I know that MATLAB has mechanisms for generating code, but I've never used them. Have you? If you have - is it good enough (=fast enough, I guess) to be used in live trading systems? Anything one needs to watch out for?
Of course it is fast enough. But what is fast enough? I know guys who trade off Excel sheets and they make millions, but those guys are clearly not active in high frequency space. So, it entirely depends on your trading frequency and average holding period. I also know of shops that run live trading systems by calling R functions, so, obviously Matlab generated code is fast enough for a lot of algorithms. Chrisaycock is right in saying that it depends mostly on what you actually try to achieve and your own framework.
If I understand you right, you are talking specifically about Matlab's embedded code generation facility (see here: http://www.mathworks.ch/embedded-code-generation/). In my view, the answer to your question is clearly yes. This feature allows you to generate hardware specific code, e.g. for deployment on GPU's (video cards). It's used for aerospace systems, among other. In our area of expertise, this is probably as fast as it gets today, at least for some types of models. As a rule of thumb: the more complex your model, the more you get a competitive advantage with this technology. In my opinion, this favors mid- to high-frequency strategies (ultra-HF models are usually much simpler, so the overhead of routing calls to secondary hardware is usually too slow; for slow models, it's not worth the trouble because you have enough time to run it on a well-equipped desktop). A typical example where this would really pay off is a monte carlo simulation to calculate a VaR for the risk-sizing of an intraday trading strategy. In my view, even without code generation, Matlab is also a very robust and fast tool for production use. For example, you can compile code and, if well done, this is much faster then R. In fact, the company I work for does technology and trading strategy implementation for quant hedge funds, and Matlab is one of the technologies we use very often. The code generation, on the other hand, is still seen as leading edge by many. Thus, the time might still be right to gain a comparative advantage by using it ;-)