Tag Archives: deployment

New visual and rapid workflow from DB forex trading strategy to Matlab to C++ C or FPGA for lowerst latency HFT deployment

New visual and rapid workflow from DB forex trading strategy to Matlab to C++ C or FPGA for lowerst latency HFT  deployment

This could be the smartest and easiest path yet:

Matlab MuPAD

v

Custom Matlab M function(s)

V

Simulunk System Model (including some Stateflow Charts)

V

C++/C code generation or HDL for FPGA Deployment (ultra lowest latency)

V

Implement into working live trading components plumbing from Quant Academy/Elite

Important links in the video:

Strategy from: http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf

http://quantlabs.net/academy/buy-our-custom-trading-platform-course-with-source-code/

http://quantlabs.net/academy/matlab-strategy-development-demos-and-researching-with-simulink-course-2/

 

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My video on this new Mission:

Ernie Chan explains in the Q&A why he uses Matlab vs R or Python (other neat tricks exposed)

 

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Demo of Windows Application EXE built by Matlab 2014a Builder NE for DotNet deployment

Demo of Windows Application EXE built by Matlab 2014a Builder NE for DotNet deployment

Very cool new feature where I can now upload self contained Windows apps for you and members.

Here is a sample testBuildNE

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Happy user to my Quant HFT Manifesto, journey of easy algo reseasrch to DotNET trading platform deployment

Happy user to my Quant HFT Manifesto, journey of easy algo reseasrch to DotNET trading platform deployment

This was a response of my Manifesto after the weekend. Responses like this really drive me to keep pouring it on.

https://quantlabs.net/blog/2014/05/here-is-my-manifesto-to-those-learning-how-to-profit-using-quant-and-hft-like-trading-platform/

Thanks to people like this through my newsletter:

this is a guy from Germany.
During the last weeks when I was researching about technologies for my own custom trading platform, I noticed your youtube channel.

I start watching you videos from beginning and had a lot of fun to see you fighting with all the issues.
It was like a time journey cause some, or better say most, experiences I had by my self too 😉

About 4 years ago I came in contact with trading and became infected by the idea of automated trading.
I’m a research engineer in a big automotive company and my day job is about modeling and simulation of
Physical and chemical processes.
So it was clear to me to see a overlapping in methods cause very deep analyzing of time series was my bread and butter at this time.
So I tried Metatader but soon I came to the point that this isn’t sufficient and the only profitable can be the broker. So I started a similar journey and tried many tools and platforms until coming to the point the only way is to develop by my self and having full control…
But which prog. language, Windows or Linux and all the basic questions.
And so on and so on…

Just want to say keep up the good work and stay persistent and enthusiastic!
It would be realy cool to see a update of your trading platform progress in your youtube channel!!!

 

–> wow! What can I say! A lot of of the above pretty well is in line with what I do. Do remember I like easy solutions not complicated processes you need to babysit. Also, I am right now focused on Windows with .NET (C#)as a front end. On the algo backend, I do believe I have a really good workflow for transition to either C++/C (for DLLs) or even ultra low latency HFT via HFT.

https://quantlabs.net/blog/2014/04/new-workflow-qaunt-algo-from-research-paper-to-simulink-to-c-c-or-fpga-hdl-for-ultra-lowest-latency-hft/

As for trading platform components, that is for my paying members as that is propietary. Yo! Daddy gotta pays the bills you know.

See more dialogue below on this!

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> Hi Bryan,
>
> nice to see you like my comment.
> About update update of your platform I mean it would be cool see the
> progress in terms of demonstration on surface level.
> Would be nice to see you demonstration new features (e.g new charting
> feature or backtester, all without showing source).
> The source you could keep for your members for sure.
> Just would be cool to see your baby growing 😉
–> It is growing as more people are piling into contribute. It makes it better. I am looking at a new workflow to make the process even better

NEW Workflow Qaunt Algo from Research Paper to Simulink to C C++ or FPGA HDL for ultra lowest latency HFT


This is a very slow process as it takes long to learn the raw math for whatever algorithms I go with . I will post my throughts on the blog Youtube channel as I proceed

>
> PS: Is you forum for members only?

–> There is a special section for my Members but it is not public.
> I was about to contribute some info concerning some of your questions
> but was not able to do it…

–> What were the symptoms where you could not contribute? If you could walk me through the process, I will try to help

> Currently for me a membership don’t makes sense cause I allready have
> my own platform but I always looking for information exchange (not
> only taking infos also telling…).

–> Understood, if you read my newer workflow analysis, this could help people build DLLs or C static libraries (for Linux) so that could help there as we roll out this process

—-

Hi Bryan,
about the forum:
I googled “quantlabs.net forum” and got this link:    http://quantlabs.net/academy/forum/
But I can’t open a account or give any input.
If the is the ‘non public’ part it not well hidden 😉
–> I see what you are saying, you need to register to create an account for the forum. Do that here:
You also should take into account that there is something like “http://archive.org/web/”
Now it not relevant cause they dont store videos – but you don’t know for the future…
I realy like your workflow! Thx for the videos!
–> no problems
By my self, I have around 9 years Matlab and Simulink experience and its always impressive to see what’s possible.
–> It makes life easier due to the visual representation of Simulink model development
Also there is a new product called Simscape, I know from the very begining. (but not sure if it important for trading were I need unidirectional signal flow)
–> I have not fully played with this yet
But your workflow is for trading strategy development only.
–> this is correct
That means your trading platform is finished?
–> we have components which is part of my Quant Elite membership (http://quantlabs.net/academy/be-an-elite-quant/) This can be considered components for a trading system ranging from real time data capture to execution through Interactive Brokers (http://quantlabs.net/academy/buy-our-custom-trading-platform-course-with-source-code/). This includes hours of  video walkthroughs and actual source code as well.
Or you decided to lease a pkatform?
–> this a way to expensive option most people cannot afford (i.e.e $6k-9$k per month)

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FREE Matlab webinars will be useful for application deployment from M scripts and how to extend to C or C++?

FREE Matlab webinars  will be useful for application deployment from M scripts and how to extend to C or C++?

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MATLAB and Simulink Webinars for Academia

MathWorks
Join us online to learn more about MATLAB and Simulink. Each live webinar is free and features application demonstrations followed by a Q&A session with a MathWorks Engineer.
Course Image_1 Application Deployment with MATLAB
Friday, April 18
9:00 a.m. or 2:00 p.m. EST
2:00 p.m. or 7:00 p.m. GMT

Learn how to deploy MATLAB applications and components.
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Course Image_2 PID Control Made Easy
Tuesday, April 22
9:00 a.m. or 2:00 p.m. EST
2:00 p.m. or 7:00 p.m. GMT

The webinar will start with a quick theory primer on PID control. MathWorks engineers will then introduce a simple and straightforward way to quickly design, tune, and implement PID controllers.
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Course Image_3 MATLAB to C Made Easy
Tuesday, May 22
9:00 a.m. or 2:00 p.m. EST
2:00 p.m. or 7:00 p.m. GMT

In this webinar we demonstrate the workflow for generating readable and portable C code from your MATLAB algorithms using MATLAB Coder.
>>Sign Up

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What is is this Matlab typesafe interface vs Builder NE for DotNet CSharp vs Simulink C++ or FPGA HDL quant trading deployment

What is is this Matlab typesafe interface vs Builder NE for DotNet CSharp vs Simulink C++ or FPGA HDL quant trading deployment

On 2014-04-17 10:37
> Bryan,
>
> Have you done any tests using Matlabs TypeSafe interfaces vs their
> standard stuff?
>
> I can without a doubt say that going from .NET -> Matlab over their
> typesafe interface is slow as balls.

 

More info: http://blogs.mathworks.com/loren/2011/06/03/introducing-type-safe-apis-with-builder-ne/

It really has no impact on what I do.  Or at least I hope not but I have not seen any degrade thus far.
I have not really tried this but as you call the standard seems be to decent performance wise. This is a decent result:

This is not the desired end target as we have been looking at FPGA via Simulink. We may generate  from the  Simulink model  to C++ which is pretty efficient. I am also on the hunt for independent frameworks that do not step outside of Matlab code functions (i.e. other toolboxes) which enable me to have a full flexibility for FPGA or C/C++ code generation. Don’t forget I can embed Matlab custom M function into Simulink models.

Using currently the Builder NE or Builder Java is just a quick way to implement a Matlab M script with the REAL TIME market data capture and Interactive Brokers order management execution. I am just more focused on the strategy generation right now.

> So in short.  You haven’t done a performance comparison of equivalent
> functions in a native library compared to calling Matlab and getting a
> result.

How do you mean equivalent functions? An interpreted version written in C# vs calling a Matlab function via a DLL?
This what I can tell you, Matlab offers many advantages in your workflow in developing trading ideas with models or strategies. Generate a DLL via Builder NE is the quickest and easiest way to do this. It is performant based to with so called 100% compatibility with most Matlab toolbox functions. You can also call worker pools for extra parallelization from within the .NET. or C#.
You could also generate C++ code via the Matlab Coder but the C++ is limited plus the Matlab Toolbox support is extremely limited. As mentioned Simulunk seems to be the best but the option via Builder NE for .NET DLLs is the easiest. I hope this helps.

Equivalent I mean run a regression, hypothesis test, etc.. with a
> quality C# library vs call Matlab.

Understanding your situation, there are not a lot of C# .NET libraries for standard math. They are very cumbersome to build and maintain. From my testing, using a library is definitely faster if done in 100% C++ or .NET but don’t forget many libraries are limited. I have done analysis looking at GSL and TA-LIB and even more complex libraries like Boost. The problem is they don’t play nice together so you need to convert from one or another if you hit a some limitation with any of these. Your other option is to develop your own but again, that is a lot of work. I am not sure what your primary goal is here but if you are wanting to move ahead to put a trading idea into a live production platform, you will run into even more headaches.

The nice thing about Matlab is you can rapidly develop your strategy in M script which can be extended in Excel, Java, or .Net. But as you say, you can run into various limitations with performance. The Matlab Coder with C++ generation will not help either due to the code generated is not really helpful in terms of maintenance. This is not a solid option for me. Don’t forget the Matlab Coder does not support all the important trading toolbox functions so that is its major drawback.

The nicest of all options is Simulink. You can visually design your model, control your state of the data through Stateflow, and execute your order in the ‘outflow’ part of the visual Simulink model. As said, it can call custom Matlab M scripts which can include those custom frameworks functions which are self contained. Also with the power of Simulink Coder/HDL Coder, you can deploy this same visual model to C, C++, or your HDL model code of your chosen FPGA all from the same model. As you know, going the FPGA route is the absolute lowest latency if you decide to go true HFT.

The generated C++ code is nice and efficient but there are configuration settings that enable you to encode the Matlab, Stateflow, or Simulink code as comments. This is an awesome way to trace back the Matlab or Simulink pieces within your code. This is why I really like this Simulink option for live trading. One of my members is currently investigating this option.

I am unsure if this is helpful but this is probably the easiest quickest way to market your trading idea. It is also potentially the fastest and lowest level you can generate using something like Matlab.

Outside of painful hand coding, this enables you to generate your idea very fast and probably the highest performance based code you can get. The code generation from Matlab seems pretty efficient as well.

Compared to cryptic non future path languages like R or Python (now even Java), it is a dangerous path to go if you plan to implement some form a ‘quant’ trading business for the future. This is why I like this Matlab Simulink path the best.

> Don’t really agree with those statements on R or Python.  Both work
> fine, all languages have their limitations (including Matlab).
–> I have done numerous analysis on these languages and they are not very beneficial for how fast I bang out trading ideas. I just find them severely limited in a many ways but that could change in the future. As it stands, I care more about trading ideas than splitting hairs over the programming languages. I just use what works for me.

> There seem to be some decent libraries for C# (but they are
> commercial, which is fine).
>
–> There are some but from hard learned lessons from highly ‘successful’ indie traders (think London Quant) who do development, it seems rolling your own library solution is definitely the way to go. I just don’t have really the time or energy to focus on maintaining large APIs like this. I just want to use leverage the power and extensible deployment options that Matlab brings. I have not yet seen anything as good but again, that is my experience only as I no longer debate about it. People can use what they want as it is a free world but I do document what works for me. It is like arguing with fools who have nothing better to do.

> As for FPGA, if you need that type of timing in order to be
> profitable, you are already facing a lot of limitations given that you
> are retail e.g. competing against players who have privileged access
> to the order book or the ability to submit special order types.
>  Doesn’t matter how fast you are.  They get the information before
> you 🙂

–> This is being regulated and investigated now by the NY State of Attorney and FBI! It will change and be equalized sooner than we know. It is quite possible that this whole model will be built around how IEX works. And dontchya know it, Interactive Brokers now support than as a gateway option.

Again, what is you specific goal here that started this dialogue?

 

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Do we say hello to a new FPGA board for potential HFT deployment?

Do we  say hello to a new FPGA board for potential HFT deployment?

Possibly as my Quant Elite members will get access to this potential of stuff.

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Working on a charting for automated trading system with SQL and HTML5 deployment options to Android and Apple IOS Iphone IPad

Working on a charting for automated trading system with SQL and HTML5 deployment options to Android and Apple IOS Iphone IPad

This could be an exciting front end development with charting which can be integrated into my trading environment. Works with .NET C# and SQL Server. Also, this Visual Studio project has extensions to deploy on a web server via ASP and HTML 5 for Android and Apple IOS devices. This will also include PnL chart for all active trading models.

This source will be part of my Elite service

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Is open source MyHDL from Python with potential ultra lowest latency with HDL for FPGA in an HFT deployment

Is open source MyHDL from Python with potential ultra lowest latency with HDL for FPGA in an HFT deployment

Want to learn more

Someone on my Twitter feed suggested this:

you should look at myhdl!

http://www.myhdl.org/doku.php

It looks like a way to do HDL from Python with potential ultra lowest latency with HDL for FPGA in an HFT deployment

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TONITE: Webinar of MATLAB Simulink model and Stateflow chart for trading with generation to C C++ HDL for HFT with FPGA deployment

TONITE: Webinar of MATLAB Simulink model and Stateflow chart for trading with generation to C C++ HDL for HFT with FPGA deployment

HI there

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This is an important milestone for me at QuantLabs.net. Anyone interested would be encouraged to join this online event:

This occurs TONITE on Monday May 13 at 7PM Eastern Standard Time

Topics include:

1. Sample trading model presented within Simulink with historical market data capture

2. Data flow of Stateflow visual chart for trading signal generation

3. Various techniques for C and C++ code generation walkthrough

4. Potential walkthrough of HDL or Verilog for FPGA deployment using Vertex or Xilinx boards. This is the ultra lowest latency option for those interested in HFT deployment

5. Question and answer period

Get more info here:

Get access here

Thanks Brya

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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

Webinar of MATLAB Simulink model and Stateflow chart for trading with generation to C C++ HDL for HFT with FPGA deployment

Webinar of MATLAB Simulink model and Stateflow chart for trading with generation to C C++ HDL for HFT with FPGA deployment

This occurs Monday May 13 at 7PM Eastern Standard Time

Topics include:

1. Sample trading model presented within Simulink with historical market data capture

2. Data flow of Stateflow visual chart for trading signal generation

3. Various techniques for C and C++ code generation walkthrough

4. Potential walkthrough of HDL or Verilog for FPGA deployment using Vertex or Xilinx boards. This is the ultra lowest latency option for those interested in HFT deployment

5. Question and answer period

This is EXCLUSIVELY for my QuantLabs.net Premium Members. Get access here.

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HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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