Tag Archives: data capture

Quant trading newbies access my portal for info on starting out , data capture , back testing etc.

Quant trading newbies access my  portal for info on starting out ,  data capture , back testing etc.

This came in from a  Member:

…starting out , eg. data capture , back
> testing etc.
>
> If you need more info please let me know.
> Thanks in advance

Also, to answer your question I am piecing a live pair trading demo of what shall answer your questions. I hope to post it later in the week with videos. Take advantage of the courses on my ‘Custom Trading Platform’ and Gettting Started section to understand the components I am using for this.
Let me know if this helps

 

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Quant Members Workshop schedule for Trading Infrastructure: Real time Data Capture and Backtesting Detailed Topics via IQFeed

Quant Members Workshop schedule for Trading Infrastructure: Real time Data Capture and Backtesting Detailed Topics via IQFeed

Real time Data Capture and Backtesting

Thur Nov 14 at 7 PM EST

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REAL TIME DATA ANALYTICS area can be covered on:

Trading platform secret sauce Demo of queuing project with Publisher Subscriber design pattern
Correct ways to get queuing working in C# with these demo Visual Studio 2012 project files
Demo of queuing Pub Sub pattern with live real time IQFeed ticks_controller
Demo of DOTNET C# WinForm DotNet application with a queuing subscriber
Demo of DOTNET C# WinForm DotNet application with a queuing subscriber
Demo of C# real time IQFeed with 3rd party software real time data feed with source code
Webinar on Live event online demo: How to capture market data fast with an affordable service provider
Demo IQFeed Streamer in Java
Demo of Java Streamer of IQFeed real time market data
Demo of C# real time IQFeed with 3rd party software real time data feed with source code
Webinar on Live event online demo: How to capture market data fast with an affordable service provider
Demo of library inflow market data of IQfeed source with Microsoft .NET C# application
Improved WinForm with live IQFeed market data fed into potential quant trading strategy or model

BACKTESTING      
How to import forex pair into Matlab workspace using Excel IQFeed and QC3rd party software
IQFeed real time market data update demo with 3rd party software
Demo of 3rd party software to capture IQFeed real time date like options or forex data
using iqfeed demo for fast tick and historical bar down for tradelink and potential use like back testing
demo of forex data from iqfeed with quick collection

HOLY! SOURCE CODE AND WALK-THROUGH VIDEOS ARE AVAILABLE FOR MOST TOPIC!

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NOTE ON HOW THIS WORKS:

It is strongly advised to join as soon as possible to prepare for these topics. This event will cover

any questions you have on the above topics. I need to know what to formally present from a

collection of questions collected 48 hours prior to this event.

THIS IS GOING TO HAPPEN ONCE AND ONCE ONLY

Here is the entire schedule and topics covered:

Final scheduled dates for our upcoming automated trading system workshop with the

QuantLabs.Net Premium  Membership no longer be taking new members

past Jan 6 2014!

See more at:

https://quantlabs.net/blog/2013/11/final-scheduled-dates-for-our-upcoming-automated-trading-system-workshop-with-membership-closing-jan-6-2014/#sthash.KjcC1jWF.dpuf

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Youtube video demo of HFT system with Matlab, Java, IQFeed data capture to analytics to order execution using FIX

Youtube video demo of HFT system with Matlab, Java, IQFeed data capture to analytics to order execution using FIX

Our hard work is now complete. Well, not really but at least you can get a preview of it.

NOTE: The code to this system will be available to all Quantlabs.net Premium Members on Jan 15/2013.

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HFTcoming soon a Matlab automated trading system with data capture and market order execution using FIX, C++, Java, Excel, FPGA ready

Hi there
 It is possible? I may get this done a lot quicker so let my source references show you how I will achieve this.
Yes this is true. I have now have a really solid code base of Matlab M scripts to start working to build a simulated trading environment. I will also be using the potential code generation capaibilities to generate C++ for my trading app for market data capture and strategy trading decision engine. Also, the QuickFIX peice is already done! I will be using IQFeed as my data provider and both Interactive Brokers and LMAX as my broker/exchange provider.  More details:
1. HFT (high frequency trading) coming soon a Matlab automated trading system with data capture and market order execution using FIX, C++, Java, Excel, FPGA ready
2. Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 1
3. Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 2
All of these steps will generate my capabilities to deliver the components of a simulated high frequency trading (HFT) environment in Matlab or Simulink as well as live trading. As said, it will even have FPGA capabilities somewhat.
Thanks Bryan
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Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 1

Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 1

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Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 2

Youtube video on HFT coming soon a Matlab automated trading system with data capture market order execution part 2

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HFT coming soon a Matlab automated trading system with data capture and market order execution using FIX, C++, Java, Excel, FPGA ready

HFT coming soon a Matlab automated trading system with data capture and market order execution using FIX, C++, Java, Excel, FPGA ready

This will entail a complete end to end automated / algorithmic trading system . It will entail real time market data capture from IQFeed, FIX trading execution using QuickFix/J, with various trading algoirhtm or strategies using genetic programming for rule based to generate from a combination of trading signals or indicators. These can be derived from statistical, news, technical, or any other type I want. All algos will be part of a Simulink model where C++, C, or HDL code can be generated for FPGA. This includes my choice of HDL or Verilog depending which FPGA hardware manufacturer I go with. This will eliminate concerns of latency when I take this into a production environment. I would be able to drop th C/C++ generated code into a API client using IQFeed. Also, the QuickFIX component is already complete as I just execute orders through it by configuring a file for Interactive Brokers need.

In my notes availabe for my QuantLabs.net Premium Members, I list the complete architecture details.

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I need to focus on inflow options into Matlab Siumulink with IQFeed Data Capture and out flow with QuickFIX/J ? Will it work?

I need to focus on inflow options into Matlab SImulink with IQFeed Data Capture and out flow with QuickFIX/J ? Will it work?

 

I need to focus on the inflows and outflow from my potential SImulink models that demoed a few days ago. IQFeed looks like the best option at this point for inflows for realtime and historical data. Solution is to use Data Capture  Toolbox in Matlab 2012b which includes IQFeed support.

As for outflow, there recorded Matlab webinar that shows how to execute orders through a QuickFIX/J option. Look for it

 

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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

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

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