Matlab with TWS interative brokers

[RoughTrader]

Quote from mbatrader:

Kohanz:

I beg to differ that programming in MATLAB will be more complex than programming in c++. Since you have already used MATLAB, I dont need to tell you that how many lines of code it takes to do data manipulation in matlab vs c++. In MATLAB, you can create classes and Objects. you can make it OO if you want to.

Ofcourse, If you are a BIG trader with lots of instruments and all, then yes, you will need to go the c++ route BECAUSE of MEMORY. Matlab is bad in memory management. Its good in algorithms. But for retail trader with engineering background who is trading with Limited Number of Instruments, MATLAB is enough.

Basically, what I am trying to do is avoid another layer of complexity. I.e develop the trading idea in MATLAB and instead of again porting the matlab code to c++, trade directly from it.

One other aside is matlab is much more flexible at vector processing than C or Java. This is very attractive because market data is by nature a discrete time series, and coding various indicators, setup conditions, etc. should be much more straightforward than other OO programming languages. I guess this is what mbatrader is trying to say...

RoughTrader

 

[Kohanz]

Quote from mbatrader:

Kohanz:

I beg to differ that programming in MATLAB will be more complex than programming in c++. Since you have already used MATLAB, I dont need to tell you that how many lines of code it takes to do data manipulation in matlab vs c++. In MATLAB, you can create classes and Objects. you can make it OO if you want to.

Ofcourse, If you are a BIG trader with lots of instruments and all, then yes, you will need to go the c++ route BECAUSE of MEMORY. Matlab is bad in memory management. Its good in algorithms. But for retail trader with engineering background who is trading with Limited Number of Instruments, MATLAB is enough.

Basically, what I am trying to do is avoid another layer of complexity. I.e develop the trading idea in MATLAB and instead of again porting the matlab code to c++, trade directly from it.

My impression from significant use of both languages is programming in MATLAB is easy for simple things, i.e. data manipulation, or other serial operations which involve heavy mathematics that I can handle with function calls only. I mean, you can use Matlab for complicated things, but then you are likely doing the complicated things with a lot of the built-in functionailty.

After doing some more reading, apparently Matlab does have some OO capabilities, so perhaps it can do more than I thought. The lower level languages are still going to be more powerful, but perhaps after learning all the Matlab OO syntax, it wouldn't be as limiting as I first thought.

For the other issues mentioned, I would still personally prefer C++, but to each his own. If many languages can do the job required, then it comes down to whatever the programmer(s) is/are most comfortable/experienced with.

Memory is definitely a concern, but I think bandwidth (not language-related, obviously) is more of a concern usually. Memory is dirt-cheap relative to bandwidth.

 

[Kohanz]

Quote from RoughTrader:

One other aside is matlab is much more flexible at vector processing than C or Java. This is very attractive because market data is by nature a discrete time series, and coding various indicators, setup conditions, etc. should be much more straightforward than other OO programming languages. I guess this is what mbatrader is trying to say...

RoughTrader

I think it may make such operations easier for the programmer since this functionality is built in and since it is a scripting language, but without checking, I would guess that any and all such vector processing would be available to C and Java programmers in readily available libraries.