Matlab with TWS interative brokers

Does anyone of you know where i could find a program or instructions that will allow matlab to communicate w/ matlab

 

you can buy it from here:

http://www.exchangeapi.com/

 

This looks interesting, but it seems all they have done is accessed the IB java API using java calls from within Matlab.

My primary concern is that this software does not organize the tape into OHLC bars. In other words, from the stream of market data coming through IB's API, how does the user code a matlab platform to organize the data into minute bars, tick bars, volume bars, constant range bars, etc.?

Only once this has been implemented can an automated strategy be designed as a .m script in matlab.

RoughTrader

 

Yes, It is all done:

Here is the example:

http://home.uchicago.edu/~sbatthal/My_Trading_System.htm

 

Great thread...I never thought of posting here for MATLAB questions...thanks for the api info. Do you have any experience hooking matlab up to yahoo finance, or using the financial toolbox? It seems like a major step up compared to using tradestation, hence why I've been spending time using matlab.

thanks

 

mbatrader,

your website does not post any code or examples on how to overcome the requirement I have described for automating strategies through the API. Do you have any code that performs what I'm describing?

Thanks,

RoughTrader

 

write ur mechanisim in Excel...VBA...save it as an add-in

 

RoughTrader:

PM me to get a sample code. I dont want to post it in public forum or on my website.

Thanks

 

Yes, I do. But yahoo finance is only good for end of the day quotes. Ofcourse, you can also use it o get historical data. You can either use financial toolbox or you can code it yourself. It is NOT difficult to get data directly from yahoo finance.

You can search for the code in the matlab central file exchange website.

 

My experience with Matlab would indicate that it is too slow for use in a automated trading system. Is there anything you're doing to address the speed issue?

Richard