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:
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:
Trading Toolbox supports the Bloomberg Desktop API. If you have a Bloomberg EMSX license, you can use the toolbox to:
To retrieve real-time and event-based tradable instrument data from Bloomberg, you can use functions in Datafeed Toolbox™.
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.
Using Trading Toolbox from within MATLAB, you can:
Trading Toolbox supports the Trading Technologies X_TRADER API. If you have an X_TRADER license, you can use the toolbox to:
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.
Using the toolbox with the X_TRADER API, you can:
To further customize trade instructions, you can add Good-Til-Cancelled or Good-Til-Day orders.
Trading Toolbox supports the Interactive Brokers TWS API. If you have an Interactive Brokers account, you can use the toolbox to:
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.
Using the toolbox with the TWS API, you can:
Trading Toolbox supports the CQG API. If you have a CQG license, you can use the toolbox to:
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.
Using the toolbox with the CQG API, you can: