Matlab Trader Group

[Corey]

Quote from 377OHMS:

You could use the CPU high accuracy counter and trigger initially off the IB server time. There is a mex file on the ML FEX called hat.mexW32 that hits the high accuracy counter with extreme accuracy (nanoseconds) for inter-sample deltas. You could periodically check the IB server time and rehack to absolute time.

Oh, lets see. I'm Scott. I used to write ML for Ken Griffin lol.

I trade mean reversion bots on a ML cluster but have been in t-bills since september. I'm kind of rooting around the literature during my sabattical and plan on reentering this summer. I would like to participate.

I'm astonished by this thread because for years I thought I was the only one who could connect ML to TWS directly (java) other than those austrian guys over at Gloriosia. Then one day a guy starts a thread on ET and there are lots of you! Very cool.

If a few of us got together I'll bet some very nice shared architectures and infrastructures would emerge. Great thread.

I got excited for a moment -- I thought you meant <a href="http://en.wikipedia.org/wiki/ML_(programming_language)">ML</a>, not Matlab...

Anyway ... can't wait to see how this group shapes up. Would love to hear some more about people's experience with parallel clusters. Pelican HPC looks like an interesting *nix distro that has built in parallel octave ability. Just boot a bunch of CPUs from USB/CD on a network and you have a little farm...

 

[Trader922]

hello all....

I have made good progress on the site so far this week and believe it is ready to be used. There may be some minor issues with it, but nothing that appears to be major that cannot be fixed along the way. There will be more progress made on the site so it will be changing a lot in the upcoming period.

The site is located at:
www.matlab-algo-trading.com

Please send any questions or ideas to me in this thread or via PM. Look forward to everyone's participation.

Regards,
Eric

 

[clearpicks]

Would those scripts also work in Matlab clones such as Octave?

 

[MAESTRO]

To my absolute embarrassment I have to admit that I have never used MATLAB in the past. Over the last 18 years in this business I have written thousands of applications using VB, C++, Java and many small scripting languages such as eSignal’s .epf studies etc. I have always had a luxury of using my programming staff to create practical applications that I have designed the algorithms for. Last month though, I got pretty sick and stayed at home lying down in bed with my laptop on my stomach. My daughter, who is a computer science post graduate, tried to entertain me with her work on computer vision that she was doing for “Canada Arm” space project at York University. Most of her image analysis was done in MATLAB. I was astonished to learn (again, to my absolute embarrassment) that this program has virtually unlimited resources that I have never tried out before. I have always assumed that MATLAB is just a sophisticated graphic calculator and it is not very good for my practical applications. Once my daughter introduced me to this wonderful piece of software I got hooked. I have just purchased a full version of it and have begun to learn the basics. I am also thrilled that this thread assembled enthusiasts of MATLAB and I definitely will join it as soon as I bring myself up to speed. It just proved to me that one is never too old to learn.

 

[Trader922]

Quote from MAESTRO:

To my absolute embarrassment I have to admit that I have never used MATLAB in the past. Over the last 18 years in this business I have written thousands of applications using VB, C++, Java and many small scripting languages such as eSignal’s .epf studies etc. I have always had a luxury of using my programming staff to create practical applications that I have designed the algorithms for. Last month though, I got pretty sick and stayed at home lying down in bed with my laptop on my stomach. My daughter, who is a computer science post graduate, tried to entertain me with her work on computer vision that she was doing for “Canada Arm” space project at York University. Most of her image analysis was done in MATLAB. I was astonished to learn (again, to my absolute embarrassment) that this program has virtually unlimited resources that I have never tried out before. I have always assumed that MATLAB is just a sophisticated graphic calculator and it is not very good for my practical applications. Once my daughter introduced me to this wonderful piece of software I got hooked. I have just purchased a full version of it and have begun to learn the basics. I am also thrilled that this thread assembled enthusiasts of MATLAB and I definitely will join it as soon as I bring myself up to speed. It just proved to me that one is never too old to learn.

Maestro - I am looking forward to your participation in the group. On the site there are links to some of the more common things found to help people get up to speed in Matlab. Feel free to post any questions you may have on forum on the site, as there are people that can likely answer them for you in a short period of time, instead of spending a lot of time searching for answers on the net.

Eric