Available C++ Libraries FAQ

Commercial libraries (O-Z)

Time Series API - Professional time series modelling and simulation library for C++

Time Series API is a professional C++ class library for simulating (backtesting) and deploying financial trading strategies as well as general purpose time series modelling. The library is a stand-alone time series engine that can be extended via a component object model. Models are defined using 'formula syntax and semantics' made possible by a set of lightweight interface classes that supersede the component framework. The library supports the modelling of even the most complex ideas, is easily extended, and supports deployment in any timeframe (variable or fixed, with intervals as short as one millisecond). The library also benefits from a set of highly optimized database classes for reading and writing millions of records in seconds. As a general purpose tool for modelling time series, Time Series API has applications in many domains, such as:

Trading and investment strategy simulation and deployment:
- Individual market and inter-market models
- Iterative evaluations on baskets
- Evaluation on aggregates (e.g. custom indices)
- Fundamental company data models
Economic modelling
Time series normalization and processing:
Normalizing neural training data
Data transformations
Timeframe conversions
Data monitoring (e.g. financial, scientific):
- Notification
- Pattern recognition
- Filtering applications, (e.g. noise reduction)
Computational modelling
Genetic algorithms

Operating Systems

PC DOS
PC 32-bit Windows
PC Windows

Compilers

Any standard C++ compiler

Added : 2009-08-10 Amended: 2009-08-10 Licensing : Commercial

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Submitted by:Peter Ritter

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