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London area, United Kingdom
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Project Proposal: Autotrading platform in Matlab
Purpose: create a suite of Matlab routines for
(1) testing of systematic trading strategies,
(2) live trading.
The testing and live systems consist of the same core components. The key difference between testing and live is the data source (data files vs. live data feed respectively).
Programming environment: Matlab
Trading interface: InteractiveBrokers
Tradable instruments: spot foreign exchange, including
AUDUSD, EURUSD, EURGBP, EURSEK, EURJPY, GBPUSD, USDCHF, USDJPY etc.
Historical data: 5 years of data, source e.g. Dukascopy. File format is flexible.
• Portfolio manager - "what to trade"
• Entry manager - "when to enter a trade"
• Exit manager - "when to exit a trade"
• Risk manager - "whether to trade"
• Money manager - "how much capital to allocate to a trade" (position sizing)
Please refer to TradingBlox software to understand and replicate its "building blocks" logic.
Order types: market order, limit or...
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