MATLAB Trading Toolbox™ User's Guide

Description

Getting Started Trading Toolbox Product Description Key Features Installation Bloomberg CQG FIX Flyer Interactive Brokers Trading Technologies Trading System Providers Supported Providers Connection Requirements Platform Requirements Create an Order Using IB Trader Workstation Create an Order Using CQG Create an Order Using Bloomberg EMSX Create an Order Using X_TRADER Create an Order Using FIX Flyer Writing and Running Custom Event Handler Functions with Bloomberg EMSX Write a Custom Event Handler Function Run a Custom Event Handler Function Workflow for Custom Event Handler Function Writing and Running Custom Event Handler Functions with Interactive Brokers Write a Custom Event Handler Function Run a Custom Event Handler Function Workflow for Custom Event Handler Function Workflow Models Workflow for Bloomberg EMSX Workflows for Trading Technologies X_TRADER Workflow for Interactive Brokers Request Interactive Brokers Market Data Create Interactive Brokers Orders Request Interactive Brokers Informational Data Workflow for CQG Transaction Cost Analysis Analyze Trading Execution Results Post-Trade Analysis Metrics Definitions Implementation Shortfall Alpha Capture Benchmark Costs Broker Value Add Z-Score Kissell Research Group Data Sets Basket Variables BrokerNames Variables TradeData Variables TradeDataCurrent and TradeDataHistorical Variables PortfolioData Variables PostTradeData Variables TradeDataBackTest Variables TradeDataStressTest Variables TradeDataPortOpt Variables TradeDataTradeOpt Variables CovarianceData Table CovarianceTradeOpt Table Conduct Sensitivity Analysis to Estimate Trading Costs Estimate Portfolio Liquidation Costs Optimize Percentage of Volume Trading Strategy Optimize Trade Time Trading Strategy Optimize Trade Schedule Trading Strategy Estimate Trading Costs for Collection of Stocks Conduct Back Test on Portfolio Conduct Stress Test on Portfolio Liquidate Dollar Value from Portfolio Optimize Long Portfolio Determine Buy-Sell Imbalance Using Cost Index Rank Broker Performance Optimize Trade Schedule Trading Strategy for Basket Create Basket Summary and Efficient Trading Frontier Sample Code for Workflows Listen for X_TRADER Price Updates Listen for X_TRADER Price Market Depth Updates Submit X_TRADER Orders Create and Manage a Bloomberg EMSX Order Create and Manage a Bloomberg EMSX Route Manage a Bloomberg EMSX Order and Route Create and Manage an Interactive Brokers Order Request Interactive Brokers Historical Data Request Interactive Brokers Real-Time Data Create Interactive Brokers Combination Order Create CQG Orders Request CQG Historical Data Request CQG Intraday Tick Data Request CQG Real-Time Data WDS Topics Decide to Buy Shares Using Current and Historical WDS Data Create Order Using Real-Time Snapshot WDS Data Functions emsx close createOrder createOrderAndRoute createOrderAndRouteWithStrat deleteOrder deleteRoute getAllFieldMetaData getBrokerInfo modifyOrder modifyRoute modifyRouteWithStrat orders emsxOrderBlotter processEvent routeOrder groupRouteOrderWithStrat routeOrderWithStrat routes createBasket groupRouteOrder manualFill xtrdr close createInstrument createNotifier createOrderProfile createOrderSet getData cqg close createOrder history realtime shutDown startUp timeseries ibtws close createOrder getdata history timeseries accounts contractdetails executions marketdepth orderid orders portfolio realtime fixflyer addListener sendMessage orderInfo close fix2struct fix2table struct2fix table2fix krg costCurves iStar liquidityFactor marketImpact portfolioCostCurves priceAppreciation timingRisk wind close createorder deleteorder getdata history query realtime stop timeseries tradelogin tradelogout