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Automated Trading with MATLAB - 2012

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Automated Trading with MATLAB - 2012

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31 Aug 2012 (Updated )

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

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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.

This file inspired Algorithmic Trading With Bloomberg Emsx And Matlab and Commodities Trading With Matlab.

Required Products Database Toolbox
Datafeed Toolbox
Financial Toolbox
Global Optimization Toolbox
Parallel Computing Toolbox
MATLAB release MATLAB 7.14 (R2012a)
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Comments and Ratings (17)
03 Apr 2014 cyril

nice work, @Stuart is there so much a need to use GA for finding the best rule? there are 3*2+3*2^2*3+2^3*3^2 possibilities of rules with the scheme you did, so it's not a big deal to test them 1 by 1

28 Feb 2014 Bruno

Could you help me with this
http://www.mathworks.it/matlabcentral/answers/119571-problem-with-movavg-not-enough-input-arguments
??

02 Jan 2014 Bradley  
02 Jan 2014 Bradley

Hello Stuart,

I am having trouble with starting banzai on my computer. I know it has to probably deal with not having the the config file on the correct path.
I am receiving the error that SessionSettings is a undefined function. I am not sure where to put the correct file and what files to put there. Thank you!

11 Jul 2013 Frank Weissbach

@Stuart,

I solved the issue. It was indeed a path issue. If classes depend on other .jar then those need to be added to the javaclasspath as well.
Following the quickfix installation guide the following 4 jar files need to be in the path:

quickfixj-all.jar(includes core and message JARs)
mina-core-1.1.0.jar
slf4j-api.jar
slf4j-jdk14.jar

08 Jul 2013 Mark

Those following this thread my find the website: http://www.openAlgo.org interesting. Some of the work here inspired it along with work from 'Algorithmic Trading With Matlab 2010'

08 Jul 2013 Frank Weissbach

Hello Stuart,

1) The Banzai example is running correctly on my system.
2) The javaclasspath is set correct.
I'm successful calling (and creating the output objects in Matlab) other classes from the same quickfixj-all jar files.

01 Jul 2013 Stuart Kozola

@Frank

The error is telling you it can not find the SocketInitiator method. This error is likely due to one of these reasons:
1) the required library is not on the javaclasspath
2) a mis-match in required java libraries

When you download and install quickfix/j, run the banzai example outside of MATLAB to make sure your system has all of the required java libraries. If it runs correctly, then the problem is in the importing/classpath.txt reference to the required java libraries, which you can fix by importing the libraries from the same directory as the installation of quikcfix/j.

01 Jul 2013 Frank Weissbach

I have an error when I trying to execute 'Demo7b_QuickFIXExample.m'

Everything works fine up to the line:
initiator = SocketInitiator(application,storeFactory,settings,logFactory,messageFactory);

which gives me the error:
Undefined function 'SocketInitiator' for input arguments of type
'quickfix.examples.banzai.BanzaiApplication'.

Operating System: Microsoft Windows 7 Version 6.1 (Build 7601: Service Pack 1)
Java VM Version: Java 1.6.0_17-b04 with Sun Microsystems Inc. Java HotSpot(TM) 64-Bit Server VM mixed mode

01 Jul 2013 Frank Weissbach

I'm working on Windows 7:
Operating System: Microsoft Windows 7 Version 6.1 (Build 7601: Service Pack 1)
Java VM Version: Java 1.6.0_17-b04 with Sun Microsystems Inc. Java HotSpot(TM) 64-Bit Server VM mixed mode

29 Apr 2013 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.

07 Dec 2012 nicholas

amazing!

05 Dec 2012 Piment  
07 Nov 2012 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.

26 Sep 2012 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');

24 Sep 2012 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);

10 Sep 2012 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)

Updates
04 Sep 2012

Updated zip file contents.

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