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Software to Calculate/Chart correlation from streaming data?
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Software to Calculate/Chart correlation from streaming data?

  #1 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

Software to Calculate/Chart correlation from streaming data?

I'm looking for software and a data feed that will allow me to calculate and chart the price correlation between two securities.

Currently I use Interactive Brokers, but I cannot do this w/ their Trader Workstation.

I'd like to do this w/ as high frequency data as is possible on a solo day trader's budget.

Generally, I'm trying to find the best combination of broker, data feed, software and API that provides fast execution, fast data, can calculate and display charts of price correlations, and will allow me to write my own algorithms for processing streaming data and charting these custom algorithms' output.

I'd like to be able to get very detailed w/ custom algorithms.. For example, I'd like to experiment w/ custom algorithms to calculate probabilities from streaming data along w/ historical data, using both price and volume as inputs.

I'm hoping to find the best, most full featured system(s) now, so that I don't spend my time learning a system that I will outgrow, then have to learn an entirely different system in order to progress further.

Thanks, any info is much appreciated

-Max

PS- I mainly trade the major ETFs: SPY, EEM, GLD, TLT, commodity ETFs, and eur.usd

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  #2 (permalink)
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  #3 (permalink)
Site Administrator
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You can do this with Sierra Chart, NinjaTrader, or MultiCharts platforms. All of them support popular brokerages for execution and/or data, like Rithmic, Zen Fire, TradingTechnologies, CQG, etc. You will find different FCM's and IB's that provide those services, just look through the Brokers section of futures.io (formerly BMT).

You can use broker data or get a premium data feed like DTN IQFeed. Discussions as to why etc can be found on the forum.

As for the actual tool to compute the correlation, there are several already written for NinjaTrader on the forum to get you started, but you can write them for whatever platform just as easily, if they aren't already built-in.

With regards to an API, you can get the DTN IQFeed API if you want to do your own calculations outside of the major trading platform. You can also pull their data into Excel directly with their DDE. Other options include using Matlab to do the number crunching, and then send the order execution to the platform. Some platforms have API's for Matlab directly, such as CQG.

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  #4 (permalink)
Market Wizard
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seem fast is of top priority, pick serrachart.

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  #5 (permalink)
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Ninjatrader Correlation Indicator

Links and Downloads Manager - NinjaTrader Support Forum

To find it in the downloads section arrange the indicators by title in ascending order. This one should then show up on the second page. It's called Correltation.


Quoting 
Description
Plots the Correlation coefficient of two instruments (NT7 only)

The first instrument is the primary chart data series. The secondary instrument is specified by the parameter "Symbol2". The secondary instrument does not need to be plotted on the chart, but if it is, then "Symbol2" may be left blank and if will default to the second instrument displayed on the chart.

The "CorrelationType" parameter may be set as follows:
"Pearson": Pearson's Product-Moment Correlation (most common) (default)
"Rank": Correlation of the rank order of the data, also known as "Spearman"
"Residual": Correlation of the residuals (residual = error term = distance from a linear regression line through the data)
"PctChange": Correlation of the bar-to-bar percentage change

References:
Pearson:
http://en.wikipedia.org/wiki/Pearson...on_coefficient
Rank:
http://en.wikipedia.org/wiki/Spearman's_rank_correlation_coefficient

Exported using NT version 7.0.1000.3


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  #6 (permalink)
Membership Revoked
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maxplanck View Post
I'm looking for software and a data feed that will allow me to calculate and chart the price correlation between two securities.

Currently I use Interactive Brokers, but I cannot do this w/ their Trader Workstation.

I'd like to do this w/ as high frequency data as is possible on a solo day trader's budget.

Generally, I'm trying to find the best combination of broker, data feed, software and API that provides fast execution, fast data, can calculate and display charts of price correlations, and will allow me to write my own algorithms for processing streaming data and charting these custom algorithms' output.

I'd like to be able to get very detailed w/ custom algorithms.. For example, I'd like to experiment w/ custom algorithms to calculate probabilities from streaming data along w/ historical data, using both price and volume as inputs.

I'm hoping to find the best, most full featured system(s) now, so that I don't spend my time learning a system that I will outgrow, then have to learn an entirely different system in order to progress further.

Thanks, any info is much appreciated

-Max

PS- I mainly trade the major ETFs: SPY, EEM, GLD, TLT, commodity ETFs, and eur.usd

I don't know what your budget is, but you could check out RTS RTD Tango. It also has full connectivity to MATLAB.

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The following user says Thank You to Lornz for this post:
 
  #7 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

Thanks

Usually, w/ software there is one application for a given purpose that is least buggy, while still being very full featured. Is there any setup that you would particularly recommend?

I'm deep into the technical side of things, but you know how it is, you need a good system that runs reliably without problems, keeps technical issues out of your way, but allows you to configure things at a detailed level when you need to..

For example, I am a very technical person, but still I cannot stand to use Windows b/c it has so many errors and problems. I can fix a Windows PC, no problem and make it do anything, but having to fight the machine in order to make it work properly robs you of your time. I have to use Mac, it just works without me needing to go to war w/ it. (I realize that I will probably have to use Windows to run the trading software, this is just an example of a broader issue.)

I'm using IB's TWS now, from my perspective it is very buggy and lacking in features, although it's the best among the free software provided by brokerages that I've tried.


Last edited by maxplanck; November 10th, 2011 at 12:46 PM.
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