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QuantLib is another opportunity- C++ open source library for quantitative finance. Fun and possibly rewarding!

link should be QuantLib

http://quantlib.org/index.shtml is useful.

Full disclosure - I am a founder of a startup that develops an open source automated trading platform targeted at institutional investors.

As was mentioned in above postings, there are a series of open source tools available to bootstrap your trading system development:

• QuickFIX and QuickFIX/J (I'm also a developer of QFJ project) - a C++ and Java open source implementations of the FIX protocol, the underlying standard protocol for connectivity between financial institutions. Think of it as the HTTP of finance.
• QuantLib - an open source risk analytics package
• Esper - an open source complex event processing engine
• EclipseTrader - Eclipse-based open source trading GUI that's targeted more at retail investors
• ActiveMQ and AMQP and Qpid for messaging (AMQP standard was initially contributed by JPMorgan)

And then of course there's my company Marketcetera - we build on top of a lot of the tools mentioned above and others (ActiveMQ, MySQL, Ruby on Rails, QFJ, etc) to provide the basic underlying platform that institutional traders (think quantitative hedge funds) can use to build their proprietary algorithms and start trading. After implementing a few trading systems in a row ourselves for various trading firms we realized that there was an obvious need for an open source trading platform so that people wouldn't have to reinvent the wheel and write systems from scratch every single time.

To answer the OP's question about which commercial firms use FOSS: - a lot of proprietary trading software is implemented on top of OSS - JPMorgan famously built their trading GUI [PDF] on top of Eclipse, and Progress Apama is built on top of Eclipse RCP as well.

Not surprisingly, most trading applications are very Windows-heavy (although quite a few companies have Linux clusters, and some exchanges run on Linux as well). Most of the apps that your broker will provide for you to trade with are Windows-only (such as Bloomberg, Goldman Redi, MicroHedge, etc), and a lot of the APIs available from vendors are .NET or COM components and nothing else. We implement our systems mostly in Java (including the Eclipse RCP), thought have connectors for some of the Windows-specific components.

We know that flexibility is at the heart of any powerful trading application, and we think the open-source model maximizes the ability of our users to control the application. Some think the open-source model is antithetical to the secretive finance industry, but we see it as the perfect fit.

http://quantlib.org/index.shtml

what FOSS software do you use for financial analysis, trading, system development, and testing in a Un*x environment?

I am aware of TA-Lib, QuantLib and libraries implementing the FIX protocol to be used in commercial products and private Un*x trading applications.

Sadly, most people looking for a solid FOSS trading platform will find that they need to roll up their sleeve to get something decent working.

I have found that software in this area seems quite sparse.

Indeed. I closely monitor the FOSS community since 1998 for a trading platform. What I observed was a lot of well intended projects, but even to these days, none did reach satisfying maturity.

I think it relates to under estimation of the complexity. Most project starts with a lot of energy then goes idle because of unattainable short-term goals.

A general purpose platform will not emerge until someone put coherently together existing building blocks instead of starting yet another weak trading platform from scratch.

Example of building block is the FIX protocol. Many FIX libraries have matured. Quantlib is another solid example.

My contribution to the whole picture is TA-Lib. It is a set of functions for people who care about technical analysis (shameless plug).

\Mario

I don't know if this is exactly what you wanted, but there's a financial analysis package called QuantLib. I'm not in the field myself, but we used it at my last stint as contractor. Unfortunately, it was a mortgage company, so the contract ended earlier than we'd originally planned. The license is the modified BSD one, so you can download and enjoy. Assuming, of course, that you understand quantitative finance, which I've discovered I don't.

QuantLib?

Check http://quantlib.org/ code. It is pretty good.

If you are a quant working in Quantitative Finance, you might be interested in using QuantLib: http://www.quantlib.org./ This is BSD licensed.

If you do use it, please consider contributing to it.

• R, including several add-on packages (such as tseries, RODBC, coda, mcmcpack, gtkdevice, rgtk, rquantlib, qtl, dbi, rmysql), out-of-the box support for the powerful ESS modes for XEmacs as well as the Ggobi visualisation program;
• A complete teTeX, TeX, and LaTeX setup for scientific publishing, along with TeXmacs and LyX for wysiwyg editing;
• Perl and Python with loads of add-ons, plus ruby, tcl, Lua, and Scientific and Numeric Python;
• The Emacs and Vim editors, as well as Gnumeric, kate, Koffice, jed, joe, nedit and zile;
• Octave, with add-on packages octave-forge, octave-sp, octave-epstk, and matwrap;
• Computer-algebra systems Maxima, Pari/GP, GAP, GiNaC and YaCaS;
• the QuantLib quantitative finance library including its Python interface;
• GSL, the Gnu Scientific Library (GSL) including example binaries;
• The GNU compiler suite comprising gcc, g77, g++ compilers;
• the OpenDX, Plotmtv, and Mayavi data visualisation systems;
• it includes apcalc,aribas,autoclass,

Fundamentally market data is just a stream of numbers, and once you have access to a stream, it's just a matter of deciding what you want to do with those numbers. There are plenty of Open Source apps for dealing with large blocks of numerical data, for example graphing it, running statistical algorithms over it, and so on, for example Octave and GNUPlot. There is even an open source library for quantitiative finance. And don't underestimate what you can do with just Perl/Tk. Postgres can take care of all your market history, and it's datatypes and query parser are sophisticated enough for data mining, or look at KDB.

The problem you have is twofold. All this stuff is quite low level; you could build something as good as Reuters Dealing/3000 or a BridgeStation out of it, theoretically, but now we're talking about money, we're really talking about time. To integrate QuantLib with Octave with GNUPlot will take a substantial amount of work on your part, altho' once it was done, you could process a feed almost as well as any commercial trading desktop.

The second problem is getting the feed. If you subscribe to say a Reuters data feed for real time streaming quotes, then the cost of a Reuters terminal is really negligible; you're paying for access to the feed. If you take the feed without the terminal, you still need libraries (like SSL) to actually use it in your own application, or you need something like Tibco eFinance to translate it into XML for you, and you also need something that can format messages back to your counterparty in a format they will accept, say FIX or FpML, - this is probably the easiest part to develop yourself, FIX handles all the instrument classes you're interested in. What you need is access to a feed that comes in a useful format, and which can be sourced for in a contract that doesn't involve taking a physical terminal anyway.

An excellent example of complex mathematical algorithms implemented with an object model is the quantlib project. Financial modelling is a kind of engineering, although usually more rewarding monetarily than electrical engineering.

From their front page:
The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open source library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then exported to different languages such as Python and Ruby. Bindings to other languages (including Java), and porting to Excel/Gnumeric, Matlab/Octave, S-PLUS/R, COM/CORBA/SOAP architectures, FpML, are planned for the near future.