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Open Source Tools

Here are some open source tools which can be used to learn about financial software development. Some of these tools can be used to construct production systems, others might be better as tools for learning about a specific area.

Quantlib is an excellent library for quantitative financial calculations. I use QuantlibXL in my Financial Informatics class as a way to make use of Quantlib without needing to do C++ programming.

QuickFIX/J is an open source FIX engine. A FIX Engine manages communication between a client and a server application using the FIX protocol. QuickFIX/J is used in the open source trading system Marketcetera as well as other production systems and comes with a simple client/server application called Banzai which can be used to learn about the FIX protocol and FIX application development.

Esper is an open source complex event processing package. Complex event processing is not a concept limited to the Financial domain, but much of the data in the financial environment is streaming past quite quickly so tools designed to filter and act on that data are very useful to have. There are several commercial products in this space.