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Trading Toolbox Functions

Alphabetical List By Category

Transaction Cost Analysis

krgCreate Kissell Research Group transaction-cost analysis object
costCurvesEstimate market-impact cost of order execution
iStarEstimate instantaneous trading cost for order
liquidityFactorEstimate and compare liquidation costs across stocks
marketImpactEstimate price movement due to order or trade
portfolioCostCurvesEstimate market-impact cost of order execution for portfolio
priceAppreciationEstimate trading cost due to natural price movement
timingRiskEstimate uncertainty of market-impact cost

Bloomberg

emsxCreate Bloomberg EMSX connection
ordersObtain Bloomberg EMSX order subscription
routesObtain Bloomberg EMSX route subscription
closeClose Bloomberg EMSX connection
createOrderCreate Bloomberg EMSX order
routeOrderRoute Bloomberg EMSX order
routeOrderWithStratRoute Bloomberg EMSX order with strategies
groupRouteOrderWithStratRoute multiple Bloomberg EMSX orders with strategies
createOrderAndRouteCreate and route Bloomberg EMSX order
createOrderAndRouteWithStrat Create and route Bloomberg EMSX order with strategies
modifyOrderModify Bloomberg EMSX order
modifyRouteModify Bloomberg EMSX route
modifyRouteWithStratModify route with strategies for Bloomberg EMSX
deleteOrderDelete Bloomberg EMSX order
deleteRouteDelete Bloomberg EMSX active shares
processEventSample Bloomberg EMSX event handler
emsxOrderBlotterBloomberg EMSX example order blotter
getBrokerInfoObtain Bloomberg EMSX broker and strategy information
getAllFieldMetaDataObtain Bloomberg EMSX field information

CQG

cqgCreate CQG connection object
startUpCreate CQG connection
createOrderCreate CQG order
historyRequest CQG historical data
realtimeSubscribe to CQG instrument
timeseriesRequest CQG intraday tick data
shutDownClose CQG connection
closeClose CQG connection

FIX Flyer

struct2fixConvert structure array containing FIX tags to cell array of FIX messages
table2fixConvert table containing FIX tags to cell array of FIX messages
fixflyerFIX Flyer connection
addListenerAdd event handling listener to FIX Flyer connection
sendMessageSend FIX message to FIX Flyer Engine
orderInfoRetrieve FIX Flyer order status and information
closeClose FIX Flyer connection
fix2structConvert FIX message to structure array
fix2tableConvert FIX message to table

Interactive Brokers

ibtwsCreate IB Trader Workstation connection
getdataRequest current Interactive Brokers data
historyRequest Interactive Brokers historical data
marketdepthRequest Interactive Brokers market depth data
realtimeRequest Interactive Brokers real-time data
timeseriesRequest Interactive Brokers aggregated intraday data
closeClose IB Trader Workstation connection
executionsRequest Interactive Brokers execution data
createOrderCreate IB Trader Workstation order
orderidObtain next valid order identification number
ordersRequest Interactive Brokers open order data
accountsRetrieve Interactive Brokers account information
contractdetailsRequest Interactive Brokers contract details
portfolioRetrieve current Interactive Brokers portfolio data

Trading Technologies

xtrdrCreate X_TRADER connection
createNotifierCreate instrument notifier for X_TRADER
createInstrumentCreate instrument for X_TRADER
createOrderSetCreate order set for X_TRADER
createOrderProfileCreate order profile for X_TRADER
getDataObtain current X_TRADER data
closeClose X_TRADER connection
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