djhemlig

Yes there are ways to call matlab from java. For example, a third party program "matlabcontrol" that allows to control matlab from java to a certain degree. Undocumented, no guarantees etc. Matlab Builder JA, which builds java packages from matlab code (and includes necessary matlab functions). I've tested it and it is very immature in several ways. Just for example the packaging of matlab classes doesn't work, which I use alot. The only communication I think I'd somewhat trust matlab for is using file i/o, named pipes or similar. I guess something really simple or rewriting the strategies in java will have to do.

Hello. Long post coming. I’m looking at a solution to execute trading strategies I have in Matlab. I’m considering some options and I would appreciate some feedback on them. I have put the underlying history data in a MySQL database that I load from Matlab or into Java. The ideal situation for me is to have the data in MySQL, have everything related to the strategies in Matlab and have Java do the execution through QuickFIX/J, giving me maximum control over the important connection to my prime broker (who uses FIX interface). This is not HFT and I only trade a few times a day, an execution latency of 100-250ms is not of concern. These are some potential solutions I’ve come up with: 1. Use Matlab for prototyping only and then implement each strategy in Java, both using the common underlying database. This is certainly the most straight-forward solution but becomes really bad if you use any components in Matlab that are not directly available in Java. 2. Use Matlab for both strategies and execution. I have several problems with this. First I have to use a third-party package that I’m uncertain of how well tested it is and furthermore I feel more comfortable with Java handling the execution part. QuickFIX/J has even been recommended by the electronic trading services at my prime broker. 3. Use Matlab as a sort of server that Java queries from time to time (meaning that the controlling process would be Java). I like this option the most but I’m not sure of how to interact the components. Java would be sending inputs such as real-time market data and Matlab would output orders in stocks. Matlab has some startup-time (and data loading time in strategy) so it would be best if the Matlab process was continuously running. Otherwise Java could just start the entire strategy, have it output a file and Java reads the files… Any recommendation on how such communication could work? I’d love to hear how others have solved this problem. Regards, Alexander

This sounds quite much like the definition of overfitting. Thanks for your articles!

Hello. I'm looking for a database system that allows me to download historical adjusted day to day changes from the big markets in europe/north america/asia into excel or similar. Downloading the daily history of all index components is necessary and it would be valuable if some simple fundamental data were available such as which sector a company belongs to. The end goal is backtesting strategies in matlab and as such the quality of the data is important. I lost my access to bloomberg and need to come up with an alternative (I must say the bloomberg data quality was far from top notch). Any suggestions of (preferably cheap) products that allow me to do this?