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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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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Project Euler Problem #21

August 16, 2010
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This is a solution for problem 21 on the Project Euler website. It consists of finding the sum of all the amicable numbers under 10000. This was pretty easy to solve, but the solution could probably be improved quite a bit. Solution #1 in R is as follo...

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R annoyances

March 20, 2010
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Readers returning to our blog will know that Win-Vector LLC is fairly “pro-R.” You can take that to mean “in favor or R” or “professionally using R” (both statements are true). Some days we really don’t feel that way. Consider the following snippet of R code where we create a list with a single element Related posts:

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R examine objects tutorial

November 21, 2009
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R examine objects tutorial

This article is quick concrete example of how to use the techniques from Survive R to lower the steepness of The R Project for Statistical Computing‘s learning curve (so an apology to all readers who are not interested in R). What follows is for people who already use R and want to achieve more control Related posts:

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