Quant member asked a series of questions in this new HFT testing system done in Matlab

(Last Updated On: December 31, 2012)

Quant member asked a series of questions in this new HFT testing system done in Matlab

A new QuantLabs.net Premium Member asked a series of questions in this new HFT system


So after watching most of the videos you have on youtube yesterday;
which is the more efficient way to connect to IB?  C++ or JAVA?
–> C++ for sure. I will be demoing my complete system in coming weeks which everyone will have access to the source and everything. I also do Matlab.
I come from the Point+Click (TD Ameritrade / Fidelity) way of doing
things and want to get on board with HFT.  I have no prior programming
experience, except for taking a 1 semester course on Matlab in
college.  I am new to this and starting from scratch will learn what I
have to in order to take advantage of the entry points I see on a
–> I hear you but the system will automate all this. Matlab is very easy to work with.
From talking with IB, who are not people that do not like to hold
your hand, I understand that the optimal way to connect to their
servers is FIX.  The throughput is 3x as fast. Where I am at now is do
I connect to their servers through the IB FIX client or go to an
extranet provider like Savvis?
–> The system will be able to connect to IB via FIX but I will start with the connection through their TWS. You get much better support for newbies.
From there I will need to assemble and execute my strategies based
upon streaming by the second tick data.  I noticed that in Matlab you
can connect eSignal/Interactive Data and IQ Feed right to Matlab,
through the Datafeed toolbox, how efficient this is; I don’t know.
Trading equities I want the system to be able to recognize entry &
exit points from RSI & MACD studies, to name a couple.  I don’t
believe that filtering through 16,000 symbols is something that Matlab
will be able to do and I will have to go to another method……

Can you point me in the right direction??

–> I am on working on all the above in coming weeks so stay tuned. I am using IQFeed for my data provider. I have some code already posted to help there but I should have something together in coming days.

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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