Quant ‘Secret Sauce’ tricks of Matlab, bridge to C++/C#, .NET open source HFT trading platform, backtesting MYSQL historical database

(Last Updated On: November 22, 2011)

Quant ‘Secret Sauce’ tricks of Matlab, bridge to C++/C#, .NET open source HFT trading platform, backtesting MYSQL historical database

I am doing this Meetup and will be demoing the following only ONCE EVER in public! I have been researching for the last few years with some ‘secretive’ techniques and tools to help in me in quant.  I will reveal as I move forward on this model/strategy development cycle and quant development stack. I will reveal the following:

  1. Matlab’s powerful toolbox that enables you to generate C++ source code from your M file script models that you develop for quant analysis and trading decisions.
  2. How to bridge your C++ generated code using a Dynamically Linked Library which can be plugged into your .NET trading application. This can also be used in a Linux/Unix based platform as well. This technique is not openly documented anywhere I have seen.
  3. The superior TRUE open source trading platform I believe is the best in the world for leading quant based trading firms and prop shops. I do know many secret hedge funds and prop shops are using this very effectively. The best part is it is free and I can also say the support is quite decent. It can also scale very well and is blazingly fast.
  4. A brief demo of how to retrieve free Yahoo Finance end of day market data to capture for your Matlab data sets. I know Yahoo as a source is not the best but who really can afford Bloomberg or Reuters? There are better options as well which we can discuss including down to the minute real time tick data.
  5. How to use Matlab to record market data and automatically insert into a MYSQL database for historical back testing. Other major commercial databases can be easily implemented as well.


A small donation of $3-5 is asked to cover the cost of the room. We can also take the discussion into a more social setting across in the street in a restaurant/bar after we close. I do think GOOD beer encourages wishful thinking of owning fleets of Lamborghinis and have a jet setting lifestyle!!

Details at:



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!
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