Klaus, You may want to post your /reports/EventReport.htm file. It will give us more information.
On Sat, Apr 10, 2010 at 3:42 AM, Klaus <[email protected]>wrote: > Dear Newtrader > > please find below the complete file listing. > > I am not sure what you mean with "strategy magic in the > onBookSnapshot"? > The file is verbatim as I used it. Thus it is the Defender2 with > minimal adaptions > for the other contract, I do not (yet) care about the entries it > generates. > (At this point I have no strategy for EUR-trading. I am still in the > process of acquiring > base data for strategy development - unsuccessful so far.) > > > package com.jbooktrader.strategy; > > import com.jbooktrader.indicator.velocity.*; > import com.jbooktrader.platform.indicator.*; > import com.jbooktrader.platform.model.*; > import com.jbooktrader.platform.optimizer.*; > import com.jbooktrader.strategy.base.*; > > /** > * > */ > public class DefenderEUR extends StrategyEUR { > > // Technical indicators > private final Indicator balanceVelocityInd, > trendStrengthVelocityInd; > > // Strategy parameters names > private static final String FAST_PERIOD = "Fast Period"; > private static final String SLOW_PERIOD = "Slow Period"; > private static final String TREND_PERIOD = "Trend Period"; > private static final String ENTRY = "Entry"; > > > // Strategy parameters values > private final int entry; > > public DefenderEUR(StrategyParams optimizationParams) throws > JBookTraderException { > super(optimizationParams); > > entry = getParam(ENTRY); > balanceVelocityInd = new > BalanceVelocity(getParam(FAST_PERIOD), getParam(SLOW_PERIOD)); > trendStrengthVelocityInd = new > TrendStrengthVelocity(getParam(TREND_PERIOD)); > addIndicator(balanceVelocityInd); > addIndicator(trendStrengthVelocityInd); > } > > /** > * Adds parameters to strategy. Each parameter must have 5 values: > * name: identifier > * min, max, step: range for optimizer > * value: used in backtesting and trading > */ > @Override > public void setParams() { > addParam(FAST_PERIOD, 4, 18, 1, 9); > addParam(SLOW_PERIOD, 2500, 4500, 100, 3380); > addParam(TREND_PERIOD, 250, 800, 10, 585); > addParam(ENTRY, 120, 200, 1, 170); > } > > /** > * Framework invokes this method when a new snapshot of the limit > order book is taken > * and the technical indicators are recalculated. This is where > the strategy itself > * (i.e., its entry and exit conditions) should be defined. > */ > @Override > public void onBookSnapshot() { > double balanceVelocity = balanceVelocityInd.getValue() * 10; > double trendStrengthVelocity = > trendStrengthVelocityInd.getValue(); > > int currentPosition = getPositionManager().getPosition(); > if (currentPosition > 0 && balanceVelocity <= -entry) { > setPosition(0); > } > if (currentPosition < 0 && balanceVelocity >= entry) { > setPosition(0); > } > > if (trendStrengthVelocity < 0) { > if (balanceVelocity >= entry) { > setPosition(1); > } else if (balanceVelocity <= -entry) { > setPosition(-1); > } > } > > } > } > > On 5 Apr., 13:40, new_trader <[email protected]> wrote: > > can you upload your java strategy implmentation file, of course > > without your strategy magic in the onBookSnapshot() method. > > I have one recording slot free and can try to reproduce the problem > > > > On Apr 4, 1:21 am, ecthx <[email protected]> wrote: > > > > > > > > > EventReport.htm is the JBT log file. You can find it in the reports > > > folder. > > > It may contain some important info so take a look at it, and if you > > > can't figure out > > > what's wrong, post it here so more people can help. > > > > > On Apr 3, 4:13 pm, Klaus <[email protected]> wrote: > > > > > > Hi, > > > > > > I am not sure what you mean with event report - as the problem is > that > > > > there is no further reaction. > > > > > > So here I post an excerpt from the market data file.. > > > > 33010,165944,42.86,1.34135 > > > > 033010,165945,42.86,1.34135 > > > > 033010,165946,42.96,1.34135 > > > > 033010,165947,43.87,1.34135 > > > > 033010,165948,43.98,1.34135 > > > > 033010,165949,32.89,1.3414 > > > > 033010,165950,30.11,1.3414 > > > > 033010,165951,34.56,1.3414 > > > > 033010,165952,35.57,1.3414 > > > > 033010,165953,28.24,1.34145 > > > > 033010,165954,33.33,1.34145 > > > > 033010,165955,33.33,1.34145 > > > > 033010,165956,33.33,1.34145 > > > > 033010,165957,39.76,1.3414 > > > > 033010,165958,39.52,1.3414 > > > > 033010,165959,42.71,1.3414 > > > > 033010,170000,42.75,1.3414 > > > > 033010,170001,44.83,1.3414 > > > > 033010,170002,44.83,1.3414 > > > > 033010,170003,44.83,1.3414 > > > > 033010,170004,44.83,1.3414 > > > > 033010,170005,6.31,1.3416 > > > > 033010,170006,6.31,1.3416 > > > > 033010,170007,6.31,1.3416 > > > > 033010,170008,6.31,1.3416 > > > > 033010,170009,6.31,1.3416 > > > > 033010,170010,6.31,1.3416 > > > > 033010,170011,6.31,1.3416 > > > > 033010,170012,6.31,1.3416 > > > > 033010,170013,6.31,1.3416 > > > > > > .. and the following lines go on like that until I interrupt it while > > > > the data in TWS changes. > > > > Also at the same time there are no further updates to EUR data in the > > > > interface. > > > > On the other hand ES data updates and is still correctly written in > > > > parallel. > > > > > > As far as I can see always ES remains intact while EUR stalls at some > > > > point. > > > > > > Cheers > > > > Klaus > > > > > > On 3 Apr., 17:44, ecthx <[email protected]> wrote: > > > > > > > Post your event report > > > > > > > On Apr 3, 7:48 am, Klaus <[email protected]> wrote: > > > > > > > > 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 > > -- > 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]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- 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.
