Realtime Trading Platform Based on Matlab

[davidez 10]

Hi to all,

 

I'm a starter on Matlab (the last time I used was 10 years ago during my physics laboratories!) but really interested on algo trading. This is the first time I post here so to present myself I work for a financial software company as business development, I am finishing a EMBA and starting to study for analyst certification. So I'm not a real tech guy but I wrote my part of code, some time ago.

I find in Matlab the ideal platform to start again using a easy language that hide the hard tech elements of coding and allow to concentrate on the real problem of create algo and elaborate data.

 

Since that I want to know your experience (or informations too) about creating a realtime algo trading platform based on Matlab. I mean using Matlab for the realtime analytics and order generation, and someting elese for tick capture and order execution. My idea is to create a sort of demo with a very simple algo, and understand better how this kind of systems works.

 

Thanks,

 

Davide

[dam5h 10]

i would check these out, these 2 tools used together should be able to get you what you're looking for; while sage is not matlab it offers similiar syntax and should be more capable/powerful (plus it's free and open source). since sage's scripting language is python you should be able to use it with ibpy which is just a python wrapped version of the interactive broker's TWS api.

 

Sage: Open Source Mathematics Software

ibpy - Project Hosting on Google Code

[davidez 10]

i would check these out, these 2 tools used together should be able to get you what you're looking for; while sage is not matlab it offers similiar syntax and should be more capable/powerful (plus it's free and open source). since sage's scripting language is python you should be able to use it with ibpy which is just a python wrapped version of the interactive broker's TWS api.

 

Sage: Open Source Mathematics Software

ibpy - Project Hosting on Google Code

 

Hi dam5h, thanks for responding.

 

In fact I prefer to remain focused on Matlab, since I already invest time and money, and can have faster progress to main goal.

I already tried open source options such as Octave or R but they have a longer learning curve for a list of reasons (from documentation to available tools/libraries/examples to IDE features to community support)

 

Do you have any suggestion about a Matlab based environment?

[dam5h 10]

i'm sure there are one or 2 plugins for matlab based trading; though i am not aware of any specifically as i've really only used matlab back in grad school for fluid dynamics simulations. i can tell you i wish sage had been around back then.

 

the syntax for numpy (one of the tools built into sage) is pretty much identical; whatever is different is very easy to adjust to.

 

NumPy for Matlab Users -

 

fwiw, matlab is a numerical only engine, why limit yourself to that when you can have both an analytical (think maple/mathematica type solvers) as well as numerical (matlab) engine at your fingertips. last i checked there are 14 or so engines included in sage; that's pretty ridiculously powerful. allowing you to use the best tool for each unique problem you face.

 

in the long run you will likely find sticking with a proprietary language/engine such as matlab to be limiting vs. an open source solution implemented in a major programming language when it comes to building it out with additional features that you may not be envisioning quite yet.

 

just my .02

[sevensa 10]

Hi to all,

 

I'm a starter on Matlab (the last time I used was 10 years ago during my physics laboratories!) but really interested on algo trading. This is the first time I post here so to present myself I work for a financial software company as business development, I am finishing a EMBA and starting to study for analyst certification. So I'm not a real tech guy but I wrote my part of code, some time ago.

I find in Matlab the ideal platform to start again using a easy language that hide the hard tech elements of coding and allow to concentrate on the real problem of create algo and elaborate data.

 

Since that I want to know your experience (or informations too) about creating a realtime algo trading platform based on Matlab. I mean using Matlab for the realtime analytics and order generation, and someting elese for tick capture and order execution. My idea is to create a sort of demo with a very simple algo, and understand better how this kind of systems works.

 

Thanks,

 

Davide

 

Have you seen this blog? If not, you might find this useful.

 

tradingwithmatlab blog

 

And this site. Not sure if this is the same person.

tradingwithmatlab

Edited July 31, 2009 by sevensa
correction

[BlowFish 10]

i would check these out, these 2 tools used together should be able to get you what you're looking for; while sage is not matlab it offers similiar syntax and should be more capable/powerful (plus it's free and open source). since sage's scripting language is python you should be able to use it with ibpy which is just a python wrapped version of the interactive broker's TWS api.

 

Sage: Open Source Mathematics Software

ibpy - Project Hosting on Google Code

 

Is it reasonably straightforward to setup this combo?

[davidez 10]

Have you seen this blog? If not, you might find this useful.

 

tradingwithmatlab blog

 

And this site. Not sure if this is the same person.

tradingwithmatlab

 

I saw them but appear that they are focused on backtesting and trading using Interactive Brokers end of the day service, so nothing near what I want to.

[Eleventrader 10]

that's definitely, but of course nothing is certain