in the sample tick files you provided we have a reosultion of 1 second. i did not know that IB provides you with price data on a 1 second basis
if so, is there a theoretical possibility to download these 1 seconds ticks from IB like you can download tick data from JSystemTrader JST? as writing this I have just seen in JST that the download resolution goes down to 5 seconds. so it should be possible to tweak this downloader to download data for an instrument pair. other option is to download each instrument and then do a manual merging into one single file. should be quite straight forward :-) On Jun 10, 4:41 am, nonlinear5 <[email protected]> wrote: > It's been a while since I worked on JArbitrager, so I actually forgot > how it works. I am revisiting my code again, and it turned out that > JArbitrager does not use market depth at all. So, you can use any > number of pairs and any number of instruments. > > On Jun 9, 11:21 am, nonlinear5 <[email protected]> wrote: > > > >JArbitragerrecords 2 instruments into one single file, so with one > > > TWS account one person can only record data for one arbitrage > > > combination. > > > More precisely, the total number of instruments should not exceed 3. > > For example,JArbitragerwill happily record these, running at the > > same time: ES-SPY, ES-YM, ES-NQ, SPY-YM, SPY-NQ, YM-NQ. -- 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.
