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.
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