Thanks for clarifying, Klaus. What JBT does internally is if the current snapshot is deemed invalid, it records the previous, valid snapshot. So, if you have a LOT of invalid snapshots, your data (for recording or trading) is going to have many periods of the same values.
Incidentally, looking through my EventReport from yesterday, I had 3 ES-invalids during the trading schedule and this was a good day. During the same period, I had 47 invalid records for YM and only 1 for EUR/USD (FX Pair, not FUT), surprisingly. Those are the only 3 I've been trying to record -- and even these are full of holes. Best, - Martin On Tue, Aug 4, 2009 at 11:53 AM, Klaus <[email protected]>wrote: > > Dear Martin, > > thanks for the exhaustive answer. It should me I was making some > assumptions > and unclear description that led to a misunderstanding. > > I was talking about the EUR FUTURE all along. > The corresponding line is: > Contract contract = ContractFactory.makeFutureContract("EUR", > "GLOBEX"); > > I suppose this then leads to the contract named ESU9 (in IB terms). > It is this contract, which gives me invalid data all the way. > It could simply mean, that there is not enough depth (at least it > looks like this). > > But the other misunderstanding I had personly was that I assumed that > jbooktrader > flagging the data as invalid, would mean, I cannot trade it with it. > If I understood you right, this is not the case. > > So, thanks a lot for the information and clarification. > > Klaus > > > > On 4 Aug., 12:38, Martin Koistinen <[email protected]> wrote: > > Klaus, > > > > I've been collecting EUR/USD data for sometime now and, like you, I've > found > > that there are too many gaps and invalids. Of course, this isn't JBT's > > fault. Because FX doesn't clear at a single exchange, unlike a future > like > > ES or YM, I suspect that the market depth info in IB is simply IB's view > of > > this pair -- not the entire market's, but I could be very wrong here. > > > > Nonlinear had previously suggested trading Forex Futures in the past as > an > > alternative to trading FX pairs. Would this be suitable for you? I'd > > probably feel uncomfortable trading FX pairs based on market depth on any > > platform if the books aren't complete. > > > > On Tue, Aug 4, 2009 at 10:50 AM, Klaus <[email protected] > >wrote: > > > > > > > > > > > > > Dear Martin > > > > > thanks for the clarification. > > > > > Regarding EUR. It is not like the invalid comes up from time-to-time. > > > It comes after a few seconds and then it stays continuously. Thus, all > > > data is regarded > > > invalid. > > > > > Klaus > > > > > On 4 Aug., 10:38, Martin Koistinen <[email protected]> wrote: > > > > Hi Klaus, > > > > > > It is well known that IB's paper trading platform is insufficient for > > > > testing. This is precisely why there is a "Forward Test" option. > This > > > > allows you to safely test your strategies (and collect data) via your > > > real > > > > IB account. During "Forward Testing" JBT will not place any real > trades > > > on > > > > IB, but it will act is though it had. If you get a few minutes, I > > > recommend > > > > reading the User Guide > > > > <http://docs.google.com/View?id=dfzgvqp4_10gb63b8hg>-- it isn't > > > > perfect yet, but it does cover that topic in more detail. > > > > > > Regarding the EUR testing. JBT is probably telling the truth about > the > > > > 'invalid' data, but please bear in mind that with 10-level market > depth > > > > data, nearly all symbols will report this from time-to-time most > > > especially > > > > if it is out of RTH (Regular Trading Hours). Although your currency > pair > > > > (?), in theory trades 24 hours per day, the market depth book will > still > > > be > > > > incomplete except possibly during the most liquid hours. > > > > > > I get 'invalid' on the YM's (Mini Dow Futures) even during RTH, but > this > > > > isn't JBT's issue, but rather a liquidity issue spread across a > 10-level > > > > deep market depth book. This doesn't mean that the YM is untradable > with > > > > JBT, it just means that the market depth book wasn't complete at that > > > > second. > > > > > > There's been talk about adding some preferences to control how JBT > reacts > > > to > > > > various circumstances, perhaps they will come soon. > > > > > > Happy trading! > > > > > > On Tue, Aug 4, 2009 at 9:01 AM, Klaus <[email protected] > > > > > wrote: > > > > > > > Hi, > > > > > > > I just downloaded the new release: > > > > > > > I have the following problem(s) > > > > > - when trying it out with the simulated trading account instead of > a > > > > > real account, > > > > > I sometimes get "invalid" data. This hardly occurs with the real > > > > > trading account > > > > > (Some brief fluctuations of invalid sometimes) > > > > > From my understanding this implies that it is not possible to > > > > > "forward test" a strategy except if > > > > > I am really trading it? > > > > > > > - perhaps even more severe: I introduced a dummy strategy to trade > EUR > > > > > (it was more about testing > > > > > whether the framework works than about a real strategy. > > > > > Independent of simulated or real trading, within seconds I get > > > > > "invalid" and it stays this way. > > > > > > > Perhaps the analysis for "valid" data is too rigid for some > > > > > instruments? > > > > > > > Klaus > > > > > > > On 29 Jul., 00:32, nonlinear5 <[email protected]> wrote: > > > > > > Latest release download: > > > > >http://jbooktrader.googlecode.com/files/JBookTrader-7.02.zip > > > > > > Release Notes: > http://code.google.com/p/jbooktrader/wiki/ReleaseNotes > > > > > > User Manual:http://docs.google.com/View?id=dfzgvqp4_10gb63b8hg > > > > > > Sample market data (based on the 10-level depth): > > > > >http://jbooktrader.googlecode.com/files/ES-sample.zip > > > > > > > > There are substantial changes in this release: > > > > > > > > 1. Market depth validation is stricter and more consistent. > > > > > > Specifically, market depth > > > > > > would be considered valid if and only if all four of the > following > > > > > > conditions are true: > > > > > > a. The number of bid levels equals the number of ask levels and > is > > > non- > > > > > > zero > > > > > > b. The bid price of level N is smaller than the bid price of > level > > > N-1 > > > > > > for all levels > > > > > > c. The ask price of level N is greater than the ask price of > level > > > N-1 > > > > > > for all levels > > > > > > d. The best bid price (at level 0) is smaller than the best ask > price > > > > > > (at level 0) > > > > > > If market depth is detected as invalid, the last known valid > balance > > > > > > would be used to update the indicators. If market depth stays > invalid > > > > > > for more than 60 seconds, the corresponding message will appear > in > > > the > > > > > > event report. > > > > > > > > 2. Fixed the methodology of dividing the parameter space in the > > > > > > "divide and conquer" optimizer. It was not working as intended. > The > > > > > > D&C optimizer is now more focused. > > > > > > > > 3. Added the "divide and conquer coverage" preference, which > controls > > > > > > the density of the search. > > > > > > The denser the coverage, the slower optimization is, but also > more > > > > > > likely to find the top regions > > > > > > in the search space. This option is useful when working with the > data > > > > > > sets of varying sizes > > > > > > and running optimizations on machine with varying CPU power. On > fast > > > > > > machines and with small data sets, the "coverage" preference may > be > > > > > > set to "dense", while on slow machines and with large data sets, > it > > > > > > may be set to "sparse". > > > > > > > > 4. Added the "brute force strategies per processor" preference. > This > > > > > > does not affect the results, but it may make optimizer run > faster. > > > > > > > > 5. Both BF and D&C optimizers are faster > > > > > > > > 6. Web console more dynamic, all information is refreshed every 5 > > > > > > seconds > > > > > > > > 7. A range of dates can be specified for both back testing and > > > > > > optimization > > > > > > > > 8. Fixed the scroll bar and zooming issues in performance chart > > > > > > > > 9. Added "user manual" and "release notes" to main menu. The user > > > > > > manual is no longer distributed in the /docs directory, but is > > > > > > reachable online from the JBT "Help" menu. > > > > > > > > 10. Better substance L&F (frame decorators and status bar > changed) > > > > > > > > 11. User manual is updated to reflect the recent changes > > > > > > > > Many thanks again to Martin for the numerous contributions to > this > > > > > > release. > > > > > > > > As always, I am asking everyone to test a lot and test with > > > prejudice. > > > > > > That is, even if you only suspect something may not be right, > please > > > > > > do not hesitate to mention it. > > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
