Access prices, analyze transaction costs, and send orders to trading systems
Trading Toolbox™ provides functions for analyzing transaction costs, accessing trade and quote pricing data, defining order types, and sending orders to financial trading markets. The toolbox lets you integrate streaming and event-based data into MATLAB®, enabling you to develop financial trading strategies and algorithms that analyze and react to the market in real time. You can build algorithmic or automated trading strategies that work across multiple asset classes, instrument types, and trading markets while integrating with industry-standard or proprietary trade execution platforms.
With Trading Toolbox, you can analyze and estimate transaction costs before placing an order, as well as attribute costs post-trade. You can analyze transaction costs associated with market impact, timing, liquidity, and price appreciation, and use cost curves to minimize transaction costs for single assets or for a portfolio of assets.
Trading Toolbox lets you access real-time streams of tradable instrument data, including quotes, volumes, trades, market depth, and instrument metadata. You can define order types and specify order routing and filling procedures.
Transaction Cost Analysis
Estimate and analyze transaction costs using Kissell Research Group (KRG) data and models.
Model Transaction Costs
Use Trading Toolbox to model and estimate:
- Instantaneous trading costs
- Single-order market impact costs
- Market impact cost curves by security or portfolio
- Price appreciation costs
- Timing risk costs
- Liquidation costs
Optimize Trade Execution
Optimize and perform sensitivity analysis on your trade execution strategies.
Perform Post-Trade Analysis
Evaluate the performance of trade execution strategies and attribute trading costs. Supported post-trade metrics include:
- Implementation shortfall
- Alpha capture
- Benchmark costs
- Broker value add
Supported Trading Systems
Work with global and local trading systems around the world.
- With your Bloomberg® EMSX license, you can connect to Bloomberg EMSX test and production servers to perform execution routing and management and order management.
- Retrieve real-time and event-based tradable instrument data from Bloomberg with functions in Datafeed Toolbox™.
With your CQG® license, you can connect to CQG to retrieve market data, perform trade execution, and track executed orders for multiple strategies.
FIX Flyer Engine
Access FIX-compliant trading systems using the FIX Flyer™ Engine.
IB Trader Workstation (TWS)
With your Interactive Broker account, you can use the toolbox to retrieve market data, perform trade execution, and track executed orders through IB Trader Workstationsm.
Trading Technologies® X_TRADER
With your X_TRADER® license, you can use Trading Toolbox to:
- Retrieve event-based real-time tradable instrument data
- Track changes in Level II market information
- Submit orders and track execution
Wind Data Feed Services
With your access to Wind Data Feed Services or Wind Financial Terminal, you can use the toolbox to retrieve market data, perform trade execution, and track executed orders.
Computational Finance Suite
The MATLAB Computational Finance Suite is a set of 12 essential products that enables you to develop quantitative applications for risk management, investment management, econometrics, pricing and valuation, insurance, and algorithmic trading.
Connect to remote Bloomberg EMSX Server, and create a basket, route a group, and manually fill orders