Matlab FIX Protocol (QuickFIX) Trading API

Create a simple FIX Protocol / Matlab Trading API for trading FOREX from Matlab with the following characteristics:

• As I have it set up, Java using QuickFix/J is prefered. Java presents a better integration with Matlab. Matlab functions will be required as well from the Matlab side. I have at this point set up callable QuickFIX Java lib using matlab.

• FIX version 4.3 (code is usually anyway the same for other versions, quickfix library takes care of it).


• Two sessions are required – a quotes session and a trade session for placing trades

• Matlab function to subscribe to streaming quotes. Quotes should be pushed to Matlab and captured with appropriate event handlers

from Matlab. The following link explains and supplies an example of how to push exceptions from java and capture them from Matlab.

• Basic Quickfix methods should be callable from Matlab.

• A Matlab function for sending market orders is required and if trade is rejected due to eg. price change, the price is updated and sent again until the trade is accepted.

• Matlab should have functions for sending and receiving FIX messages. For sending them tags and values will be set up in any way and a send message function should be called. Same for reading them once an event (incoming message) has been triggered.

• No major business logic is required as it will be coded afterwards in Matlab.

Since some developers may not be familiar with Matlab and/or QuickFix some tutorials and code is supplied in the following links:

Useful Links:

Quickfix Library sources, manauals and tutorials:

[url removed, login to view]

How to perform Matlab callbacks for Java:

[url removed, login to view]

Fix Java tutorial with sample code (you may re-cycle this code)

[url removed, login to view]

[url removed, login to view]

[url removed, login to view]

How to call external libraries from Matlab (C++, Java, .Net, etc):

[url removed, login to view]

Matlab webinar and code which explains how to call QuickFix/J library methods from Matlab:

[url removed, login to view]

In addition to this the QuickFix required configuration settings file, a working C# code which does almost everything required and a demo account for testing will be given to you.

FIX Protocol:

Fix message parser:

[url removed, login to view]

Fix dictionary:

[url removed, login to view]

Habilidades: Java, Matlab and Mathematica

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( 1 comentário ) Gothenburg, Sweden

ID do Projeto: #6791625

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