MatTrader: An Automated Trading and Financial Data Analysis Framework for Matlab and Java

This paper introduces MatTrader, a framework for real-time trading, historical data analysis and simulation, aimed at giving researchers and investors an instrument for developing and testing quantitative investment strategies and paradigms. MatTrader is built to grant maximum flexibility and control, providing data structures for representing financial assets and data, methods for trading, managing orders and retrieving historical data, and a set of events for implementing real time investment strategies. It also includes Matlab-specific classes for automatic validation of trading strategies and for feedback-driven trading. The framework is fully documented, open source, and it contains several ready-to-use examples. It is freely available for use by the community, and the Java library allows to easily port the framework to other programming languages.