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Trading Toolbox Functions

Alphabetical List By Category

Transaction Cost Analysis

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 portfolio
priceAppreciation Estimate trading cost due to natural price movement
timingRisk Estimate uncertainty of market-impact cost


emsx Create Bloomberg EMSX connection
orders Obtain Bloomberg EMSX order subscription
routes Obtain Bloomberg EMSX route subscription
close Close Bloomberg EMSX connection
createOrder Create Bloomberg EMSX order
routeOrder Route Bloomberg EMSX order
routeOrderWithStrat Route Bloomberg EMSX order with strategies
groupRouteOrderWithStrat Route multiple Bloomberg EMSX orders with strategies
createOrderAndRoute Create and route Bloomberg EMSX order
createOrderAndRouteWithStrat Create and route Bloomberg EMSX order with strategies
modifyOrder Modify Bloomberg EMSX order
modifyRoute Modify Bloomberg EMSX route
modifyRouteWithStrat Modify route with strategies for Bloomberg EMSX
deleteOrder Delete Bloomberg EMSX order
deleteRoute Delete Bloomberg EMSX active shares
processEvent Sample Bloomberg EMSX event handler
emsxOrderBlotter Bloomberg EMSX example order blotter
getBrokerInfo Obtain Bloomberg EMSX broker and strategy information
getAllFieldMetaData Obtain Bloomberg EMSX field information


cqg Create CQG connection object
startUp Create CQG connection
createOrder Create CQG order
history Request CQG historical data
realtime Subscribe to CQG instrument
timeseries Request CQG intraday tick data
shutDown Close CQG connection
close Close CQG connection

FIX Flyer

struct2fix Convert structure array containing FIX tags to cell array of FIX messages
table2fix Convert table containing FIX tags to cell array of FIX messages
fixflyer FIX Flyer connection
addListener Add event handling listener to FIX Flyer connection
sendMessage Send FIX message to FIX Flyer Engine
orderInfo Retrieve FIX Flyer order status and information
close Close FIX Flyer connection
fix2struct Convert FIX message to structure array
fix2table Convert FIX message to table

Interactive Brokers

ibtws Create IB Trader Workstation connection
getdata Request current Interactive Brokers data
history Request Interactive Brokers historical data
marketdepth Request Interactive Brokers market depth data
realtime Request Interactive Brokers real-time data
timeseries Request Interactive Brokers aggregated intraday data
close Close IB Trader Workstation connection
executions Request Interactive Brokers execution data
createOrder Create IB Trader Workstation order
orderid Obtain next valid order identification number
orders Request Interactive Brokers open order data
accounts Retrieve Interactive Brokers account information
contractdetails Request Interactive Brokers contract details
portfolio Retrieve current Interactive Brokers portfolio data

Trading Technologies

xtrdr Create X_TRADER connection
createNotifier Create instrument notifier for X_TRADER
createInstrument Create instrument for X_TRADER
createOrderSet Create order set for X_TRADER
createOrderProfile Create order profile for X_TRADER
getData Obtain current X_TRADER data
close Close X_TRADER connection
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