For order book and backtest: how to capture real time data to be integrated into your Matlab quant trading script and DotNet Csharp

(Last Updated On: October 9, 2013)

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
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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