What I learned from a Matlab webinar for FIX, simulation with complete workflow from data capture to execution of trading strategy

(Last Updated On: November 29, 2012)
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What I learned from a Matlab webinar for FIX, simulation with complete workflow from data capture to execution of trading strategy

Learn how I plan to implement this into my HFT environment

http://www.mathworks.com/matlabcentral/fileexchange/37932-automated-trading-with-matlab-2012

There is a neat webinar I watched which is on Windows. This included

1. An open source FIX engine used called Banzai which is an order entry application. http://fiximulator.org/. This also contains an order matcher and execution component.  You can easily import these JAR components into Matlab to ensure they are on the internal Java classpath. Do not use the C implementation a that is difficult to work with but use Java or .NET versions.

2. It is play in simulated mode against Reuters Playback which simulates data. Also, an Excel worksheet is used to reflect changes of orders as well.

3. XTrader receives and executes orders . Watch on webinar “Interface with X_Trader”  section to understand how to capture  market data from X_Trader real worldmarket or simulated gateway. This is in demo 4 with event handlers within the Matlab to trigger. Note call back functions of Matlab as well. This also sets up a event notifier, listener and filter to what to trigger on.

4. You can use genetic algorithm programming to determine the rule of when to trade or not based on a combination of strategies. You could use C++ Shark Machine Leaning Library to do this.

5. Demo 6 is the FIX data bus. This “Interfacing with FIX” in webinar.

6. See “Assembling an Automated Trader” to use MSMQ and the FIX executor to use order matching which is part of the QuickFIX engine.

7. Neat thing is you can your Matlab code in real time.

8. You might not need the Matlab Coder for the native generation code in C but use either Matlab Java Builder or .NET Builder toolboxes to deploy headless versions of Matlab.

Hope these notes help but they are a very foundation to understand all the components of Matlab algo trading system.

Do watch the other webinar the autohor talks about:

http://www.mathworks.com/matlabcentral/fileexchange/29489-algorithmic-trading-with-matlab-2010

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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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs