Documentation

Trading Toolbox Release Notes

R2016a

New Features, Bug Fixes, Compatibility Considerations

Transaction Cost Analysis: Conduct trading cost, sensitivity, and post-trade execution analysis

Estimate trading costs for a collection of stocks or a portfolio using Kissell Research Group transaction cost analysis. Estimate costs for liquidating a portfolio or its components. Conduct sensitivity analysis. Optimize trading strategies for a single stock. Analyze trading execution results.

FunctionPurpose
krg

Create Kissell Research Group transaction-cost analysis object.

costCurves

Estimate market-impact cost of order execution.

iStar

Estimate instantaneous trading cost for order.

liquidityFactor

Estimate and compare liquidation costs across stocks.

marketImpact

Estimate price movement due to order or trade.

portfolioCostCurves

Estimate market-impact cost of order execution for a portfolio.

priceAppreciation

Estimate the trading cost due to natural price movement.

timingRisk

Estimate uncertainty of market-impact cost.

Support for 32-bit Windows removed

The Trading Toolbox™ no longer supports connection to a 32-bit trading system.

Compatibility Considerations

Use a 64-bit trading system.

To configure CQG® for 64-bit Windows®, see Installation.

R2015b

New Features, Bug Fixes

FIX Flyer Integration: Send and receive financial information through FIX messages using FIX Flyer Engine

Retrieve data and send FIX messages using FIX Flyer™.

Function

Purpose

fixflyer

Establish a FIX Flyer connection.

addListener

Add an event handling listener to a FIX Flyer connection.

sendMessage

Send a FIX message to the FIX Flyer Engine.

close

Close a FIX Flyer connection.

FIX Data Support: Convert between structure arrays and tables to and from FIX messages

Convert between FIX messages, and structure arrays or tables.

Function

Purpose

fix2struct

Convert a FIX message string to a structure array.

fix2table

Convert a FIX message string to a table.

struct2fix

Convert a structure array containing FIX tags as fields to a cell array of FIX message strings.

table2fix

Convert a table containing FIX tags as variables to a cell array of FIX message strings.

Bloomberg multiple order routing functionality

The groupRouteOrderWithStrat function enables multiple order routing with strategies.

R2015a

New Features, Bug Fixes

Interactive Brokers interface enhancements for custom event handlers and market depth, contract details, trade execution records, and portfolio data

Obtain Interactive Brokers® order data and information about the account, contract, and portfolio.

Function

Purpose

accounts

Retrieve Interactive Brokers account information.

contractdetails

Request Interactive Brokers contract details.

executions

Request Interactive Brokers execution data.

marketdepth

Request Interactive Brokers market depth data.

orderid

Obtain next valid order identification number.

orders

Request Interactive Brokers open order data.

portfolio

Retrieve current Interactive Brokers portfolio data.

realtime

Request Interactive Brokers real-time data.

Define custom event handler functions to process various events. For details, see Writing and Running Custom Event Handler Functions with Interactive Brokers.

R2014b

Bug Fixes

R2014a

Bug Fixes

R2013b

New Features

Support for CQG API

Create and maintain orders, routes, and strategies using CQG.

Function

Purpose

cqg

Open CQG connection.

close

Close CQG connection.

createOrder

Create CQG order.

history

Request CQG historical data.

realtime

Subscribe to CQG instrument.

shutDown

Close CQG connection.

startUp

Start CQG Connection.

timeseries

Request CQG intraday tick data.

Support for Interactive Brokers TWS API

Create and maintain orders, routes, and strategies using Interactive Brokers.

Function

Purpose

ibtws

Open IB Trader WorkstationSM connection.

close

Close IB Trader Workstation connection.

createOrder

Create IB Trader Workstation order.

getdata

Get current Interactive Brokers data.

history

Request Interactive Brokers historical data.

timeseries

Request Interactive Brokers aggregated intraday data.

R2013a

New Features, Compatibility Considerations

Trading Toolbox contains Trading Technologies X_TRADER

X_TRADER® support has migrated from Datafeed Toolbox™ to Trading Toolbox. Use Trading Technologies® X_TRADER to access market data and submit orders.

Function

Purpose

xtrdr

Create an X_TRADER connection.

close

Terminate an X_TRADER connection.

createInstrument

Create instruments for X_TRADER.

createNotifier

Create an instrument notifier for X_TRADER.

createOrderProfile

Create order profiles for X_TRADER.

createOrderSet

Create an order set for X_TRADER.

getData

Obtain current X_TRADER data.

Compatibility Considerations

If you used Trading Technologies X_TRADER with a previous release of Datafeed Toolbox, you must have a license for Trading Toolbox for R2013a.

Bloomberg EMSX support

Create and maintain orders, routes, and strategies using Bloomberg® EMSX.

Function

Purpose

emsx

Create a Bloomberg EMSX connection.

close

Close a Bloomberg EMSX connection.

createOrder

Create a Bloomberg EMSX order.

createOrderAndRoute

Create and route a Bloomberg EMSX order.

createOrderAndRouteWithStrat

Create and route a Bloomberg EMSX order with strategies.

deleteOrder

Delete a Bloomberg EMSX order.

deleteRoute

Delete a Bloomberg EMSX route.

getAllFieldMetaData

Obtain Bloomberg EMSX field information.

getBrokerInfo

Obtain Bloomberg EMSX broker and strategy information.

getOrderInfo

Obtain Bloomberg EMSX order information.

getRouteInfo

Obtain Bloomberg EMSX route information.

modifyOrder

Modify a Bloomberg EMSX order.

modifyRoute

Modify a Bloomberg EMSX route.

modifyRouteWithStrat

Modify a Bloomberg EMSX route with strategies.

orders

Obtain Bloomberg order subscriptions.

emsxOrderBlotter

Bloomberg EMSX example order blotter.

processEvent

Sample of a Bloomberg EMSX event handler.

routeOrder

Route a Bloomberg EMSX order.

routeOrderWithStrat

Route a Bloomberg EMSX order with strategies.

routes

Obtain Bloomberg EMSX route subscriptions.

Compatibility Summary

ReleaseFeatures or Changes with Compatibility Considerations
R2016aSupport for 32-bit Windows removed
R2015bNone
R2015aNone
R2014bNone
R2014aNone
R2013bNone
R2013aTrading Toolbox contains Trading Technologies X_TRADER
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