Datafeed Toolbox

 

Datafeed Toolbox

Access financial data from data service providers

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Datafeed Toolbox™ provides access to financial data, news and social media data, and trading systems. You can establish connections from MATLAB® to retrieve historical, intraday, or real-time data streams and then perform analyses, develop models and financial trading strategies, and create visualizations that reflect financial and market behavior.

You can use the streaming and event-based data in MATLAB to build automated trading strategies that react to market events via industry-standard or proprietary trade execution platforms. The toolbox includes functions for analyzing transaction costs, accessing trade and quote pricing data, defining order types, and executing orders.

Supported data providers include Bloomberg®, FRED®, Haver Analytics®, Quandl®, Twitter®, and Refinitiv™. Supported trade execution platforms include Bloomberg EMSX, Trading Technologies® X_TRADER®, Wind Data Feed Services (WDS), and CQG®.

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Product overview

Standard Financial Data

Work with real-time, current, intraday, and historical data.

Current and Historical Data

Retrieve current or historical data using MATLAB functions such as fetch, getdata, history, or timeseries, which retrieve data immediately and do not update with changing market conditions. The data retrieved will vary by data service provider.

Retrieve Bloomberg Historical Data
How to Import Data from Datastream Web Services Using MATLAB (3:13)
Adjusted Close and Volume plot for a stock

MATLAB plot of stock price and volume.

Real-Time Data

Retrieve dynamic data, such as event-based or streaming data, using the realtime function or by creating an event handler function in MATLAB that is executed each time new data is received from the service provider.

Write a Custom Event Handler Function
Retrieve Bloomberg Real-Time Data Using Bloomberg Desktop
Retrieve Real-Time Money.Net Data
Trade executed based on Real-time market data

Retrieving real-time data.

Intraday Tick Data

Use built-in functions to import intraday data into MATLAB. The amount of intraday data that can be imported varies by data service provider.

Decide to Buy Shares Using Intraday Data from Refinitiv Tick History
Retrieve Bloomberg Intraday Tick Data
Example showcasing the ability to retrieve Intraday data for one security

Retrieving Intraday for a security.

Machine-Readable News and Social Data

Work with alternative datasets and data feeds.

Importing News and Social Data

Retrieve large amounts of machine-readable news from Refinitiv text file archives. Import Twitter data directly into MATLAB for sentiment analysis using Text Analytics Toolbox™ or by writing your own scripts.

Retrieve Data from a Refinitiv Sentiment Archive File
Conduct Sentiment Analysis Using Historical Tweets
Alpha Generation Using Refinitiv News Sentiment and MATLAB.
Video length is 59:53.
Alpha Generation Using Refinitiv News Sentiment and MATLAB

Supported Trading Systems

Access prices, analyze transaction costs, and send orders to trading systems.

Bloomberg EMSX

With your Bloomberg EMSX license, you can connect to Bloomberg EMSX test and production servers to create, route and manage orders. Retrieve real-time and event-based tradable instrument data from Bloomberg.

Workflow for Bloomberg EMSX
Algorithmic Trading with Bloomberg EMSX and MATLAB
Bloomberg EMSX order blotter, showing the status of two equity trading orders.

Bloomberg EMSX order blotter, showing the status of two equity trading orders.

CQG

With your CQG license, you can connect to CQG to retrieve market data, perform trade execution, and track executed orders for multiple strategies.

Create CQG Orders
Request CQG Intraday Tick Data
Request CQG Real-Time Data
The MATLAB workflow to create orders based on the CQG API.

Trading workflow based on the CQG API.

Trading Technologies X_TRADER

With your X_TRADER license, you can use Datafeed Toolbox to retrieve event-based real-time tradable instrument data, track changes in Level II market information, and submit orders and track execution.

Submit X_TRADER Orders
Automated Trading with MATLAB
View of the order book data from X_TRADER

Level II order book data tracking from X_TRADER.

Wind Data Feed Services

With your access to Wind Data Feed Services or Wind Financial Terminal, you can use Datafeed Toolbox to retrieve market data, perform trade execution, and track executed orders.

Decide to Buy Shares Using Current and Historical WDS Data
Create Orders Using Real-Time Snapshot WDS Data
Data retrieval and order management workflow for Wind Data Feed Services

Workflow for data retrieval and order management based on Wind Data Feed Services.

Product Resources:

Documentation Functions Technical Articles User Stories Product Requirements Release Notes Videos and Webinars Examples
Computational Finance Suite

Computational Finance Suite

The MATLAB Computational Finance Suite is a set of 12 essential products that enables you to develop quantitative applications for risk management, investment management, econometrics, pricing and valuation, insurance, and algorithmic trading.

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