VSP or Amazon Cloud
Hiro
It takes so long to run and get the results in Java and R.
Is there any way to run it faster?
I am thinking of installing LSP in VSP since it is difficult to run my
note PC for a long time.
Any thought about it, please?
Hiro
TradingPro
It is good to be here and have the chance to collaborate with you all.
Hiro, I have been working with GAs and such high demand technologies
for the past decade or so (mainly for data mining market
inefficiencies and WFA) and so have a farm of servers whirring away
most hours; this may have the benefit of keeping the house warm during
the cooler winter months here in Sydney yet I have also harboured the
desire to take all this HPC offsite much like you are considering. I
understand that Ralph, Josh or possibly Soren may have taken some
steps to look into this with regards to implementing LSPM offsite and
so would also be keen to hear if anything came through from this
effort. Hiro, can I presume that you are based in Japan? Although I am
from London and am currently basing myself in Sydney I have had the
pleasure of spending most of my adult life in Japan working for many
of the larger financial institutions and travel there frequently, it
would be a pleasure to touch base with you the next time I am
traveling (presuming you are) there.
Ralph, I would also like to take this first opportunity if I may to
extend my thanks to you for all that you have shared through your
work. Like Larry Williams I make it a point to read everything that
you write and share; not only does this evidently benefit the bottom
line but to be immersed again into the numbers through your contagious
passion for the mathematics has been and is a joy ... you see, in all
my life I never did find such a productive outlet to vent the advanced
degrees I took way back in applied mathematics, so thank you for that,
I share your joy with this!!!
Josh, please allow me to also extend my sincere thanks for your
sharing and the work that you have done within R. There are no doubt
numerous individuals and institutions that behind the scenes are
continuing to benefit from what you share with and give to others, so
again our gratitude!!!
Good to be here! Grant
Hiro
I am in the city of Yamato next to Tokyo and Yokohama right now, but I
was from Sydney.
As the permanent residence of Australia, I may be back there later.
My son is now in Brisbane for Uni. He got the offer from Uni. in Kyoto
last year, but he didn't take it.
I guess he likes OZ more.
Well, I will be working at the funds management firm in Singapore from
next week.
Whenever my employment visa is ready, I will move to Singapore where I
have spent 10 years as the trader at banks before.
I would like to run LSP model more and faster. If it takes one full
day to get the results, that will be fine with me, but it has to be
run in VPS.
I just want to get some ideas to run LSP faster.
Hiro
TradingPro
So your son turned down Kyoudai, wow! Makes me laugh because it
reminds me of when I turned down Oxford and Cambridge after passing
the Oxbridge exams. Hope you enjoy your next time back in Singapore.
Yes, for me also, having the ability to reduce certain processes on
the critical path down to an overnight 8 hour run is going to be
something that I will soon need to address as I soon bring my work
with LSPM online, and I really don't want the overhead of managing
another rack of servers.
Sorry that I have not been able to help directly with this as I have
not yet looked into this myself in any depth suspecting that there are
better experts out there that have and can shed some light on how it
is done.
Hopefully, there is a way.
Joshua Ulrich
The execution time is dependent on several factors including, but not
limited to:
1) objective function,
2) constraint function,
3) number of market systems,
4) number of trading periods, and
5) DEoptim settings.
Throwing more "iron" at the problem will help regardless of which
factors are the bottleneck.
Careful inspection of your specific problem could also yield speed
improvements (e.g. are the past 5 years truly representative of what
you expect to happen over the horizon you're optimizing for?). I
would need more information to provide any recommendations, so feel
free to email me off-list.
Best,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
Joshua Ulrich
On Sat, Jul 30, 2011 at 3:51 AM, TradingPro <aikid...@gmail.com> wrote:
> Hiro, I have been working with GAs and such high demand technologies
> for the past decade or so (mainly for data mining market
> inefficiencies and WFA) and so have a farm of servers whirring away
> most hours; this may have the benefit of keeping the house warm during
> the cooler winter months here in Sydney yet I have also harboured the
> desire to take all this HPC offsite much like you are considering. I
> understand that Ralph, Josh or possibly Soren may have taken some
> steps to look into this with regards to implementing LSPM offsite and
> so would also be keen to hear if anything came through from this
> effort.
>
I've been working on a web-service prototype that would allow you to
take advantage of Amazon's HPC services. I can only work on it in my
spare time, so it's not progressing as fast as I would like. I also
think it's going to take a major re-write of DEoptim to really take
advantage of distributed computing.
> Josh, please allow me to also extend my sincere thanks for your
> sharing and the work that you have done within R. There are no doubt
> numerous individuals and institutions that behind the scenes are
> continuing to benefit from what you share with and give to others, so
> again our gratitude!!!
>
Thanks for your kind words; I truly appreciate hearing when people
find my contributions helpful.
> Good to be here! Grant
>
>
Best,
Hiroyuki Narita
BBands
deleterious to your progress as Mr. Assange found out recently. One
company recently dumped a long-term customer with no notice when they
put a ban on "Online trading, day trading tips, or stock market
related content" into their terms of service. The "no notice" bit is
particularly scary. In my opinion one simply can not trust cloud
providers when it comes to mission-critical applications.
jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com
If you advance far enough, you arrive at the beginning.
Soren Macbeth
BBands
> Definitely a good point to keep in mind John. This can be mitigated somewhat
> not relying on a sole cloud provider. There are several out there, as well
> as several different libraries which abstract away the underlying provider,
> giving one a general cloud interface.
I wasn't aware of that. Interesting alternative.
> Cloud providers are just as likely to
> have onerous terms of service as rack-based hosting or co-location
> facilities though.
I've actually thought about that a lot. Last year I considered using
RackSpace as a fall back until I encountered their tos.
> So, unless you can afford to run your own ops center,
> spreading your bets (so to speak) is a good middle ground, in my humble
> opinion.
If you have a bit of time, I'd love to hear you expand on this when you can.
jab