[R-SIG-Finance] R Implementation of FIX

Tom Johnson tjohnson at covad.net
Mon Oct 30 21:05:21 CET 2006


After review, the R wrapper with FIX would appear best, but a gui interface
will do instead.  Thank you, Tom

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
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Sent: Friday, October 27, 2006 03:00
To: r-sig-finance at stat.math.ethz.ch
Subject: R-SIG-Finance Digest, Vol 29, Issue 15


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Today's Topics:

   1. Re: R-SIG-Finance Digest, Vol 29, Issue 9 (Citta Francesco)
   2. Re: R Implementation of FIX (Spencer Graves)
   3. Re: R Implementation of FIX (Dirk Eddelbuettel)
   4. Re: R Implementation of FIX (Brian G. Peterson)


----------------------------------------------------------------------

Message: 1
Date: Thu, 26 Oct 2006 15:39:11 +0200
From: "Citta Francesco" <fcitta at inwind.it>
Subject: Re: [R-SIG-Finance] R-SIG-Finance Digest, Vol 29, Issue 9
To: <r-sig-finance at stat.math.ethz.ch>
Message-ID: <000301c6f904$3025b200$5f5c1997 at y6c3m0>
Content-Type: text/plain;	charset="iso-8859-1"

I have your same problem... I hope to help you at least with the DCC-MGARCH.
First, if you have Matlab in the Sheppard's homepage you can find a very
interesting package about DCC, it covers only the simmetric and simpler DCC
model.
For Gauss you can read the paper "International Stock Markets Interactions
and Conditional Correlations" wrote by Savva, send him an email and ask the
most recent version and the GAUSS code (christos.savva at manchester.ac.uk).
In R I find the estimation very hard. You can start visting the Patrick
Burn's homepage: http://www.burns-stat.com/ and download the paper called
"Multivariate GARCH with Only Univariate Estimation". Alternatively or in
addition, you can visit the Vehbi Sinan's homepage:
http://www.vsthost.com/old/vstDocs/projects/R/mgarchBEKK/
It is usefull for the BEKK estimation but reading the documentation it seems
that it is possible to extend this estimation to the DCC model but I am not
able...
If you find something about DCC tell me...
Good luck
----- Original Message -----
From: <r-sig-finance-request at stat.math.ethz.ch>
To: <r-sig-finance at stat.math.ethz.ch>
Sent: Tuesday, October 17, 2006 12:00 PM
Subject: R-SIG-Finance Digest, Vol 29, Issue 9


> Send R-SIG-Finance mailing list submissions to
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> Today's Topics:
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>   1. DCC-MGARCH (bechir raggad)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Mon, 16 Oct 2006 13:36:33 +0200 (CEST)
> From: bechir raggad <raggadbechir at yahoo.fr>
> Subject: [R-SIG-Finance] DCC-MGARCH
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <20061016113633.82480.qmail at web26612.mail.ukl.yahoo.com>
> Content-Type: text/plain
>
> Hi,
>    I'm interested in application of DCC-MGARCH (DCC Engle(2002), Tse and
> Tsui (2002)) for some financial and economic data.
>  Would you tell me if  there any existing codes on Splus, R or Gauss?
>
>    Thank you
>
>
>
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------------------------------

Message: 2
Date: Thu, 26 Oct 2006 10:44:51 -0700
From: Spencer Graves <spencer.graves at pdf.com>
Subject: Re: [R-SIG-Finance] R Implementation of FIX
To: Tom Johnson <tjohnson at covad.net>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID: <4540F413.7080908 at pdf.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed

      I'm not familiar with the "Financial Information eXchange"
protocol, but RSiteSearch("financial information exchange") produced 5
hits for me just now.  Two of these referenced HighFrequencyDataTools
{fCalendar} and MarketStatistics {fBasics}.  RSiteSearch("download",
"functions") produced 75 hits, and h("download financial data",
"functions") returned only 4 hits.

      If you'd like further help from this list, please submit another
post.  When you do, please outline very briefly what you've tried and
include a simple, self-contained example of something that seemed the
closest to what you want, explaining its deficiencies.

      Hope this helps.
      Spencer Graves

Tom Johnson wrote:
> Does anyone please know of an example of R (or S-Plus) code being used to
> implement the FIX ("Financial Information eXchange") protocol for
> communicating securities transactions between two parties?  I only know of
> implementations in C++, Visual Basic, Delphi, Java, etc.  Thanking you for
> any leads,  Tom
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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------------------------------

Message: 3
Date: Thu, 26 Oct 2006 13:02:17 -0500
From: Dirk Eddelbuettel <edd at debian.org>
Subject: Re: [R-SIG-Finance] R Implementation of FIX
To: "Tom Johnson" <tjohnson at covad.net>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID: <17728.63529.790498.336394 at basebud.nulle.part>
Content-Type: text/plain; charset=us-ascii


On 18 October 2006 at 21:23, Tom Johnson wrote:
| Does anyone please know of an example of R (or S-Plus) code being used to
| implement the FIX ("Financial Information eXchange") protocol for
| communicating securities transactions between two parties?  I only know of
| implementations in C++, Visual Basic, Delphi, Java, etc.  Thanking you for
| any leads,  Tom

Your best best, IMHO, is to take one of those C++ libraries and to write
some
R glue code.  Or to higher someone who can do it for you.

There are numerous example packages on CRAN which do exactly that: provide R
access to and from external libraries, often written in C, C++ or Fortran.

Dirk

--
Hell, there are no rules here - we're trying to accomplish something.
                                                  -- Thomas A. Edison



------------------------------

Message: 4
Date: Thu, 26 Oct 2006 13:17:08 -0500
From: "Brian G. Peterson" <brian at braverock.com>
Subject: Re: [R-SIG-Finance] R Implementation of FIX
To: r-sig-finance at stat.math.ethz.ch
Cc: Tom Johnson <tjohnson at covad.net>
Message-ID: <200610261317.08962.brian at braverock.com>
Content-Type: text/plain;  charset="iso-8859-1"

On Thursday 26 October 2006 12:44, Spencer Graves wrote:
> I'm not familiar with the "Financial Information eXchange"
> protocol, but RSiteSearch("financial information exchange") produced 5
> hits for me just now. ?Two of these referenced HighFrequencyDataTools
> {fCalendar} and MarketStatistics {fBasics}. ?RSiteSearch("download",
> "functions") produced 75 hits, and h("download financial data",
> "functions") returned only 4 hits.

FIX is a protocol used most often for data feeds from exchanges or
clearing brokers.  Generally, it is used for high-frequency order and
confirmation data on transactions, although the protocol also contains
data types for a number of other types of records, including tick data.
I am not aware of and could not locate an R implementation of FIX.

I think Dirk's suggestion to use one of the C/C++ FIX libraries and glue
it to R is probably the correct one.  You may wish to consider an open
FIX implementation like QuickFIX, which is probably the most widely used
and best tested open source implementation of FIX.

http://www.quickfixengine.org/

Hopefully, if you manage to implement an R wrapper around a FIX library,
you will consider sharing it with the community so that no one else will
have your problem in the future.

Regards,

   - Brian



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