Any recommendations on trade execution from MatLab, if any?
I’d be interested in that too.
Also live datafeeds feeds for Matlab.
bloomberg API maybe?
Not released, yet, but might be of interest:
Just a heads up. MATLAB has difficulty handling any form of realtime data. It can hang up quite often and is not designed to react in any consistent, performant, realtime way. Don’t make the mistake of trying to turn MATLAB into a high speed algo trading system.
That being said I can still see a use for trade execution based on analysis in MATLAB. MATLAB has an outstanding array of tools for financial analysis and the ability to go direct to an execution would be very handy. Just don’t expect it to be super fast.
Great Idea, I was thinking about it myself, as matlab is the best tool for Algo R&D.
One of my students demonstrated a prototype based on matlab and Interactive Brokers api. The Idea is to use IB COM api, that fires events as TR data comes and matlab function gets executed. On that function you can put any execution logic. But this is just prototype
I am using CQG with their MATLAB API –http://www.cqg.com/Support/FAQ/CQG-API-MATLAB-FAQ.aspx this allows trade execution to the exchange. Currently forward testing a system that trades ICE Brent with this solution, CQG provides a simulation account. I have been very happy with the results and our system goes live in June, will then get an idea of how the live environment differs from the simulation environment so I cannot comment on that aspect just yet. The system we are going live with is medium frequency and its just at the boundary of what MATLAB can handle. The support from CQG has been good and they provide code samples to get you started
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!