Matlab FIX Protocol Trading API

Create a simple FIX Protocol / Matlab Trading API for trading Brazilian Assets from Matlab with the following characteristics: • Can be either programmed in C++ or C# using QuickFix or QuickFix/J respectively. Matlab functions will be required as well from the Matlab side. • FIX version 4.4 (code is usually anyway the same for other versions, quickfix library takes care of it). Requirements: • 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 such as: onCreate, onLogon, onLogout, toAdmin, toApp, fromAdmin, fromApp, newOrderSingle, etc • A Matlab function for sending market orders is required • Matlab should have functions for sending and receiving FIX messages (both Administrative layer and Business 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, the extremely simple C# working code given as a sample does almost everything that is required. 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: [login to view URL] [login to view URL] How to perform Matlab callbacks for Java: [login to view URL] Fix Java tutorial with sample code (you may re-cycle this code) [login to view URL] [login to view URL] [login to view URL] How to call external libraries from Matlab (C++, Java, .Net, etc): [login to view URL] Matlab webinar and code which explains how to call QuickFix/J library methods from Matlab: [login to view URL] 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: [login to view URL] Fix dictionary: [login to view URL]