Algorithmic Trading: How to access real money and make real transactions

Hello,

Lately I've been doing a lot of research on high frequency algo trading, and I think I'm ready to start putting some actual (although not much) money into this. These are my problems:

1. Giving the software access to real money from a bank account

2. Giving the software the ability to buy and sell

3. Acquiring real time high-frequency data (I've been using theoretical data)

If I decided to trade at a lower frequency, I would be able to do the actual buying and selling myself, with predictions from my software, but that can't really be done here. I'm certain this is something people use MATLAB for, but I can't seem to find useful information on actually making transactions.

Thanks,

Jordan

[Sean de Wolski]

Shot in the dark, this is not my specialty at all; could you have MATLAB just operate an Etrade account?

urlwrite/urlread?

[Jordan]

That was my initial thought also Sean. Etrade doesn't seem to have that kind of functionality though. URL read/write ran across my mind too, but I feel like it would be slow and unreliable.

Every time I try to research this, I end up only finding information on trading techniques. It distracts me for a while but ultimately leaves me pretty frustrated!

[Sean de Wolski]

http://blog.programmableweb.com/2010/08/09/etrade-launches-stock-trading-api/

may be a good reference

[Oleg Komarov]

I don't think high frequency trading could be done in matlab. The algo traders that came to present at our university were talking about millisecond strategies and the only trading in matlab webinar I have seen tested a strategy in more than 30 seconds.

I haven't seen yet examples of actual transaction code with matlab.

Answer 1

[Walter Roberson]

16. LIMITATION OF LIABILITY.  The Programs should not be relied on as the
  sole basis to solve a problem or implement a design whose incorrect
  solution or implementation could result in injury to person or property.
  If a Program is employed in such a manner, it is at the Licensee's own
  risk and MathWorks and its Licensors explicitly disclaim all liability
  for such misuse to the extent allowed by law.

Answer 2

[Justin Lane]

I can tell you now, that if you're going to attempt to do HFT with matlab, it is highly likely you'll be burnt. The other entities in the HFT space are directly parked near the servers and have access to information quicker than you. Just in terms of looking at it in information processing, it caused me to shy away from HFT in Matlab. Not to say it isn't good for other things ;)

Answer 3

[Jan]

Are you convinced, that you want to do this?

High frequency algo trading does not produce anything useful. All you can earn must be lost by somebody else. The market is dominated by large banks, which give high ratings to stocks, they want to sell, while they bet for a drop in prices.

However, if you dare to invest money in gambling, your local bank counselor will know more.

[Oleg Komarov]

Reallocation of resources could be useful.

[Jan]

Reallocation of resources with millisecond frequency? I simply use another definition of "useful". I'm going to discuss the details in a food, peace and freedom forum. Sorry for this off-topic answer.

[Oleg Komarov]

@ Jan: it doesn't matter if you lose money in an instant, in a trading session or in a month. If I am able to forecast where the price will be it's better that I detain the ownerwhip because I will be able (in probabilistic temrs) to invest it in profitable companies and short the loosers, thus creating incentives and penalties.

At least, this is how it should be. Come to the dark side Jan, cooooooomee.

Answer 4

[Jordan]

So it turns out that both TD Ameritrade and Etrade have xml based APIs. Does anyone have any experience with this sort of thing?