dear fellow-traders, I have not yet settled on a platform to use. The reason is simple: most systems offer more or less the same functionality but none has any advanced signal filtering/statistics capabilities. I thought of using matlab but it seems it is all built around EOD data. Anyone has experience with any modular packages where I can call matlab routines etc? Yes I could code all the math from scratch, but is not very efficient when all I have to do is type one function, say in matlab or C. the other way to go is built from scratch in matlab (more time) or C (a lot more time). cheers
From what I understand, MatLab is the quant language of choice for statistical analysis and financial engineering.
There is a Matlab plugin that allows you to get RTD through Interactive Brokers API using straight sockets, or maybe ActiveX, I forget... nitro
There are some example on IB API's Yahoo group that you can communicate real time with IB from Matlab using IB's ActiveX control. The groups name is http://finance.groups.yahoo.com/group/TWSAPI/ There are more examples on IB's own bulletin board, just search 'Matlab'. Also http://www.exchangeapi.com/ provides an API for this function, which they claim to be superior than the native ActiveX control.