RT- It sounds like you have a lot of experience in working with Matlab. Hopefully you would be interested in participating in the group, as I am sure there will be others (myself included) that could learn a lot from you. Regards, Eric
Eric, I've used MatLab in my engineering modeling and analysis classes. Haven't really tried to use it to model trades. What is your trading strategy? Count me in, I can get my ex-classmates to participate/assist as well as professors that have extensive knowledge with this tool from Univ of California. Thanks, Kevin
I'm interested in joining. I'm using matlab all the time at work and at home i'm using matlab to try to find a strategy for trading futureCAC40. Thank you by advance
Looks like there is some interest in getting a group set up so thats a good thing.... I am going to be on vacation for a week and will be unavailable but as of right now my plan is this: Get a website set up to allow members to: 1) Interact with one another in a forum or similar format 2) Setup a file share system where users can post files, utilities, code samples, screencasts etc. This would be organized with the goal of keeping it clean & concise for the users of various interests (commodities, stocks, options, fx) and experience levels 3) Setup a newsletter or similar concept to keep people informed of new items. 4) Other things I can't think of at the moment. Also, I intend on using one of the Open Source Content Management Systems (i.e Joomla) to set it up and maintain the site with minimal effort. Feel free to post ideas/suggestions etc. for this site in this thread or via PM. Regards, Eric
I agree. There is a Matlab webinar online that covers this in some level. It is something that I would definitely like to include as a topic of discussion within the group. Thanks for the input, Eric
I've been browsing through max's method of connecting to TWS via ActiveX. Seems to be much cleaner than using a java or C++ socket. I think the first challenge is creating OHLC bars from raw data. For the case of time-based bars bars: What has to happen is the reqCurrenttime has to be repeated polled to retrieve the server's time, and strobe when a user's time period has elapsed. For example, if using 5-minute bars, a strobe variable (i.e. a counter) will increment when we cross, for example, 9:34 to 9:35. At this point the OHLC values are pushed back onto a vector. How to get the OHLC values? O and C are easy to get, just the open of the current time period and the close as well. H and L? to get these, during the time interval, each change in price has to be measured by using reqMktData in an iterative fashion. If the measured H is greater than existing H, then H is the new H. Vice versa for L value. The challenge here is, how do we employ reqCurrentTime and reqMktData to respond to changes in time in price? In other words, how do we poll the time and price values (i.e., every 100ms), and stay synchronized with time and tick movements? rt