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
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:
I now post my TRADING ALERTS
into my personal FACEBOOK ACCOUNT
. Don't worry as I don't post stupid cat videos or what I eat!