This came in from a member:
Hey Pal, In the past month I have been analyzing HFT data from the Brazilian Markets. I'm still on the backtesting phase and I'm facing some complications. Have you ever tried to recreate the Market for a given security tick-by-tick? I'm trying to do that from scratch In Matlab and let me say that I'm have some good results. I'm not 100% satisfied because I find weird behavior in the processed data. Do you have anything that might help? Many thanks
This one is kind of easy I guess. If you are using Matlab and with something like .NET and C#, check out this out with Matlab Build NE toolbox option. ALso: > Great I'll take a look. > > Any idea of latency for that? How fast we have to be in order to be > competitive analyzing the market depth? If you use Matlab Builder NE, you will definitely get latency of a few seconds. The other option is to code generate to C++ or C for native calls using Matlab Coder toolbox. This is the option I am going with. The only condition is you need to make sure that your Matlab code generate lgo/script can be keep up with the incoming ticks otherwise to you need to handle with a slower frequency like minute bars. http://www.youtube.com/user/quantlabs/search?query=matlab+builde+ne You could integrate it into something like tin the video below.
Note source code is available for this for my QuantLabs.net Premium Members Want to learn more for stuff like this? Join my FREE newsletterFACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!