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Trading Toolbox

Key Features

  • Market impact modeling and cost curve generation using Kissell Research Group models
  • Trading cost, sensitivity, and posttrade execution analysis
  • Access to current, intraday, event-based, and real-time tradable instrument data
  • Data filtering by instrument and exchange
  • Definable order types and execution instructions
  • Access to FIX-compliant trading systems using the FIX Flyer™ Engine
  • Support for Bloomberg EMSX, Trading Technologies X_TRADER®, CQG Integrated Client, and Interactive Brokers TWS
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Transaction Cost Analysis

Trading Toolbox™ provides functions for estimating trading costs, performing trading analytics, and optimizing trading strategies using Kissell Research Group (KRG) data and models. You can use the toolbox for modeling:

  • Instantaneous trading costs
  • Single-order market impact costs
  • Market impact cost curves by security or portfolio
  • Price appreciation costs
  • Timing risk costs
  • Liquidation costs

Once you have estimated trading costs across securities or portfolios, you can optimize and perform sensitivity analysis on a variety of trade execution strategies.

Posttrade analysis enables you to identify how a trade execution strategy is performing and attribute trading costs from various sources, including monitoring broker performance. Supported posttrade metrics include:

  • Implementation shortfall
  • Alpha capture
  • Benchmark costs
  • Broker value-add
  • Z-Score
example view into the trading and liquidation costs, volatility, and order size of the stocks in a sample portfolio consisting of 100 stocks
Plots of the trading and liquidation costs, volatility, and order size of the stocks in a sample portfolio consisting of 100 stocks.

Order Execution Management with Bloomberg EMSX

Trading Toolbox supports the Bloomberg Desktop API. If you have a Bloomberg EMSX license, you can use the toolbox to:

  • Connect to Bloomberg EMSX test and production servers
  • Subscribe to orders and routes and perform event-driven analyses
  • Define order types and execution instructions
  • Manage routing and order strategies
  • Track order execution

To retrieve real-time and event-based tradable instrument data from Bloomberg, you can use functions in Datafeed Toolbox™.

Execution Routing and Management

Trading Toolbox lets you track execution management of orders and routes, enabling you to access liquidity across execution venues and control the execution of your portfolio strategies from within MATLAB®. You can set up order and routing subscriptions, create request structures, modify and delete routes, attach route strategies, and track the status of different routes.

Order Management

Using Trading Toolbox from within MATLAB, you can:

  • Create, modify, and delete orders
  • Attach event notifiers for further tracking of routed orders
  • Specify order strategy structures
  • Request broker information and order information from Bloomberg EMSX

In combination with Financial Toolbox™, Statistics and Machine Learning Toolbox™, and MATLAB Report Generator™, you can create custom real-time pretrade and posttrade analysis and generate reports.

Bloomberg EMSX order blotter, showing the status of two orders.
Bloomberg EMSX order blotter, showing the status of two equity trading orders. The first order is partially filled and the second order has just been submitted.

Instrument Pricing and Order Management with Trading Technologies X_TRADER

Trading Toolbox supports the Trading Technologies X_TRADER API. If you have an X_TRADER license, you can use the toolbox to:

  • Access event-based real-time tradable instrument data
  • Track changes in Level II market information
  • Submit orders and track execution by the order server

Integrating Streaming Market Data

The toolbox lets you define event notifiers and callback functions to handle streaming updates of financial instrument data, such as the last traded price and quantity, from within MATLAB. Doing so enables the development and testing of trading strategies and algorithms that react to market changes in real time. You can analyze market microstructure information such as Level II order book data to enhance execution algorithms.

Level II order book data tracking.
Level II order book data tracking.

Order Execution and Tracking

Using the toolbox with the X_TRADER API, you can:

  • Submit orders for execution at different market venues
  • Combine orders into sets
  • Create event notifiers to track the execution of the order set
  • Receive order-fill information in real time
  • Check that orders do not violate self-imposed position limits
  • Define market and limit orders
  • Set stop-order restrictions

To further customize trade instructions, you can add Good-Til-Cancelled or Good-Til-Day orders.

Trading and Order Management with Interactive Brokers TWS

Trading Toolbox supports the Interactive Brokers TWS API. If you have an Interactive Brokers account, you can use the toolbox to:

  • Access historical, real-time, event-based, and streaming market price data
  • Create and submit custom trade orders for execution
  • Track order execution across multiple venues accessible via the TWS API

Integrating Real-Time and Historical Market Data

The toolbox lets you integrate real-time, intraday, and historical instrument prices and quotes into your analytics workflow from within MATLAB. This approach enables you to develop trading strategies that can respond to market events and adapt their executions accordingly. You can develop trading systems that analyze streaming market microstructure information from multiple venues and optimize their trade executions accordingly.

Trading and Order Management

Using the toolbox with the TWS API, you can:

  • Create custom trade orders, specifying the action, quantity of the underlying instrument, and type of order
  • Invoke orders and execution algorithms provided by Interactive Brokers through the COM interface to improve obtained price, increase execution speed, reduce information leakage, or meet other constraints
  • Track order execution and order fill information
Example Interactive Brokers order blotter with sample National Best Bid Offer information.
Example Interactive Brokers order blotter with sample National Best Bid and Offer (NBBO) information.

Trading and Order Management with CQG

Trading Toolbox supports the CQG API. If you have a CQG license, you can use the toolbox to:

  • Subscribe to CQG instruments to retrieve intraday, historical, and real-time data
  • Create and submit market, limit, stop, and stop limit orders for execution
  • Track order execution for multiple strategies

Integrating Real-Time and Historical Market Data

The toolbox lets you integrate real-time, intraday, and historical instrument prices and quotes into your analytics workflow from within MATLAB. You can retrieve market information filtered in multiple formats, such as constant volume bars and point and figure bars, and you can also access data based on custom studies and formulas that have been predefined for your account. This data integration enables you to create flexible algorithmic trading strategies that rapidly adapt to changing market conditions.

Trading and Order Management

Using the toolbox with the CQG API, you can:

  • Create custom orders for execution
  • Subscribe to CQG instruments and track them with event handlers
  • Track order execution and order fill information
Trading workflow based on CQG API.
Trading workflow based on CQG API.

Commodities Trading with MATLAB

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