Trading Toolbox

 

Trading Toolbox

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

Plots of the trading and liquidation costs, volatility, and order size of the stocks in a sample portfolio of 100 stocks.

Cost curves for various percentage of volume (POV) levels.

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
  • Z-score

Plot showing average value add by broker.

Supported Trading Systems

Work with global and local trading systems around the world.

Bloomberg EMSX

  • 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™.

Bloomberg EMSX order blotter, showing the status of two equity trading orders.

CQG

With your CQG® license, you can connect to CQG to retrieve market data, perform trade execution, and track executed orders for multiple strategies.

Trading workflow based on the CQG API.

FIX Flyer Engine

Access FIX-compliant trading systems using the FIX Flyer™ Engine.

Converting FIX messages in a table to raw FIX messages in a cell array.

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.

Example Interactive Brokers order blotter with sample National Best Bid and Offer (NBBO) information.

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

Level II order book data tracking from X_TRADER.

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.

Workflow for data retrieval and order management based on Wind Data Feed Services.

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.

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