err, sorry, the comments about activex are directed to max.
rt
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Matlab Trader Group
- Thread starter Trader922
- Start date
err, sorry, the comments about activex are directed to max.
rt
Quote from RoughTrader:
I've used matlab for about 12 years, mostly in engineering. It's definitely a really great prototyping tool, just slow. But the built-in plotting functions are very difficult to reproduce in standalone apps built in C++.
I think matlab is fine for this effort, but it's just sluggish with iterative processing.
I've looked at your blog, very nice! I did notice you are connecting to TWS via ActiveX. That's ok, but it limits platform implementation to Windows (I think). I'm trying to migrate my automated systems to UNIX (Mac OS X), so the socket client through matlab's java is more platform-independent. Is there a reason you chose activeX in particular?
rt
RT- It sounds like you have a lot of experience in working with Matlab. Hopefully you would be interested in participating in the group, as I am sure there will be others (myself included) that could learn a lot from you.
Regards,
Eric
chemillion
Guest
Eric,
I've used MatLab in my engineering modeling and analysis classes. Haven't really tried to use it to model trades.
What is your trading strategy?
Count me in, I can get my ex-classmates to participate/assist as well as professors that have extensive knowledge with this tool from Univ of California.
Thanks,
Kevin
I've used MatLab in my engineering modeling and analysis classes. Haven't really tried to use it to model trades.
What is your trading strategy?
Count me in, I can get my ex-classmates to participate/assist as well as professors that have extensive knowledge with this tool from Univ of California.
Thanks,
Kevin
Quote from Trader922:
Glad to see some responses on this.
I will look into some sort of web site to information and ideas generated from the group.
My intention is to keep the site & group simple and casual. The idea is that the group gives members better resources to learn, help resolve questions, issues, etc. than what is currently available on the net for Matlab based trading systems.
I am not sure what each individual's experience level with Matlab and/or trading is, but as is the case with any group I am sure there will be a wide range of people with different skill sets. I'm sure we can all benefit from the group and learn something in the process.
Regards,
Eric
Add me to this list/group. I use R and Mathematica more, but I can probably lift and convert ideas.
Looks like there is some interest in getting a group set up so thats a good thing....
I am going to be on vacation for a week and will be unavailable but as of right now my plan is this:
Get a website set up to allow members to:
1) Interact with one another in a forum or similar format
2) Setup a file share system where users can post files, utilities, code samples, screencasts etc. This would be organized with the goal of keeping it clean & concise for the users of various interests (commodities, stocks, options, fx) and experience levels
3) Setup a newsletter or similar concept to keep people informed of new items.
4) Other things I can't think of at the moment.
Also, I intend on using one of the Open Source Content Management Systems (i.e Joomla) to set it up and maintain the site with minimal effort.
Feel free to post ideas/suggestions etc. for this site in this thread or via PM.
Regards,
Eric
I am going to be on vacation for a week and will be unavailable but as of right now my plan is this:
Get a website set up to allow members to:
1) Interact with one another in a forum or similar format
2) Setup a file share system where users can post files, utilities, code samples, screencasts etc. This would be organized with the goal of keeping it clean & concise for the users of various interests (commodities, stocks, options, fx) and experience levels
3) Setup a newsletter or similar concept to keep people informed of new items.
4) Other things I can't think of at the moment.
Also, I intend on using one of the Open Source Content Management Systems (i.e Joomla) to set it up and maintain the site with minimal effort.
Feel free to post ideas/suggestions etc. for this site in this thread or via PM.
Regards,
Eric
Quote from firscall:
Method/System building using Simulink would be great to know.
I've been browsing through max's method of connecting to TWS via ActiveX. Seems to be much cleaner than using a java or C++ socket.
I think the first challenge is creating OHLC bars from raw data.
For the case of time-based bars bars:
What has to happen is the reqCurrenttime has to be repeated polled to retrieve the server's time, and strobe when a user's time period has elapsed. For example, if using 5-minute bars, a strobe variable (i.e. a counter) will increment when we cross, for example, 9:34 to 9:35. At this point the OHLC values are pushed back onto a vector.
How to get the OHLC values? O and C are easy to get, just the open of the current time period and the close as well. H and L? to get these, during the time interval, each change in price has to be measured by using reqMktData in an iterative fashion. If the measured H is greater than existing H, then H is the new H. Vice versa for L value.
The challenge here is, how do we employ reqCurrentTime and reqMktData to respond to changes in time in price? In other words, how do we poll the time and price values (i.e., every 100ms), and stay synchronized with time and tick movements?
rt