After reading Ernie Chan's "Quantitative Trading" I became interested in MatLab as a way to develop new trading systems to diversify my trading approaches. Today I have a java application that reads in InteractiveBroker statements and does simple MonteCarlo tests. I would like to move all of these simple risk measurement functions to MatLab. Priced at $1000 MatLab seemed to need more consideration. An open source alternative called Octave looked like it would do everything I want and cost nothing. The Octave developers have worked to make Octave completely equilivent to MatLab. It seems, from reading forum posts, that Octave is almost compatible and that most script files developed in MatLab will run on Octave. But, not all Octave scripts will run on MatLab because Octave has many additional commands that do not exist in MatLab. Octave has also been reported to be much slower than MatLab, for me this is not important. I will use Ubuntu as all new software development is free of anything related to Microsoft. This is mostly because of an intense dislike for Windows anything. The decision is made easier as Ubuntu runs my InteractiveBroker and custom trading apps with no problem. Step 1: I downloaded "Octave", "gnuplot" and 'QtOctave' using the Ubuntu Package Manager and had them running within minutes without a single configuration change. Very nice. Step 2: Study - I ordered 'MatLab Dymistified' from Amazon (because it was the cheapest MatLab book...). Then discovered the very complete Octave tutorial at: http://wiki.aims.ac.za/mediawiki/index.php/Octave:Getting_started Save yourself some money - the free tutorial is better than the book.... Step 3: Next is to run many of the public scripts on Octave continue to learn... If you have experience with MatLab: What other resources have you found helpful when using MatLab for developing trading software? How are you using MatLab in your trading? Risk management? Automated Trading? Good trading
You may want to check out scilab, numpy/scipy as well as those are all similar products to matlab & are free. I personally use matlab for strategy development & testing. I am beginning to use it to manage multiple trading systems & risk analysis. I would like to use it for a lot more my trading related tasks. I like the fact that for most of the things I need to do, I can find some code samples somewhere on the web to use to get started. I think if I were to switch to an open source platform it would be the numpy/scipy mix as it appears to have the largest user community. Eric
Good Questions You should check out - tradingwithmatlab.com It is possible to implement an automated trading system for free using matlab and interactive broker's trader work station API. One problem you may run into is getting the data you want if you need a specific type of data to be streamed in or data the be streamed in a specific way.