Matlab’s Profiler is a useful tool for identifying code bottlenecks. In addition to parallelizing the code (for use with the Parallel Computing Toolbox) to speed up the research phase, you might also want to implement a hybrid system by re-coding the slower routines in C++, to create a mex file (for details see here). As for production systems, there is now a significant cottage industry of traders who use Matlab in algo trading. And they can often bridge the gap between R&D and implementation quite easily: code that was used in the research stage can often be quickly re-tooled to work in a production version of the system.

This is where more general, high level languages like R, Matlab or Mathematica come in: their greater power and flexibility is handling large, multivariate data sets makes it much more straightforward to develop portfolio strategies. Using one of these products to develop and implement a pairs trading strategy is a stretch. That may be ok for futures trading,where more often than not the focus is on a single underlying, but in equities the opposite is true. The problem with retail trading tools like TradeStation, Multicharts, or Amibroker, is that they are designed primarily for single-asset strategies. But for algorithmic trading systems of intermediate frequency the choice appears almost unlimited. For a latency-sensitive high frequency trading application, you will probably want to use something like C++, or possibly a 3rd party algo system like Apama or Tethys. James Davidson’s excellent and inexpensive TSM, which I have used for many years and can recommend highly. If you are engaged in econometrics research, you might choose a package like RATS, Eviews, Gauss, or Prof.

My sense of it is that there is no single “ideal” programming language – the best strategy is to pick an appropriate tool for the job and there are usually several reasonable choices one could make. I have written recently about the comparative advantages of different programming languages in the context of research and trading (see here).

Tradestation 9.5 disconnects