Hi,
I do currently use JBookTrader to acquire data for two symbols: EUR
Future and ES Future.
The ES future support is built in the distribution. EUR I added to it.
At this point I did not yet care about any trading approach, I did
only focus on acquiring data as a basis for tuning the system. As EUR-
Data is not available otherwise, I am particularly interested in this.
However, what I noticed was this:
- I start a system for EUR and one for ES in forward testing mode in
order to do data acquisition.
- At some point I typically notice that the jbooktrader is getting
stuck with the EUR acquisition
while still acquiring new ES data. That means despite changing
prices in IB the data in jbooktrader for EUR
do no longer change, and from thereon jbooktrader repeats the same
line over and over in the data
file.
- Typically this happens after several hours, but within one day
(i.e., most one day sets of data are faulty).
BTW, I am runing TWS under IBController (using IB 901) and the most
recent download from the jbooktrader-website.
---- here is how I implemented the data acquisition for EUR ---
I derived StrategyEUR from StrategyES (i.e., copy and adapt). Main
adaptation is:
protected StrategyEUR(StrategyParams optimizationParams) throws
JBookTraderException {
super(optimizationParams);
// Specify the contract to trade
Contract contract = ContractFactory.makeFutureContract("EUR",
"GLOBEX");
// Define trading schedule
TradingSchedule tradingSchedule = new TradingSchedule("9:55",
"15:25", "America/New_York");
// Not sure about the correct schedule
int multiplier = 125000;// contract multiplier
double bidAskSpread = 0.0001; // prevalent spread between best
bid and best ask
Commission commission =
CommissionFactory.getBundledNorthAmericaFutureCommission();
setStrategy(contract, tradingSchedule, multiplier, commission,
bidAskSpread);
}
I copied Defender2 and made a DefenderEUR class based on StrategyEUR
When running, I run Defender2 and DefenderEUR.
---------------------------------------------
Any comments and support would be greatly appreciated.
Best Regards
Klaus
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