MATLAB 2011A
SECRETS
by Bryan Downing
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Page 1
First Page :
1. Online business which focuses on
building trading models for the finance
industry. Revenue model is
subscription based with additional
potential auxiliary revenue.
2. Financial models are used to generate
dozens of daily reports of high
performing equities and other market
securities to help traders, researchers,
and analysts to optimize their trading
decisions.
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Chosen Technologies: MATLAB
1. MATLAB
is
the
investment
community’s #1 commerical statistical
tool
for
financial
research,
prototyping, etc..
2. Has excellent resources including
online demos, documentation, and
community support.
3. Enables
you
to
quickly
get
experienced as compared to R or other
similar tools.
4. Free MATLAB open source clones
include Octave or SciLab but not
extensible.
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Chosen Technologies: C++
1. C++ is the primary development
programming
language
used
for
implementing re-coded
models and
strategies. It is commonly used to
develop trading platforms as well.
2. C++ is fastest possible programming
language as it gets applications
closest to the target operating system.
For example, there is no garbage
collector as in Java.
3. C++ is very portable.
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Highlights :
Disclaimer: Not teaching Matlab, C++, or C#.
1. MATLAB Coder Toolbox demo of
HelloWorld.m script to C++
2. Import MATLAB HelloWorld Converted
project into Visual Studio C++ Express
and use it in a C# client application.
Quick high light of use in Visual C++.
3. Discussion of a popular Open Source
Trading platform in C#
4. List components of a C++ primitive
trading platform.
5. MATLAB import of Yahoo Finance data
6. Export MATLAB data into MYSQL
database.
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Helpful URLS :
1. YouTube Channel Video tutorials at
www.Youtube.com/quantlabs
2. Online
code
samples
and 600+
research
white
papers:
www.quantlabs.net/labs
3. Daily blog updates: www.quantlabs.net/blog
4. PRIVATE Email 1000+ opt-in list.
Register at www.quantlabs.net
5. Tech
quant
LinkedIn
group:
http://www.linkedin.com/groups/Quant-Matlab-C-C-Java3427378?goback=%2Egna_3427378
6. Toronto
based
Meetup
www.Meetup.com/quant-finance
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group:
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MATLAB Coder Toolbox :
1. Could use MATLAB Builder JA toolbox
for a Java or .NET assembler bridge.
This does does not generate native code
(e.g. Java) but enables you to access
through a compiled MEX file.
2. MATLAB Coder Toolbox works as of
MATLAB 2011A. Most expensive toolbox
available at $6K.
3. Coder converts Matlab M File scripts
(e.g.Model or Algorithm) into native C
or C++.
4. Removes need of extra coding to
manually convert MATLAB M file to
C/C++. Saves times in optimizing C or
C++ source files.
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DLL Creation and Use :
DEMO
Demo Matlab Coder Toolbox to generate
C++ from HelloWorld.m
Coder GUI to open
C:\matlab_m_scripts\coder_test
Untitled1.prj
Build conversion results in
C:\matlab_m_scripts\coder_test\codegen\lib\hell
o_world
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DLL Creation and Use :
1. Create Visual Studio 2010 C++ DLL
solution.
2. Copy converted C++ code into project.
3. Manipulate
source
code
for
compatibility with Visual C++.
4. Build DLL or Static Library (LIB) for reuse
5. Create C# client application to access
DLL.
6. There is a 3 part video series at
QuantLabs Youtube channel.
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DLL Creation and Use :
DEMO
C:\Users\ratman\Documents\Visual
Studio 2010\Projects
HelloWorldMatlab C++ sln
HelloWorldMgdDLLC++ sln
HelloWorldClientCS C# sln
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DLL Resuse in Visual C++:
1. Following instructions at: Walkthrough:
Creating and Using a Dynamic Link Library
(C++)
at
http://msdn.microsoft.com/enus/library/ms235636.aspx
2. static __declspec(dllexport) modifier exports
in DLL to be used by other C++ client
applications.
3. Integrate converted code into above
example Visual Studio solution.
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DLL Creation and Use :
DEMO
Matlab converted code from:
C:\Users\ratman\Documents\Visual Studio
2010\Projects\ShrinkageDynamicLibrary\Shri
nkage - c++
C:\Users\ratman\Documents\Visual Studio
2010\Projects\ShrinkageDynamicLibrary
ShrinkageDynamic Library C++ sln
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Potential Trading Broker:
1. LMAX is established in 2010 out of
London UK.
2. Legitimate
with
British
Financial
Services
Authority
regulation
and
Goldman Sachs ownership of 12.5%
3. Supports API trading through FIX with
.NET, and Java support.
4. No minumum deposit or access fees to
market multi second tick data.
5. Trade CFD and Forex.
6. Canadians can use LMAX.
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Page 13
Trading Platforms:
1. Suggested Open source trading platform
is TRADELINK.
http://code.google.com/p/tradelink/
2. Developed in C# and completely free
with source code. Used by established
hedge funds and prop shops. Over
18000 downloads.
3. Connects to multiple brokers but does
include Interactive Brokers.
4. Has decent documentation and
community support. There are frequent
updates after bugs are reported.
5. Various components for tick capture,
easily converted DLL implementation, &
other supporting various applications.
6. Various affordable support at
http://www.pracplay.com/buy
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Proposed C++ PRIMITIVE
Trading Platform Components:
1. Will be built in C++ for speed,
portability, and potential HFT scaling
capabilities.
2. Capable to plug in to LMAX as trading
broker for CFDs and Forex API
execuction.
3. Multiple listeners to LMAX tick data of
chosen currency pairs.
4. Use OTL 4 library to connect to MYSQL
table for historical tick data.
5. Use TA-Lib library for forex strategy
development
6. Use QuantLib library for mature quant
finance modelling needs
7. Import custom Matlab Coder DLLs as
shown.
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Proposed C++ PRIMITIVE
Trading Platform Components:
OTL 4 DEMO
Need to Install MYSQL Connector DSN!
http://www.geeksengine.com/article/mysql-odbc.html
otl4 C++ sln
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MATLAB Yahoo Finance
Data Capture with MYSQL:
1. Need Data Capture Toolbox for example
MATLAB interaction:
y = yahoo;
FastFood = fetch(y, {'ko', 'pep', 'mcd'},'Last')
FastFood = Last:
[3x1 double]
FastFood.Last ans = 42.96 45.71 23.70
2. Alternative for Yahoo data capture at
http://luminouslogic.com/how-to-downloadhistorical-stock-data-into-matlab.htm
3. Get detailed Yahoo download data info
http://www.gummy-stuff.org/Yahoo-data.htm
4. Demo
with
MYSQL
at:
http://www.youtube.com/watch?v=5QNyOe79l-s
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MATLAB Yahoo Finance
Data Capture:
DEMO
C:\matlab_m_scripts\db\mysqltest.m
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