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Spread discovery and backtester code
10 messages · mail at chrisbird.com, Whit Armstrong, Daniel Cegiełka +3 more
I'll be the first. Did you just spam R-sig-finance with closed source code, distributed as a binary, that USES the community's hard work, without giving back anything? That requires a password???! This is a (very) likely a violation of the GPL in letter and, and certainly in spirit. As someone who works rather hard for this community, I will be the first to request you take your efforts elsewhere. Not a single person here has 'time' to look at it. Jeff
On Tue, May 22, 2012 at 2:40 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
I have developed a spread/strategy backtester, which takes a list of input contracts and creates an N-dimensional output of spread combinations, performs backtesting and outputs results. Spread combinations are deduced by correlation & cointegration measures, combined with graph reduction to create a manageable result set to backtest. Its here: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> Email me for the password (just to keep track of who is interested, so I can decide if to tidy it up & comment it more in future). The code relies upon my trade netting library: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> (Only built for win64 - however if you email me I can supply source if you want to build it yourself) Please don't ask me how the code works, I haven't got time to comment it or give support. If enough interest is shown - i.e people requesting password and telling me they like it, then I will try and make an effort to tidy it up & get it using the new parallel functions within latest R build. Kind Regards, Chris. ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
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Why don't you throw this up on github. You'll get more respect from the community that way. Most people will be reluctant to run code that they cannot inspect for themselves (myself included). Also, nice move on the tslib submodules! -Whit
On Tue, May 22, 2012 at 8:46 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
Just to clarify a few points: (THE TRADE NETTING LIBRARY) Any code was distributed as a binary - simply so I knew it was in a form immediately usable by at least some people. Source code is available (and was stated as such) and it is not closed source - I simply have not had the time to present it in a professional manner. A question that needs to be asked is would you prefer that I try and release something to the community or I don't at all. Neither the binary nor the source had any password. (THE SPREAD DISCOVERY & BACKTESTER) R code, no binary. Wrapped in a .zip simply because it makes it easy. Password was simply used as a means of tracking interest. Due to the rude response I received, I was almost tempted to not publish this in any manner. However, as mentioned, the password is algotickbacktesterpassword Chris. On 22 May 2012 at 12:52 Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
I'll be the first. Did you just spam R-sig-finance with closed source code, distributed as a binary, that USES the community's hard work, without giving back anything? ?That requires a password???! This is a (very) likely a violation of the GPL in letter and, and certainly in spirit. As someone who works rather hard for this community, I will be the first to request you take your efforts elsewhere. Not a single person here has 'time' to look at it. Jeff On Tue, May 22, 2012 at 2:40 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
I have developed a spread/strategy backtester, which takes a list of input contracts and creates an N-dimensional output of spread combinations, performs backtesting and outputs results. Spread combinations are deduced by correlation & cointegration measures, combined with graph reduction to create a manageable result set to backtest. Its here: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> Email me for the password (just to keep track of who is interested, so I can decide if to tidy it up & comment it more in future). The code relies upon my trade netting library: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> (Only built for win64 - however if you email me I can supply source if you want to build it yourself) Please don't ask me how the code works, I haven't got time to comment it or give support. If enough interest is shown - i.e people requesting password and telling me they like it, then I will try and make an effort to tidy it up & get it using the new parallel functions within latest R build. Kind Regards, Chris. ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
? ? ? ?[[alternative HTML version deleted]]
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Wearing my devil's advocate hat...
On Tue, May 22, 2012 at 7:34 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
<snip>
I would please ask anyone who is interested to let me know, so that I can develop these further if there is enough interest. If I don't get any comments, I wont bother. Also any licensing comments/banners within the source should be ignored - it is not in a "release" form yet, and was another reservation I had releasing it in such a form. Please assume that any of this software agrees with and is compliant with any GNU R licensing requirements.
I hope you can understand how some people may be reluctant to make this assumption. "Chris told me to ignore the license and assume it is GPL" probably isn't a strong legal argument. It could be different now that you've said it in a public forum, but I'm not a lawyer.
Rather than responding in a rude or obnoxious manner to people who try and contribute to the group it is probably better to respond in a softer manner. This is not the first time that I have seen certain people respond to myself and others in a a manner which deters people from making a contribution.
While Jeff's response may have seemed inappropriate, your post was highly unorthodox and it wasn't immediately clear you were trying to contribute to the open source community. The "requires password" and the ".zip" (binary) extension were red flags. I hope you can see how this could give people the wrong impression. If you're looking for feedback on your code, you really need to supply the code, not just the program/package. github, R-Forge, or code.google.com are good for this. I could only find one other instance where you thought someone responded to you "in a manner which deters people from making a contribution" and it seemed like you were very quick to assume that Daniel was being rude when he was just being brief (and English isn't his native language).
Chris.
Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com
On 22 May 2012 at 12:52 Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
I'll be the first. Did you just spam R-sig-finance with closed source code, distributed as a binary, that USES the community's hard work, without giving back anything? ?That requires a password???! This is a (very) likely a violation of the GPL in letter and, and certainly in spirit. As someone who works rather hard for this community, I will be the first to request you take your efforts elsewhere. Not a single person here has 'time' to look at it. Jeff On Tue, May 22, 2012 at 2:40 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
I have developed a spread/strategy backtester, which takes a list of input contracts and creates an N-dimensional output of spread combinations, performs backtesting and outputs results. Spread combinations are deduced by correlation & cointegration measures, combined with graph reduction to create a manageable result set to backtest. Its here: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> Email me for the password (just to keep track of who is interested, so I can decide if to tidy it up & comment it more in future). The code relies upon my trade netting library: http://www7.zippyshare.com/v/11292047/file.html <http://www7.zippyshare.com/v/11292047/file.html> (Only built for win64 - however if you email me I can supply source if you want to build it yourself) Please don't ask me how the code works, I haven't got time to comment it or give support. If enough interest is shown - i.e people requesting password and telling me they like it, then I will try and make an effort to tidy it up & get it using the new parallel functions within latest R build. Kind Regards, Chris. ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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I have not looked at chris's code in detail, but I downloaded the .zip and there was no password protection and the R package it contains consists of a dll (his source i would presume, but not shared here) which has been wrapped up in R functions. Lets assume for a moment that the sourcecode on which the dll is based is completely Chris's brainchild and work. In that case, wrapping it up in R and making it available here, or anwhere else, is certainly NOT a violation of GPL, because the dll is (assumption) not a *derivative* work of a GPL product (xts, other packages, C source that is GPL, etc...) but his own. In that sense, i don't understand the rather frosty reception. However, as has also been pointed out, distributing binary version of something is not going to earn anyone any kudos in an open source community. as simple as that. Now if my assumption is wrong and the dll is indeed a *derivative* work of something that itself is licensed under GPL, then and only then this whole thing would be problematic and violate GPL. But the easiest fix would be to include the dll's source in the package and voila! you are good to go. The author would know best ... ----- http://censix.com -- View this message in context: http://r.789695.n4.nabble.com/Spread-discovery-and-backtester-code-tp4630831p4630919.html Sent from the Rmetrics mailing list archive at Nabble.com.
My apologies for starting this. I didn't mean to imply that Chris was intending to do anything wrong. In fact, from a technical GPL perspective, I don't really care too much. My focus, and my immediate reaction was for one reason only, discourage future use of the list to distribute opaque code. Binaries, passwords, etc are that - no question about it. Chris has done a great job in responding to my somewhat less than friendly initial reply, in terms of passing along more details as well as explaining his position, and fixing some of the issues that weren't so clear at the start. The point of this list, community, et al, is open source finance, within an R context. It seems (now) that that is exactly what Chris is doing. For that, I want to chime in with the others and say thanks for making the effort in sharing your code and ideas here, and I think many would be willing to help in the process of getting it into more hands and in front of more eyeballs. Jeff
On 5/22/12 10:47 AM, "soren wilkening" <me at censix.com> wrote:
I have not looked at chris's code in detail, but I downloaded the .zip and there was no password protection and the R package it contains consists of a dll (his source i would presume, but not shared here) which has been wrapped up in R functions. Lets assume for a moment that the sourcecode on which the dll is based is completely Chris's brainchild and work. In that case, wrapping it up in R and making it available here, or anwhere else, is certainly NOT a violation of GPL, because the dll is (assumption) not a *derivative* work of a GPL product (xts, other packages, C source that is GPL, etc...) but his own. In that sense, i don't understand the rather frosty reception. However, as has also been pointed out, distributing binary version of something is not going to earn anyone any kudos in an open source community. as simple as that. Now if my assumption is wrong and the dll is indeed a *derivative* work of something that itself is licensed under GPL, then and only then this whole thing would be problematic and violate GPL. But the easiest fix would be to include the dll's source in the package and voila! you are good to go. The author would know best ... ----- http://censix.com -- View this message in context: http://r.789695.n4.nabble.com/Spread-discovery-and-backtester-code-tp46308 31p4630919.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.