Category Archives: Matlab

Which programming language for HFT and quant trading analysis

bry

Which programming language for quant and HFT trading

Over the last few weeks, many newbies have asked me about automated trading and which programming language to apply. Not only that, they also ask about how to apply high-frequency trading as well. Instead of me individually answering each and every question, I decided to put out this quick 20 minute video to explain all languages and when to apply what.

Go here to see the video

Go here to download my PowerPoint presentation

To keep your eyes peeled for a complete open ended discussion on this via a  live Meetup

Lessons learned with Matlab automated trading webinar for HFT with Simulink and Stateflow

As you know, I have posted a new video from MathWorks on how they build a complete automated trading system with high-frequency trading in mind. This is the absolute best way and quickest way to build such a system. I have put together a list of lessons learned from watching this video.

Go here to see my list

Video Demo of DotNET CSharp calling Matlab for trading chart

Finally, I have now demoed a more sophisticated way of building out a LIVE trading chart with little effort built within Matlab. Knowing that,  you can NOW call it from C-sharp thanks to .Net.

Go here to see my video demonstration

You can of course get the source code here among many other demonstrations including my Karen Super Trader system as well.
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Bryan

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Video Demo of DotNET CSharp calling Matlab for trading chart

Video Demo of DotNET CSharp calling Matlab for trading chart

I also demo a Bollinger and Moving Average Charts from Matlab. All the code is 10% of usual of what I am used with .NET charting libraries.

This is source code for both Matlab and the Visual Studio Solution project at the  Quant Elite 

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More hedging definitions and source code

More hedging definitions and source code

All looking for Matlab but here are the latest examples

http://www.investorwords.com/7130/dynamic_hedging_strategy.html

http://finance-engineer-tanmay.blogspot.ca/2011/05/monte-carlo-simulation-for-dynamic.html?m=1

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Data driven Matlab for energy trading

Data driven Matlab for energy trading

This is analytical use case discovered by Nuno from Facebook. Thanks to him for sending. I am investigating event driven programming

Data-Driven Insights with MATLAB Analytics: An Energy Load Forecasting Case Study

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Lessons learned with Matlab automated trading webinar for HFT with Simulink and Stateflow

Lessons learned with Matlab automated trading webinar for HFT with Simulink and Stateflow

Stuart Kozola of Mathworks does a new automated trading webinar that blew my socks off as usual. It does take a lot to impress me these days.

Lessons learned:

  1. I have seen many multi million dollar systems but the event code paradigm introduced here verifies how smart any quant or HFT system should be implemented
  2. Data providers and proper ways to implement with proper design patterns will make your system very flexible
  3. Proper use cases for Matlab Production Server in the financial trading world
  4. HFT examples using Simulink and Stateflow. Any reminder of my videos of this?

 

Where  does this leave? Implement it all but study the above examples you can get on Matlab File Central.

http://www.mathworks.com/matlabcentral/fileexchange/52588-automated-trading-system-development-with-matlab

Demo Automated Trading System Development MATLAB

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Matlab Math teaching MIT code

Matlab Math teaching MIT code

This was mentioned on some university forum I noticed

http://web.mit.edu/18.06/www/Course-Info/Tcodes.html

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Demo Automated Trading System Development MATLAB

Demo  Automated Trading System Development MATLAB

From a member:

Fresh off the press, Bryan!

Enjoy.

Stuart is great guy. I remember him talking on one of your events.

Another great feature for MATLAB

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Trading with MATLAB: Introducing Trading Toolbox and MATLAB Production Server

Thursday, Apr 11, 2013, 6:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

18 Researching Traders Went

Note that this will be a rare view of this powerful software from the actual vendor. This will also be a first for the group.Stuart Kozola is a product manager at MathWorks and focuses on MATLAB and add-on products for computational finance. Prior to joining MathWorks in 2006, Stuart worked at Pratt & Whitney (United Technologies) as a design engi…

Check out this Meetup →

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How to make Python better for quant? Use Matlab to call it

How to make Python better? Use Matlab to call it

As I hinted, I am not only a comical genius but it is true, Matlab can now directly call it from within the new Matlab 2015b. Sorry quant shops!!

Remember kids: MATLAB IS COOOOOL

 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Dynamic hedging the Matlab way

Dynamic hedging the Matlab way

I keep telling you about these awesome unknown projects.sssh otherwise I may need to kill you

http://www.mathworks.com/help/fininst/hedging-functions.html
http://ese.wustl.edu/ContentFiles/Research/UndergraduateResearch/CompletedProjects/WebPages/fl08/AlexGillula/Alex%20Gillula%20SeniorDesignPaper.pdf
http://www.mathworks.com/matlabcentral/fileexchange/18498-visualize-dynamic-hedging
http://www.investorwords.com/7130/dynamic_hedging_strategy.html
 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

CSharp call Matlab chart with options

CSharp call Matlab chart  with option

This is the best approach to call Matlab with various financial charting options

You can download the source code

 http://quantlabs.net/blog/2014/03/youtube-video-demo-of-dotnet-csharp-calling-a-matlab-plot-with-no-refresh-needed/

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Other financial chart from Matlab:

http://www.mathworks.com/help/finance/visualizing-financial-time-series-objects.html

http://www.mathworks.com/help/finance/charting-financial-data.html

http://www.mathworks.com/help/finance/visualizing-financial-time-series-objects.html

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!