Several members of the LSCITS Initiative are releasing source-code and associated documentation for use in research and teaching, under appropriate open-source/creative-commons licenses. This page contains first releases and will continue to be populated over the next few months.
OpEx (Open Exchange)
OpEx was built by Marco de Luca (LSCITS) and can briefly be described as "The open source Algorithmic Trading System". OpEx is an application suite that includes the main building blocks of commercial electronic trading systems. OpEx is available to download from sourceforge at:
CloudMonitor was built by James Smith (LSCITS-CLOUD) and is a software utility that is capable of >95% accurate power predictions from monitoring resource consumption of workloads, after a “training phase” in which a dynamic power model is developed. CloudMonitor is available for download from github at:
The Change Point detecting Subspace Tracker (CDST) algorithm
The CDST algorithm was synthesised and developed by Chris Musselle for the purpose of anomaly detection across multiple data streams. The algorithm tracks the covariance between all data streams through a reduced representation which is then updated incrementally with each time step. Preliminary results show the algorithm to be fast and effective at flagging up points where there is a change in the variance or covariance of the data. A demo of the prototype algorithm is available at:
ExPo: The Exchange Portal
ExPo: The Exchange Portal is an online financial trading exchange platform designed to run controlled scientific trading experiments between human traders and automated trader robots. Designed for research in behavioural economics and computerized trading, this Ruby on Rails application enables humans and automated trading algorithms to trade stock in an online marketplace. ExPo Includes C and Ruby APIs for automated robot traders, and a suite of reference traders implemented in C. ExPo has been used as a teaching platform and a research platform. Download and latest repository code available from:
Options and Provision-Point Contracts in Cloud Scheduling
This algorithm can be used to obtain results for the effectiveness of standard options contracts and provision-point contracts when applied to virtual machine scheduling in infrastructure-as-a-service. It is available to download from sourceforge at:
Bristol Stock Exchange (BSE)
BSE is an open-source release of a minimal simulation of a limit order book (LOB) financial exchange, populated by algorithmic trading systems, primarily intended for use in teaching.
BriCS: SaaS for running simulation models in the cloud
The Bristol Cloud Service simulation runner is a cloud computing Software as a Service designed to enable users to quickly launch simulation code on Amazon AWS' Elastic Compute Cloud (EC2). BriCS is written in Python using the Django framework and interacts with EC2 using the boto API. BriCS enables multiple simulation runs to be launched in parallel from a web browser. Model configuration (parameters) files are uploaded via the browser and the results files are downloadable on completion. BriCS enables researchers with software simulation models to access the rapid scale out opportunities of the cloud.
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