Posts Tagged ‘ Coding ’

Levenshtein distance in C++ and code profiling in R

March 25, 2012
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Levenshtein distance in C++ and code profiling in R

At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: two different words might have same root, a

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How to save high frequency data in mongodb

February 24, 2012
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Are you looking for ways how to save real time, high frequency data taken from Interactivebrokers.com API ? I built an example in C++ which saves all incoming data in Mongodb. Check this link if you are interested: https://github.com/kafka399/TwsMongo  

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C++ is dead. Long live C++

December 1, 2011
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C++ is dead. Long live C++

During the summer I was contacted by a hedge fund from Bahamas. The fund was looking for someone with R language skills on-site and insisted for phone interview. Besides obvious questions about finance, statistics, coding and how many tennis balls can fit in Boeing 747 (ok, this question was omitted), they wanted to know if

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ARMA Models for Trading, Part III

May 2, 2011
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ARMA Models for Trading, Part III

In the last post I showed how to pick the parameters for the ARMA model. The next step is to determine the position at the close. One way to do that is by a one day ahead prediction, if the prediction comes negative (remember the series we are operating on is the daily returns) then

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Day #28 ggplot2 in knime

April 21, 2011
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If you haven’t read yesterday’s post, I advise you to do so, because this is the fix of yesterday. Day #27: A lot of graphics in one place I found out how to use ggplot2 in knime. Say, for example, your code is this: library(ggplot2) myplot...

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Day #27 A lot of graphics in one place

April 20, 2011
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assignment in R Today my internship-promotor gave me the assignment to create this chart in R. This means: I get a lot of data and put a certain column on a barchart for each plate. On top of that data, you place 2 errorbars. At first I thought, piece ...

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Day #25-26 R is soo static!

April 19, 2011
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Today I stumbled upon a very nice package called “rgl”. For documentation and demos, take a look at it’s website. Rgl is: quoted by rgl site itself: The rgl package is a visualization device system for R, using OpenGL as the rendering...

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Presentation on Building R Packages

February 21, 2011
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Last week I gave a presentation to the Melbourne R User Group on Building R Packages. The talk covered a simple package example, and an example of interfacing R with native code. The slides are here: RPackages.pdf. The R community in Melbourne (and Aus...

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Open-sourcing some of my automation code

February 19, 2011
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Open-sourcing some of my automation code

To automate my trading I use a mix of scripts. Everything goes – R, Python, shell, C++, etc. For some time now I have been satisfied with the tools I have created. They run once a day, gather data from EODDATA, update the database, run some R magic to decide what needs to be done

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Gdb Macros for R

September 6, 2010
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When debugging R interactively, one hurdle to navigate is unwrapping SEXP objects to get at the inner data. Gdb has some useful macro functionality that allows you to wrap useful command sequences in reusable chunks. I recently put together the followi...

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