Matlab in Finance

Mathworks ranks coders based on how fast they can read ASCII data in m-code? Am I missing something here or is this task just a little trivial in the scope of tasks Matlab is capable of? Why bother with such optimizations when (1) it's better to write it as a MEX function and (2) you'll likely cache the data to disk as fixed-point binary data, which is generally much more compact?

Using DLLs for performance intensive calculations? You mean MEX functions?

Matlab IS 100% suitiable for unsupervised trading, just like a lot of other interpreted languages. Is it CPU efficient? That's debatable. I use compiled matlab code for math/vector ops, and hand written C code for datafeed handling... all real time and multi-threaded. Use Matlab where it counts, and C or C++ wherever Matlab code is innefficient.

Matlab and MEX really shine for backtesting, which is where I recommend all black box interested Matlab gurus start.

There's also http://www.gloriosia.com/

Quote from 377OHMS:
Currently I have a manual-order trading rig but have been dreaming of trade automation, black boxs etc.

For what its worth, I'm currently ranked as a Top-10 World Matlab author by the MathWorks in the data import/export category. I have a routine in the file archives there, autodataread.m, which is considered the fastest ML reader of mixed type ascii data on the planet.

My particular gimmick is the use of DLLs for performance intensive calculations, calling them from the main Matlab m-file to slurp in data etc as has been mentioned in this thread. I've also got alot of experience with Matlab GUIs and so have been giving some thought to writing a front end for automated trading based upon TA.

I'm not 100% sure that Matlab is suitable for unsupervised trade automation but think there is enough potential there to test it in a benign account. If anyone cares to collaborate I am in LA and can be reached at res1re94 over at verizon.net.

regards,
Scott
More...
 
So do you think it is really worth the time and effort to build a front end applicationwith MATLAB?? Is it just enough to be able to access the IB API for example, and get real time data and draw and anlyze the charts through MATLAB??

I am a newbie trying to get into this...Please suggest..Time is a big constraint for me and I want to s[pend it wherer it really counts or where future employers think of it as a good work...
 
Appreciate the help I've gotten here, thanks to all.

I have written a dll for TWS API quotes and another for order and execution flags and have canned them in ML functions. So far I'm just getting quotes and validating my order generation. Nothing fancy.

I will eventually be submitting my work on the MathWorks site for public use/modification/whatever.

Anyone working on similar lines can pm me if they are interested.

Scott
 
Has anyone thought about using Mathematica 5.1 for trading. It seems to me it would be easier to build a functional trading system with Mathematica 5.1 than Matlab.

Mathematica 5.1 has a built in database link for MySQL and several other SQL databases. It also has the .NET/link with full documentation for integration with any .NET language. You could integrate it with trademagic.net without too much effort, which would make it ideal for IB customers.

Also I copied this across from the Wolfram site. 5.1 now offers the following:

Highly Optimized Binary Data I/O

New high-speed binary file I/O has been added for maximizing import and export performance of data sets. This increases Mathematica's potential data throughput by a factor of up to 70, sufficient for real-time utilization of new high-performance computational capabilities.

Existing I/O formats handled by Import and Export have been sped up too, including the loading of tabular data--now 400-700% quicker.

This to me would make Mathematica 5.1 ideal for trading purposes.

Runningbear
 
Quote from prophet:

Maybe we can persuade Jerry Medved to write a sockets-based interface to export real time QuoteTracker data into Matlab? That would be extremely useful.
More...
Very good idea.
 
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