Hi All I have tested a system of trading models (DAILY TRADING FREQUENCY) which I (as a part a research group) have been building over time. The backtesting have been done in excel and matlab. Now I would like to run it in real time. Obviously I would like to track the performance of the models with the real data (probably entering execution prices manually unless more advanced approach is possible). One solution is to type all the data into excel and run a small VB code aggregating the portfolio positions. However, it may be time consuming. Also I think that the task is so plain-vanilla that numerous solution may already existJust to stress, the position themselves will be kept inside a bank's trading book but I am looking for alternative performance monitoring device. Again to summarize requirements:o Ability to deal with FX spot, forward and vanilla options (no need to have a complex smile modeling techniques, just vanilla Black Scholes is enough)o Ability to produce historical returns over time for each crosses and each building block. For example ability to say “Over past 30 day MODEL1 made 3% with historical vol of 7% and maximum day loss of 50bps”. o Links to real-time data providers such as Reuters (may be using excel as a front end to the system)o Links to historical database (SQL data with all the data does exist, just need an interface to it)o Potential to expand to interest rate futures as well I have seen http://www.smartquant.com/ and http://ojts.sourceforge.net/The first seems to be much more user friendly while the second is open source which is appealing. However both do not seem to be very mainstream and it is hard to figure out whether it makes sense to invest time. Any advice on what sort of system would do the job (may be with some tweaking) better than home-made excess solution. Any comments would be appreciated. Many thanks Alex

QuoteOriginally posted by: ALJHi All I have tested a system of trading models (DAILY TRADING FREQUENCY) which I (as a part a research group) have been building over time. The backtesting have been done in excel and matlab. Now I would like to run it in real time. Obviously I would like to track the performance of the models with the real data (probably entering execution prices manually unless more advanced approach is possible). One solution is to type all the data into excel and run a small VB code aggregating the portfolio positions. However, it may be time consuming. Also I think that the task is so plain-vanilla that numerous solution may already existJust to stress, the position themselves will be kept inside a bank's trading book but I am looking for alternative performance monitoring device. Again to summarize requirements:o Ability to deal with FX spot, forward and vanilla options (no need to have a complex smile modeling techniques, just vanilla Black Scholes is enough)o Ability to produce historical returns over time for each crosses and each building block. For example ability to say “Over past 30 day MODEL1 made 3% with historical vol of 7% and maximum day loss of 50bps”. o Links to real-time data providers such as Reuters (may be using excel as a front end to the system)o Links to historical database (SQL data with all the data does exist, just need an interface to it)o Potential to expand to interest rate futures as well I have seen http://www.smartquant.com/ and http://ojts.sourceforge.net/The first seems to be much more user friendly while the second is open source which is appealing. However both do not seem to be very mainstream and it is hard to figure out whether it makes sense to invest time. Any advice on what sort of system would do the job (may be with some tweaking) better than home-made excess solution. Any comments would be appreciated. Many thanks AlexIf you are willing to use Bloomberg (instead of Reuters) for real time data, then Matlab along with its datafeed (for Bloomberg) and database (to connect with SQL) toolboxes could be a very fast and flexible solution.

Or if you dont get approval to buy that datafeed toolbox (as in my case) you can feed the data into excel (bbg or reuters or whatever) and then dump it into matlab.This can be done in various ways:- Excel link (another expensive toolbox) is the best, because it can be called via VBA- Matlab can suck data out of a sheet- Excel macro can save the data in txt or csv file, then matlab can read it using csvread or sth like that

Hint. I think you don't have to buy excel link to call matlab from excel. Example:Sub CallMatlab()' Dimension variables Dim MatLab As Object Dim ResultDim Invals(3, 4) As Double Dim MImag() As DoubleDim i, j As Integer ' Invoke Matlab Set MatLab = CreateObject("Matlab.Application") ' Read Invals from current spreadsheet ' (Assume Invals stored in B3:E5) For i = 0 To 2For j = 0 To 3Invals(i, j) = ActiveSheet.Range(Cells(i + 3, j + 2), Cells(i + 3, j + 2)).Value Next j Next i' Send Invals to Matlab Call MatLab.PutFullMatrix("a", "base", Invals, MImag) ' Send instructions to Matlab Result = MatLab.Execute("b=a.^2;") ' Retrieve Result Call MatLab.GetFullMatrix("b", "base", Invals, MImag) ' Store Result in B8:E10 ActiveSheet.Range("B8:E10").Value = Invals End Sub