Once you dig below the strategy subclass level, there is a few concepts that
I find crucial.
Mode of operation:
back test - a piece of code loops through the historical data file:
{grab line from the back test file and create snapshot, load it into the
marketbook, update the indicators, then run the strategy functions for that
time instant}
optimizer - create a process for each processor/core. Load all the
historical data into a snapshot list in RAM. Create 125 copies of the
strategy class (with different combinations for the parmeter values) for
each process. Each process independantly loops through each snapshot { grab
1 snapshot, load it into the marketbook for each of its 125 strategies, and
run the instant code for each of the 125 strategies}. On a dual core
machine, for instance, you could have 1 core with 125 strategies running the
historical snapshot for tuesday time 15:01:36 and the other core with 125
strategies currently processing the snapshot for wednesday 12:56:03.
Each process will handle the snapshot for strategy 1,2,3.... to 125, then
move to the next snapshot.
forward test/trade - get snapshots from the market, load into
marketbook, run the instant code for the strategy.
Trading - you set your position in your strategy through the position
manager. The position manager then looks at your position, decides how many
shares/contracts to buy/sell based on the current position, places the
order, and waits for a response, then updates the position once the
confirmation comes.
Then there are some other things which I find less interesting, like the
performance manager which looks at the trades and the market data, etc. And
there is the gui. Not much "important" stuff happens in this code,
although it is ultimately the part you tinker with to make the program
enjoyable to use.
On Wed, Aug 5, 2009 at 6:29 PM, generalenthu <[email protected]> wrote:
>
> I am new to JBT and am trying to read through the code to understand
> what is happening and eventually to tailor it to my needs.
>
> I am looking to see if there is a flowchart that someone has put
> together or some kind of high level design document that may help me
> get up and running faster.
>
> Any help / pointers will be greatly appreciated.
> >
>
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