Comments on: Real-time trading system demo

By: Yair Altman

Yair Altman — Fri, 08 Feb 2019 14:22:20 +0000

For all those who are interested, I have updated the files and they are now compatible with all Matlab releases up to the latest (currently R2019a):
http://undocumentedmatlab.com/files/Matlab-trading-demo.zip

By: Yair Altman

Yair Altman — Thu, 24 Aug 2017 07:25:39 +0000

In reply to Mike.

Mike – My program works with IB-Matlab, which is a connector between Matlab and Interactive Brokers. It does not work with Excel RTD but connects directly to IB via their TWS API.
You can read more information on IB-Matlab and also request a trial here: http://undocumentedmatlab.com/ib-matlab

By: Mike

Mike — Wed, 23 Aug 2017 21:32:15 +0000

Does your program work with excel rtd as a realtime data source? Where can I see the program running live?

Thanks

By: Leonel

Leonel — Tue, 18 Jul 2017 19:13:23 +0000

Hi Yair,
Could you please contact me, I have a question regarding a similar application

Regards

Leonel

By: Yair Altman

Yair Altman — Thu, 30 Apr 2015 12:22:43 +0000

In reply to Marco Ruijken.

@Marco – the demo works with R2013a and R2013b.
Matlab R2014a made some internal changes that cause errors, and I have not taken the time to update the demo to that version. after all, the demo was developed for the conferences in 2013…

By: Marco Ruijken

Marco Ruijken — Thu, 30 Apr 2015 10:48:39 +0000

Hi Yair,

downloaded your tradingdemo app, but get errors in Matlab R2014A. Is there a newer version, or should it run with a different Matlab version only?

Thanks
Marco

By: Yair Altman

Yair Altman — Wed, 04 Sep 2013 14:45:18 +0000

In reply to Kenan.

@Kenan – indeed, the Java API (which is used by IB-Matlab) has many advantages over the ActiveX API (which is used by MathWorks’ Trading Toolbox). One of the fortunate results of using Java is that IB-Matlab can run on all platforms that run Matlab (Windows, Mac, Linux), since all these platforms have both Java and an IB TWS client. The Java API is also much faster and more reliable (the ActiveX connector is reported to be dropping IB events every now and then).

Regarding streaming-quote latency, this depends on the security volatility, number of monitored securities, network bandwidth, computer hardware, other running processes on the computer and a wide range of other aspects that can affect performance. On a standard Lenovo Thinkpad E530 laptop running Matlab R2013a on Win7, I reached streaming quote latency as low as 1-2 mSec (i.e., hundreds of IB events per second). Naturally, YMMV.

By: Kenan

Kenan — Sat, 31 Aug 2013 16:59:54 +0000

I have tried the Activex route before purchasing the product. There is one major fundamental flaw when it comes to using ActiveX with Matlab. Say,you are running an algorithm and you are processing a function, and at the same time TWS fires an Event. If you use ActiveX, MATLAB will NOT update the price until the processing of your function has completed. So several events will be missed and the price you would be looking would be a different one. Whereas in JAVA , there is no such problem. As any event fired will be immediately captured by java which is running in background. So when you call getLastPrice, you will get the correct price. Another flaw is obviously the fact that you can use ActiveX ONLY with WINDOWS. Whereas with JAVA you can use it with windows, Mac, Linux etc.

It is NOT a good idea to stream in Live Trades data as it comes in into MATLAB. Imagine, you have 100 symbols, which updates every say 200 msec, so you have a trade happening so quickly and being captured and stored into Matlab. Due to MATLAB’s single-threaded issue, some Trades ticks will be missed and also will eat up your memory. So all that you will be able to do is just to stream in data and not do anything else.