Integrate X - Trader / Ninjatrader 7 data into MatLab for Analysis
I am seeking assistance integrating X - Trader data into MatLab for analysis. I would like to start here first and see if this is truly possible. If so, I'd then like to consider / and work toward converting my NT 7 automated market profile strategy into a language compatible with X - Trader or even to R or Python. The ultimate goal being to utilize the power of Matlab for analysis with my automated market profile strategy. I have the following MatLab toolboxes :
I'm not a Matlab person at all so I can't help you there. But I have used the XTAPI for X-Trader. It work's extremely well, but its C# and C++ only from what I've seen and the examples I've worked with.
Unsure of how complex your strategy, and what your doing. If your dead set on Execution through X-Trader and writing C# and C++ isn't an option have you looked into ADL with X-Trader. I've used it to rapidly prototype some stuff I do and for the most part it's really good. It's shortfall would be on how complex your strategy is, along with external data that can't be pulled from an exchange in realtime..etc.
Thanks for your response. I had looked at the XTAPI and ADL but the complexity of all the necessary "buckets" of data required for my market profile strategy made it seem insurmountable. I am looking for the easiest road down the complex highway. Also, I need quick data analysis that can provide "a tidy report ".Basically, I am automating my market profile strategy ( sort of ), but first I will be generating a "verification " report from Matlab to review any trades before I turn on the strategy.
I've opted for Matlab with an appropriate data feed to help me determine the long term bias for intraday trading through analyzing multiple merged profiles. So now my needs have changed from XTrader to analysis in Matlab and then back to Ninjatrader for execution. Eventually, I may recode the entire method and have it all run in Matlab. I am liking the phenomenal functionality of Matlab.
I looked at some other stuff after I wrote that last night. If you do end up recoding in Matlab. Matlab does have a TT Toolbox. Order submission looks fairly straight forward as does starting the connection to X-Trader. This looks to heavily cutdown on the work required. Just something to think about if you do it get it fully recoded in Matlab.
You might want to consider using the AutoTrader tool that comes with X Trader for order execution if you are going to use TT for execution but an external tool for analysis and decision making. Go through this feature in the X Trader help files and on the TT website, there is sufficient help to get you started. You might want to focus on the Excel DDE/RTD integration piece. It does not have to be Excel feeding Autotrader. Any DDE/RTD capable piece of code can do it.
I recently dug into the most efficient way of doing something similar and found that Autotrader fit my needs the best. TT API seemed to be overkill for my needs since I just wanted to send the price levels to TT where I want an order filled and have control over how and how much it gets filled.
You might also want to talk to your broker about 100% automated executions since some governing bodies at least for some markets require such traders/participants to be identified separately.
Thanks for the reply and the info. I had not investigated this avenue; I'll check it out. As I eluded to previously, I am looking for the least expensive / least complicated yet most comprehensive way to satisfy my data analysis needs, so I appreciate any / all suggestions. Thanks again.