVN; if you are a Mac user, you may try ​Versions. The following instructions assume that you are a Windows user. Browse to a folder where you would like to save the project. Right click any empty space in Windows explorer to bring up the context sensitive menu. Hit “TortoiseSVN -> Repo-browser”. Type in the svn path given to you, e.g., the link in the picture shown below. AQ Project   AlgoQuant Right click on “trunk”, and hit “Checkout”. Fill out the Checkout dialogue, and hit “OK”. This will start downloading the project to your chosen location. You will need to use a Java IDE such as NetBeans or Eclipse to open the project. See the setup guide for an example. When you open the blank AQ project, you will see this project in your NetBeans. There are two example classes already in the project for your reference. The dependencies on AlgoQuant and SuanShu and other 3rd party libraries are already set up. NetBeans (Maven) will automatically download these libraries for you.      ...

Dr. Haksun Li

Dr. Haksun Li is a founder and the CEO of NM LTD., an algorithmic trading research and mathematical modelling consulting company. The firm serves brokerage houses and funds all over the world, multinational corporations, very high net worth individuals and gambling groups. Prior to this, Haksun was a quantitative trader/quantitative analyst with multiple investment banks. He trades stocks, options, commodity futures, FX and bonds. He has worked in New York, London, Tokyo, Singapore and Hong Kong. Dr. Haksun Li is the Vice Dean of the Big Data Finance and Investment Institute of Fudan University, China. He was an adjunct professor with multiple universities. He has taught at the National University of Singapore (Mathematics), Nanyang Technological University (Business School), Fu Dan University (Economics), as well as Hong Kong University of Science and Technology (Mathematics). Dr. Haksun Li has a B.S. and M.S. in Pure and Financial Mathematics from the University of Chicago, an M.S. and a Ph.D. in Computer Science & Engineering from the University of Michigan, Ann Arbor. Academic Duties Dr. Haksun Li is/was a Vice Dean of the Big Data Finance Institute of Fudan University, China; an Adjunct Assistant Professor of the Department of Mathematics, National University of Singapore; an Adjunct Associate Professor of Banking & Finance at Nanyang Business School, Nanyang Technological University. He was also an industry fellow. external adviser, Fu Dan University, School of Economics He also taught at these universities in the past. Hong Kong University of Science and Technology, Department of Mathematics Fu Dan University, School of Economics Beijing University seminar 介绍 李克辛博士是数值方法股份有限公司的创办人和行政总裁。 李博士在数值方法股份有限公司致力于科学计算技术的研发以及交易、投资和资产管理方面的咨询工作。在他的领导下,公司立足于量化投资和金融科技领域,服务对象包括世界各地的证券和基金公司,跨国企业,高资产人士及博彩投资团队等。李博士管理和交易的资产包括股票,期权,商品期货,外汇和债券。 近期,李博士帮助瑞士的一家投资公司解决了资产组合的最优交易问题,为香港知名医疗集团提供了信息技术的咨询,为美国拉斯维加斯的专业博彩团队设计了应用在篮球和美式橄榄球上的博弈策略。此外,李博士还与多所中国顶尖大学合作组织了算法交易和量化投资方面的培训课程。 在创立数值方法股份有限公司之前,李博士曾先后在瑞士银行和法国巴黎银行从事量化分析员和量化交易员的工作。李博士是复旦大学大数据金融研究院副院长。另外李博士也曾在新加坡国立大学,南洋理工大学,复旦大学和香港科技大学担任兼职教授。 李博士拥有芝加哥大学的数学学士和金融数学硕士学位,以及密歇根大学计算机硕士和博士学位。 学术职务 李博士是/曾是 复旦大学大数据金融研究院副院长 新加坡国立大学数学系的兼职助理教授 新加坡南洋理工大学商学院的兼职副教授,院士 复旦大学经济学院 校外导师 李博士还任教于这些大学。 香港大学科技数学系 复旦大学经济学院...

Demo

After the initial setup, you can run demo programs included in the sub-project algoquant-demo. Source files that end in “…Demo.java” (e.g, RunAllDemo.java), are executable programs for demonstration. To run a demo program, you right click on it and hit Run File (or...

Setup

AlgoQuant uses ​Maven for project management. To download and install the required libraries, you need to do an initialization step. NetBeans In NetBeans, open the parent project algoquant and click Build: NetBeans will download all the required jar files to your local maven repository and run all the tests. Reference: ​http://wiki.netbeans.org/MavenBestPractices Eclipse In Eclipse, import the parent project (choose File > Import > Maven > Existing Maven Project, then select the root directory of algoquant). Then, Eclipse may install the required maven plugins and restart. After Eclipse restarts, you need to run Maven install for the parent project algoquant.     Eclipse will download all the required jar files to your local maven repository. If there are errors shown in source files in algoquant-core, they may be due to the ignorance of Eclipse about the generated source code. Add the generated source folder: References: ​http://www.sonatype.com/books/m2eclipse-book/reference/index.html https://www.eclipse.org/m2e/documentation/m2e-faq.html Command Line If you have already installed Maven in your workstation, you can directly use command line interface to do the setup by typing the command: > mvn install at the outermost project folder. Having done the proper setup, you can now start coding with the AlgoQuant API. Using AlgoQuant API via Maven dependency Alternatively, you may use AlgoQuant API in your own project without downloading the whole zipped package. In your project POM, fill in our repository information in the <repositories> section, then put a dependency in the <dependencies> section. Here is an example: <?xml version="1.0" encoding="UTF-8"?> <project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd"> <modelVersion>4.0.0</modelVersion> <groupId>com.mycompany</groupId> <artifactId>myproject</artifactId> <version>1.0-SNAPSHOT</version> <packaging>jar</packaging> <properties> <project.build.sourceEncoding>UTF-8</project.build.sourceEncoding> <maven.compiler.source>1.8</maven.compiler.source> <maven.compiler.target>1.8</maven.compiler.target> </properties> <repositories> <repository> <id>nm-repo</id> <name>Numerical Method's Maven Repository</name> <url>http://repo.numericalmethod.com/maven/</url> <layout>default</layout> </repository> </repositories> <dependencies> <dependency>...

FAQs

Installation On your web site I can read, suanshu.net-2.0.0.zip and algoquant-0.5.0.zip. Should we download both, or does AlgoQuant suffice and we get SuanShu with the algoquant-0.x.x.zip? You just need to download algoquant-0.5.0.zip. It comes with the latest version of SuanShu as well. SuanShu.net is our experimental C# library and is free to download and use. Which version of Java do you recommend? We in house test all our code using a few thousands unit tests daily with 4 versions of jvm from Sun/Oracle: 1.6.x 32 and 64 bits, 1.7.x 32 and 64 bit. Your choice of jvm version is a personal decision. Although some of our developers use the IBM clone with eclipse, it is not part of our routine testing procedure. My personal preference is the Oracle 1.6.x 64 bit. We need 64 bit to process a large amount of data. We prefer 1.6.x because it is a much more mature product with history esp. amid-st the infamous security patches and testing/release policy from Oracle lately. mvn compile does not work! Please do mvn clean install before compile. When building AlgoQuant with Maven, I got errors with the plugin Surefire. E.g., Failed to execute goal org.apache.maven.plugins:maven-surefire-plugin:2.14:test (default-test) on project algoquant-core: Execution default-test of goal org.apache.maven.plugins:maven-surefire-plugin:2.14:test failed This problem seems to happen mostly on a Mac. Please try to use Surefire version 2.14.1 or above. You may try to run the maven build with option “-e”. You may try to skip the unit testing by option “-skipTests”. (In NetBeans, there is such an option under “Maven”.) If none of the above works, our wild guess is that your VM...