Automated Trading with MATLAB - 2012

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration.

Description

Files used in the webinar - Automated Trading with MATLAB broadcast on August 21, 2012. This webinar can be viewed at http://www.mathworks.com/wbnr68672.

Specific topics include:

* Data gathering options, including daily historic, intraday, and real-time data
* Model building and prototyping in MATLAB
* Backtesting and calibrating a model
* Interacting with existing libraries and software for trade execution (X_Trader, QuickFIX/J, messaging queues)

It is recommended that you watch the webinar to see the "live" system running.

Acknowledgements

Algorithmic Trading With Matlab 2010 inspired this file.

• Required Products: Database Toolbox; Datafeed Toolbox; Financial Toolbox; Global Optimization Toolbox; Parallel Computing Toolbox
• MATLAB release: MATLAB 7.14 (R2012a)

[Mark]

Thank you for this collection. On a cursory read of the code, if I am correct there is an issue with the logic employed in tradeSignal if I have understood it correctly. Specifically, the input 'ind' and logical 'AND'. As I understand it, 'ind' is normalized such that 0 = sell, 0.5 = "skip", 1 = buy. If you logically AND 0 & 1 (sell and buy) the result is a 0 (sell) however this is not the desired result. I'm posting this in the spirit of others trying to review this code and welcome any correction on my understanding.

[nicholas]

amazing!

[Piment]

 

[Stuart Kozola]

Hi Goryn,

Did you try inputStream = java.io.FileInputStream('C:\\MATLAB_CODES\\Automated_Trading\\banzai.cfg');

settings = SessionSettings(inputStream);

It is a JAVA path issue, not MATLAB. Try this and it should work.

[Goryn]

Thank you for your answer, Stuart. But it is another error. Firstly, I've tried to run Demo7b_QuickFIXExample.m and it writes:

Java exception occurred:
quickfix.ConfigError: banzai.cfg (The system cannot find the file
specified)

at quickfix.SessionSettings.<init>(SessionSettings.java:110)

Error in Demo7b_QuickFIXExample (line 23)
settings = SessionSettings('banzai.cfg');

[Stuart Kozola]

This error occurs when trying to reference a file path on Windows that is not a valid URL. See http://sourceforge.net/tracker/index.php?func=detail&aid=3506051&group_id=176742&atid=878458 for an example.

You can either:
1) Run the commands with banzai.cfg in the current working directory

OR

2) change the MATLAB file to accept inputStreams:
inputStream = java.io.FileInputStream('C:\\MATLAB_CODES\\Automated_Trading\\banzai.cfg');

settings = SessionSettings(inputStream);

[Goryn]

I have an error when I trying to execute 'Demo7b_QuickFIXExample.m' script:
- firstly I've added path to 'classpath.txt'
- then after loading quickfix packages I try to execute 'settings = SessionSettings('banzai.cfg');' it writes me:
Java exception occurred:
quickfix.ConfigError: banzai.cfg (Cannot find) at quickfix.SessionSettings.<init>(SessionSettings.java:110)

If I try to execute a line of code with full path, like "settings = SessionSettings('c:\MATLAB_CODES\Automated_Trading\banzai.cfg');" it writes:

Java exception occurred:
java.lang.IllegalArgumentException: name

at sun.misc.URLClassPath$Loader.findResource(Unknown Source)

at sun.misc.URLClassPath.findResource(Unknown Source)

at java.net.URLClassLoader$2.run(Unknown Source)

at java.security.AccessController.doPrivileged(Native Method)

at java.net.URLClassLoader.findResource(Unknown Source)

at java.lang.ClassLoader.getResource(Unknown Source)

at java.lang.ClassLoader.getResourceAsStream(Unknown Source)

at quickfix.SessionSettings.<init>(SessionSettings.java:105)