Tutorial Connect the RIT and MATLAB

Transcription

1 Tutorial Connect the RIT and MATLAB This tutorial is organized in two sections: - Streaming Data from Rotman Interactive Trader to MATLAB - Trading with Rotman Interactive Trader Streaming Data from Rotman Interactive Trader to MATLAB This example shows how to use the rotmantrader functions to connect to and trade through Rotman Interactive Trader (RIT). RIT must be installed on your computer along with the Excel RTD Links. The Matlab version (32bit vs 64bit) has to be the same as your Excel version (32bit vs 64bit). For more information visit Create a Connection First step is to create a connection to RIT. To do this, issue the rotmantrader command. rit = rotmantrader rit = rotmantrader with properties: updatefreq: 2 lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: Notice that the rit connection has properties listed. These default properties are always available and update with the frequency listed in the updatefreq property. The default value is 2 seconds. Also listed is the last update timestamp in lastupdate. To change the update frequency, set the property to a different value. For example, to change it to second: rit.updatefreq = The MathWorks, Inc and Rotman School of Management University of Toronto

2 rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} AllTickerInfo: {2x6 cell} pl: cash: Subscribing to RIT Data Data is retrieved from RIT using the same server that is used for Microsoft Excel. In RIT, you can click on the RTD link in the bottom right corner. It will bring up this image with available data fields The MathWorks, Inc and Rotman School of Management University of Toronto 2

3 In Excel, you use the RTD function to return data. In MATLAB, you use the subscribe command to enter the field information for the data you wish to subscribe to. This will add the data to the rit variable we created earlier. To get the last traded price we need to enter two fields, the ticker symbol and the LAST string separated by a. For example, to subscribe to security BEAV and add the LAST price to our connection to RIT (the rit variable defined earlier), type subscribe(rit,'beav LAST') rit rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_last: 9.63 You can see that RIT now has a new property of beav_last that will update with last traded prices. Subscriptions added will show up as additional properties. To return the data, simply type rit.beav_last ans = 9.63 Note that when subscribe is called, data is updated from RIT. You can also force an update by issuing update update(rit) rit The MathWorks, Inc and Rotman School of Management University of Toronto 3

4 ans = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_last: 9.63 We could also add the bid and ask as well. Note the need to separate the list of two subscriptions by ";" is required. subscribe(rit,{'beav BID';'BEAV ASK'}) rit rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' The MathWorks, Inc and Rotman School of Management University of Toronto 4

5 allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_bid: 9.63 beav_last: 9.63 beav_ask: 9.64 Working with Streaming Data To work with streaming data, you add a function that is called each time data is updated. To do this, let's first create a function that will display the last price for BEAV. fcn disp(['beav Last Traded at $',num2str(input.beav_last,'%4.2f')]) fcn Last Traded at $',num2str(input.beav_last,'%4.2f')]) What we created here was a function that will print to the command window the last traded price for BEAV every time an update is called for rotmantrader (every second in this case). The input in this case is the rotmantrader variable. For example, test the function: fcn(rit) BEAV Last Traded at $9.63 Now add it to the list of updatefcns and it will be executed every time there is an update. addupdatefcn(rit,fcn) rit pause() rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::2' updatetimer: [x timer] updatefcns: {'@(input)disp(['beav Last Traded at $',num2str(i...'} The MathWorks, Inc and Rotman School of Management University of Toronto 5

6 tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_bid: 9.63 beav_last: 9.63 beav_ask: 9.64 BEAV Last Traded at $9.63 BEAV Last Traded at $9.63 BEAV Last Traded at $9.63 BEAV Last Traded at $9.62 BEAV Last Traded at $9.62 BEAV Last Traded at $9.6 BEAV Last Traded at $9.6 BEAV Last Traded at $9.6 BEAV Last Traded at $9.6 BEAV Last Traded at $9.6 Add another function for bids and asks askfcn disp(['beav ASK Price is $',num2str(input.beav_ask,'%4.2f')]) addupdatefcn(rit,askfcn) bidfcn disp(['beav BID Price is $',num2str(input.beav_bid,'%4.2f')]) addupdatefcn(rit,bidfcn) rit pause() askfcn ASK Price is $',num2str(input.beav_ask,'%4.2f')]) The MathWorks, Inc and Rotman School of Management University of Toronto 6

7 bidfcn BID Price is $',num2str(input.beav_bid,'%4.2f')]) askfcn ASK Price is $',num2str(input.beav_ask,'%4.2f')]) bidfcn BID Price is $',num2str(input.beav_bid,'%4.2f')]) rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::3' updatetimer: [x timer] updatefcns: {x3 cell} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 2 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_bid: 9.6 beav_last: 9.6 beav_ask: 9.64 BEAV BID Price is $9.6 BEAV ASK Price is $9.64 BEAV Last Traded at $9.65 BEAV BID Price is $9.6 BEAV ASK Price is $ The MathWorks, Inc and Rotman School of Management University of Toronto 7

8 BEAV Last Traded at $9.6 BEAV BID Price is $9.6 BEAV ASK Price is $9.64 BEAV Last Traded at $9.6 BEAV BID Price is $9.6 BEAV ASK Price is $9.6 BEAV Last Traded at $9.6 BEAV BID Price is $9.6 BEAV ASK Price is $9.64 BEAV Last Traded at $9.64 BEAV BID Price is $9.6 BEAV ASK Price is $9.63 BEAV Last Traded at $9.64 BEAV BID Price is $9.6 BEAV ASK Price is $9.63 BEAV Last Traded at $9.63 BEAV BID Price is $9.6 BEAV ASK Price is $9.63 BEAV Last Traded at $9.63 BEAV BID Price is $9.6 BEAV ASK Price is $9.63 BEAV Last Traded at $9.63 BEAV BID Price is $9.62 BEAV ASK Price is $9.65 BEAV Last Traded at $9.65 Note that updatefcns is a x3 cell array listing the functions that will be executed with each update. rit.updatefcns{:} ans ASK Price is $',num2str(input.beav_ask,'%4.2f')]) ans BID Price is $',num2str(input.beav_bid,'%4.2f')]) ans Last Traded at $',num2str(input.beav_last,'%4.2f')]) The MathWorks, Inc and Rotman School of Management University of Toronto 8

9 To stop the updates, simply remove the function from the list using the removeupdatefcn and pass in function name to remove. We'll remove the Ask price removeupdatefcn(rit,rit.updatefcns{}) rit pause() rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::4' updatetimer: [x timer] updatefcns: {x2 cell} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 9 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_bid: 9.62 beav_last: 9.65 beav_ask: 9.65 BEAV BID Price is $9.62 BEAV Last Traded at $9.65 BEAV BID Price is $9.62 BEAV Last Traded at $9.65 BEAV BID Price is $9.62 BEAV Last Traded at $9.65 BEAV BID Price is $9.62 BEAV Last Traded at $9.66 BEAV BID Price is $9.64 BEAV Last Traded at $9.66 BEAV BID Price is $9.64 BEAV Last Traded at $ The MathWorks, Inc and Rotman School of Management University of Toronto 9

10 BEAV BID Price is $9.64 BEAV Last Traded at $9.66 BEAV BID Price is $9.64 BEAV Last Traded at $9.66 BEAV BID Price is $9.64 BEAV Last Traded at $9.66 BEAV BID Price is $9.64 BEAV Last Traded at $9.66 Remove the bid and last functions rit.updatefcns{:} removeupdatefcn(rit,rit.updatefcns{2}) removeupdatefcn(rit,rit.updatefcns{}) rit pause() ans BID Price is $',num2str(input.beav_bid,'%4.2f')]) ans Last Traded at $',num2str(input.beav_last,'%4.2f')]) rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::5' updatetimer: [x timer] updatefcns: {x cell} tradername: 'Marco Salerno' traderid: 'marco' timeremaining: 8 period: yeartime: 56 timespeed: allassettickers: '' The MathWorks, Inc and Rotman School of Management University of Toronto

11 allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_bid: 9.64 beav_last: 9.66 beav_ask: 9.66 Unsubscribing To unsubscribe from a source of data, use unsubscribe. Note that if you have any update functions that are using this data, you need to remove them first. Unsubscribe from the bid price for BEAV. First, get the subscription list and IDs topics = getsubscriptions(rit) topics = ID Topic 'BEAV LAST' 2 'BEAV BID' 3 'BEAV ASK' Now use the topic ID to remove the subscription unsubscribe(rit,2) rit rit = rotmantrader with properties: updatefreq: lastupdate: '5 Jan 25 4::' updatetimer: [x timer] updatefcns: {x cell} tradername: 'Marco Salerno' traderid: 'marco' The MathWorks, Inc and Rotman School of Management University of Toronto

12 timeremaining: 7 period: yeartime: 56 timespeed: allassettickers: '' allassettickerinfo: '' alltickers: {'BEAV' 'COLD'} alltickerinfo: {2x6 cell} pl: cash: beav_last: 9.73 beav_ask: 9.73 The data is no longer retrieved and is removed from the RIT variable. Cleaning Up To properly clean up, you first need to delete the rotmantrader connection before clearing it from the workspace. This stops the updates and disconnects from Rotman Interactive Trader. delete(rit) clear rit We now no longer have a connection. If you cleared the rit variable before issuing delete, the update timer is still running in the background, and you may see errors/warnings. To stop it, issue the following command: delete(timerfind('name','rotmantrader')) The MathWorks, Inc and Rotman School of Management University of Toronto 2

13 Trading with Rotman Interactive Trader This example shows how to use the rotmantrader functions to connect to and trade through Rotman Interactive Trader (RIT). RIT must be installed on your computer along with the Excel RTD Links. For more information visit Create a Connection First create a connection to Rotman Interactive Trader and list the functions (methods) available. rit = rotmantrader; methods(rit) Call "methods('handle')" for methods of rotmantrader inherited from handle. To get more information on the functions, type help or doc followed by the name of the function. For example: help rotmantrader help rotmantrader/buy help sell % same as help rotmantrader/sell The MathWorks, Inc and Rotman School of Management University of Toronto 3

14 Submitting Market Orders Buy and sell market order for a single security. For both buy and sell functions, the returned value is the orderid: buyid = buy(rit,'cold',) sellid = sell(rit,'beav',5) buyid = sellid = The MathWorks, Inc and Rotman School of Management University of Toronto 4

15 2 Buy and sell market order for multiple securities at the same quantity: tickers = {'COLD','BEAV'}; qty = 2; buyid = buy(rit,tickers,qty) sellid = sell(rit,tickers,qty) buyid = 3 4 sellid = 5 6 Buy and sell market orders for multiple securities at different quantities: buyid = buy(rit,tickers,[3 4]) sellid = sell(rit,tickers, [5 6]) buyid = 7 8 buyid = 9 The type of order can also be changed by changing the sign of qty. For example, submitting a buy order with a quantity of -7 changes it to a sell order The MathWorks, Inc and Rotman School of Management University of Toronto 5

16 buyid = buy(rit,'cold', 7) % becomes sell order sellid = sell(rit,'beav', 8) % becomes buy order buyid = sellid = 2 Submitting Limit Orders Limit orders can be submitted using the limitorder function. help limitorder To submit a buy limit order, a bid for COLD at a price of $4. and quantity 9: buyid = limitorder(rit,'cold',9,4.) The MathWorks, Inc and Rotman School of Management University of Toronto 6

17 buyid = 3 To submit a sell limit order, an ask for BEAV at a price of $5. and quantity (Note the (-) negative quantity used to denote a sell limit order): limitid = limitorder(rit,'beav',,5.) Submit Orders Using a Blotter Create an order blotter, a table with order information: help blotterorder Create a blotter of buy and sells at market (no need for Price): = {'COLD'; 'BEAV'}; % tables need column vectors (use ; instead of,) action = {'Buy'; 'Sell'}; quantity = [; 2]; blotter = table(ticker,action,quantity) The MathWorks, Inc and Rotman School of Management University of Toronto 7

18 blotter = ticker action quantity 'COLD' 'Buy' 'BEAV' 'Sell' 2 Submit the blotter order: blotterid = blotterorder(rit,blotter) Add some limit orders into the mix. Prices must be present to define a limit order. Use or nans for market orders in prices. = {'COLD'; 'BEAV'; 'COLD'; 'COLD'; 'BEAV'; 'BEAV'}; = {'Buy'; 'Sell'; 'Buy'; 'Sell'; 'Buy';'Sell'}; quantity = [3; 4; 5; 6; 7; 8]; = [nan; nan; 72.; 8.5;.5; 6.5]; blotter = table(ticker,action,quantity, price) blotter = ticker action quantity price 'COLD' 'Buy' 3 NaN 'BEAV' 'Sell' 4 NaN 'COLD' 'Buy' 'COLD' 'Sell' 'BEAV' 'Buy' 7 4. 'BEAV' 'Sell' The MathWorks, Inc and Rotman School of Management University of Toronto 8

19 Submit the blotter order tf = blotterorder(rit,blotter) pause() tf = id = getorders(rit) id = orderblotter = getorderinfo(rit,id) orderblotter = OrderID Ticker Type OrderType Quantity Price Status Quantity2 2 'COLD' 'BUY' 'LIMIT' 8 7. 'LIVE' 8 99 'COLD' 'SELL' 'LIMIT' 7 4. 'LIVE' 7 88 'BEAV' 'BUY' 'LIMIT' 'LIVE' 6 86 'BEAV' 'SELL' 'LIMIT' 'LIVE' 5 Canceling Orders Cancel an order by order ID cancelid = id(); cancelorder(rit,cancelid) pause(3) orderblotter = getorderinfo(rit,id) orderblotter = The MathWorks, Inc and Rotman School of Management University of Toronto 9

20 OrderID Ticker Type OrderType Quantity Price Status Quantity2 99 'COLD' 'SELL' 'LIMIT' 7 4. 'LIVE' 7 88 'BEAV' 'BUY' 'LIMIT' 'LIVE' 6 86 'BEAV' 'SELL' 'LIMIT' 'LIVE' 5 Cancel orders by expression expr = 'Price <= 5. AND ticker = ''COLD'''; cancelorderexpr(rit,expr) pause(3) orderblotter = getorderinfo(rit,id) orderblotter = OrderID Ticker Type OrderType Quantity Price Status Quantity2 88 'BEAV' 'BUY' 'LIMIT' 'LIVE' 6 86 'BEAV' 'SELL' 'LIMIT' 'LIVE' 5 Cancel Queued Orders Orders are submitted to Rotman Interactive Trader and may be queued if the orders are submitted faster than the case allows. The queued orders can be queried and even deleted. Resubmit the blotter order from above, query which ones are still queued, and then cancel them. blotter queuedid = blotterorder(rit,blotter) inqueue = isorderqueued(rit,queuedid) cancelqueuedorder(rit,queuedid(inque ue)) isorderqueued(rit,queuedid) id = getorders(rit) orderblotter = getorderinfo(rit,id) blotter = ticker action quantity price 'COLD' 'Buy' 3 NaN 'BEAV' 'Sell' 4 NaN 'COLD' 'Buy' 'COLD' 'Sell' 'BEAV' 'Buy' The MathWorks, Inc and Rotman School of Management University of Toronto 2

21 'BEAV' 'Sell' 8 7. queuedid = inqueue = ans = id = orderblotter = OrderID Ticker Type OrderType Quantity Price Status Quantity2 88 'BEAV' 'BUY' 'LIMIT' 'LIVE' 6 86 'BEAV' 'SELL' 'LIMIT' 'LIVE' 5 One can also clear all queued orders using clearqueuedorders The MathWorks, Inc and Rotman School of Management University of Toronto 2

22 blotter queuedid = blotterorder(rit,blotter) inqueue = isorderqueued(rit,queuedid) clearqueuedorders(rit) isorderqueued(rit,queuedid) id = getorders(rit) orderblotter = getorderinfo(rit,id) blotter = ticker action quantity price queuedid = 'COLD' 'Buy' 3 NaN 'BEAV' 'Sell' 4 NaN 'COLD' 'Buy' 'COLD' 'Sell' 'BEAV' 'Buy' 7 4. 'BEAV' 'Sell' inqueue = ans = The MathWorks, Inc and Rotman School of Management University of Toronto 22

23 id = orderblotter = OrderID Ticker Type OrderType Quantity Price Status Quantity2 88 'BEAV' 'BUY' 'LIMIT' 'LIVE' 6 86 'COLD' 'SELL' 'LIMIT' 'LIVE' The MathWorks, Inc and Rotman School of Management University of Toronto 23