Matlab: Most powerful/flexible data analysis/algorithm development tool? - Matlab, R project and Python | futures io social day trading
futures io futures trading


Matlab: Most powerful/flexible data analysis/algorithm development tool?
Updated: Views / Replies:5,171 / 13
Created: by maxplanck Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Matlab: Most powerful/flexible data analysis/algorithm development tool?

  #1 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

Matlab: Most powerful/flexible data analysis/algorithm development tool?

In your opinion, is Matlab the most powerful/flexible data analysis and algorithm development tool?

I'm just starting out in algorithm development, I want to start w/ a platform that is powerful/flexible enough to meet any needs that I'm likely to have in the future, even if I get very advanced. This way I don't waste time by learning one system, then having to start from scratch learning an entirely different system when I outgrow the first system.

One key feature that I'm hoping to find is the ability to stream realtime data into the analysis algorithm, to automatically modify the algorithm in real time. An algorithm that learns, like a neural network.

Does it sound like I'm on the right track?

Any info is much appreciated

-Max


Last edited by maxplanck; November 12th, 2011 at 01:02 PM.
Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Urban Samurai
Chicago IL
 
Futures Experience: Intermediate
Platform: Ninja, MT4,TOS, SC, Matlab
Broker/Data: CQG, AMP, MB, DTN
Favorite Futures: E/U, G/U
 
forrestang's Avatar
 
Posts: 1,039 since Jun 2010
Thanks: 226 given, 688 received


I started to get more into Matlab a while back, but really didn't stay with it for long. So I can't speak to how useful you can make it. Although, Matlab can do ANYTHING.

It is something I really want to get back into, to at least be able to import/stream and send back to a custom dashboard somewhere for viewing.

I have it on my to-do list though.


Last edited by forrestang; November 12th, 2011 at 01:30 PM.
Reply With Quote
 
  #4 (permalink)
Membership Revoked
Oslo, Norway
 
Futures Experience: Advanced
Platform: CQG, Excel
Favorite Futures: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,235 received

MATLAB is far from the most powerful solution, but it is good for prototyping. It is not built for HFT stuff. Combining it with CQG or RTS is excellent, though. RTS RTD Tango should be enough for all your needs, but, if it's not, why don't you just start off with Apama instead!

I suggest you start by watching this webinar:
MathWorks Nordic - Recorded Webinar: Algorithmic Trading with MATLAB


And reading this:
http://www.mathworks.com/company/events/emea_finance/Spotlight_Automated_Trader_Q2.pdf



Dr. Ernest Chan has written an introductory book to algorithmic trading and he uses MATLAB.

http://www.amazon.com/gp/product/0470284889/ref=as_li_ss_tl?ie=UTF8&tag=mark01f-...&creativeASIN=0470284889



Here you see an example of prototyping in MATLAB:

http://www.stanford.edu/~avinayan/Report445.pdf



Some more info:

RTS: Solutions for Algorithmic Trading: MATLAB

http://www.cqg.com/Docs/CQG_And_MATLAB_WhitePaper.pdf

http://www.bloombergtradebook.com/pdfs/tradebook_portal_api_review.pdf



Another interesting product for algorithmic trading is TickIt:
TickIt Trading Systems : Standard Features

Reply With Quote
 
  #5 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

Dude! Thank you so much

Reply With Quote
 
  #6 (permalink)
Elite Member
Arizona, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: MB Trading
Favorite Futures: Cello
 
serac's Avatar
 
Posts: 116 since Jan 2011
Thanks: 321 given, 137 received

I have used Matlab professionally in a science and enginering context for about 15 years. Matlab is powerful, and is especially good a rapid prototyping code and ideas. Using Ninjatrader now, I miss the flexible plotting mechanism.

However, compared to almost anything else, Matlab is slow. It is an interpreted, and not compiled language. Matlab is designed for ease of programming large vectors and matricies of data, not computational speed. Matlab also is not particuarily stable.

Matlab was my orignal platform. Speed, stability, and complex broker/Matlab APIs convinced me to look elsewhere. This is my stance: if you are doing hard core math to justify needing Matlab, then you most likely know enough to write something equivalent in C.

Now, once I see a Mathematica-Ninjatrader API, or figure out how to compile a Mathematica dll for NT, I may change my tune...

Reply With Quote
The following user says Thank You to serac for this post:
 
  #7 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

So, the best way to do this would be to:

-Prototype and backtest in Matlab
-then, translate the algorithm for implementation through a broker's API

Right?

Who's the best/fastest broker/platform for running non-HFT algorithms on a retail budget? Server colocation rates (I assume this is necessary for HFT) are probably out of my budget (they require a nondisclosure agreement to even quote a price), though it's something that I'd like to explore and get into if I can find a way to learn and get my foot in the door.

Reply With Quote
 
  #8 (permalink)
Membership Revoked
Oslo, Norway
 
Futures Experience: Advanced
Platform: CQG, Excel
Favorite Futures: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,235 received


maxplanck View Post
So, the best way to do this would be to:

-Prototype and backtest in Matlab
-then, translate the algorithm for implementation through a broker's API

Right?

Who's the best/fastest broker/platform for running non-HFT algorithms on a retail budget? Server colocation rates (I assume this is necessary for HFT) are probably out of my budget (they require a nondisclosure agreement to even quote a price), though it's something that I'd like to explore and get into if I can find a way to learn and get my foot in the door.

Right.

I like Advantage Futures:
The Algo Advantage | High Frequency Trading at Advantage Futures

@serac Have you tried F#?

Reply With Quote
The following user says Thank You to Lornz for this post:
 
  #9 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: Intermediate
Platform: TWS
Broker/Data: IB/IB
Favorite Futures: ETF
 
Posts: 19 since Sep 2011
Thanks: 12 given, 4 received

I've been using IB due to their high excess net capital. Advantage Futures is faster?

The API should be the same for both, right?

Financial Data for FCMs - CFTC

Reply With Quote
 
  #10 (permalink)
Membership Revoked
Oslo, Norway
 
Futures Experience: Advanced
Platform: CQG, Excel
Favorite Futures: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,235 received



maxplanck View Post
I've been using IB due to their high excess net capital. Advantage Futures is faster?

The API should be the same for both, right?

Financial Data for FCMs - CFTC

Advantage Futures offers co-lo. That would be faster, of course. You have to pick your broker in accordance with your requirements, I simply linked to AF due to their information about algo trading.
It is always wise to check the excess capital of the broker(s) one is considering, most seem to overlook that.

The API is not the same. IB has their own, and other FCMs offer products like CQG, RTS, Stellar, TickIt and ORC (to name a few) that have their own API's. IB's global account is nice and their API is easily accessible, but their data is not reliable. There is some relevant information on the site I posted, I would advise you to read it...


Last edited by Lornz; November 14th, 2011 at 06:07 AM. Reason: unintentionally came across as hostile
Reply With Quote
The following user says Thank You to Lornz for this post:

Reply



futures io > > > > Matlab: Most powerful/flexible data analysis/algorithm development tool?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
[Other]       Excel Analysis Tool? DarkPool Platforms and Indicators 12 November 15th, 2011 08:41 PM
Most Powerful Computer Equals One Million Desktop Computers Tied Together kbit Off-Topic 3 June 20th, 2011 04:03 PM
Need your analysis of this trade data revtrader Elite Automated Trading 4 March 4th, 2011 07:28 PM
Divergence detection algorithm cunparis NinjaTrader Programming 24 April 29th, 2010 03:04 PM
IB tool data download (for NT) siscop NinjaTrader 4 September 9th, 2009 04:19 AM


All times are GMT -4. The time now is 10:58 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-18 in 0.12 seconds with 19 queries on phoenix via your IP 54.226.113.250