Hi non-linear, Can you elaborate on this a bit further:
Yes, this is certainly possible. JBT has a mechanism to prevent from launching more than one instance of itself, but it's straightforward to override this mechanism. This will enable you to run two instances of JBT, each connecting to two different ports opened in TWS. Some people have already tried it, and I know this works. also, if someone wanted to run a different strategy with the same symbol, ECZ5, would we be able to implement different strategies for the same symbol. Khalid On Wed, Jun 9, 2010 at 1:49 PM, nonlinear5 <[email protected]> wrote: > > a) How do you trade an instrument around the clock without making any > manual > > adjustments to the code? > > Your strategy should have all the intelligence needed to trade under > various market conditions. In turn, JBT has the intelligence to > faithfully execute your strategy in a robust way under various > conditions, including the temporary loss of the network connection. > Does this answer your question? > > > How do you modify the > > program to run continuously without missing any trades (on a dedicated > > server perhaps?) > > > > Some people do run it on a dedicated server. My personal view is that > if you can't tolerate a loss which would occur if you lost the > connection to TWS, you are probably overleveraged (i.e, trading too > much in size). > > > b) does a single JBT session allows for using multiple instruments to be > > traded with the same underlying strategy? if my strategy requires to > trade > > spot Euro with two nearest month futures contract, is that possible > > > > There is only one instrument allowed per strategy. However, you can > run arbitrarily many strategies at the same time. So, yes, it's > entirely possible (and very easy) to set up two strategies which would > trade spot Euro, and two Euro future contracts with different > expiration. > > > c) what if the strategy requires to address two different accounts? let's > > say I have some trades to be placed on a primary account and some > offsetting > > trades on a hedge-account, is that something do-able with JBT > > > > Yes, this is certainly possible. JBT has a mechanism to prevent from > launching more than one instance of itself, but it's straightforward > to override this mechanism. This will enable you to run two instances > of JBT, each connecting to two different ports opened in TWS. Some > people have already tried it, and I know this works. > > > > d) latency and delay. assuming you wanted to implement a strategy that > aims > > for speed of execution, how close can you get to a real-time performance > > with IB's platform. From what I have been told and observed, the market > > snapshot operates at an interval of 1 second aggregating smaller data > > intervals. what can be realistically done to improve on this performance > in > > terms of hardware or software. > > > > From the hundred of trades that I've placed and executed, I can see > that the average time to execute a trade is about 300ms. That is, from > the moment JBT submits a trade and the moment the confirmation is sent > from TWS, the average time is about 300ms. That's plenty fast for me, > but perhaps you are looking at something ultra-fast, in which case I > think you can ask IB to host your app on their servers. > > The above applies to executions. In regards to market data itself, IB > servers send market depth updates to TWS approximately 3 to 4 times > per second. Each update contains a set of of market depth changes. For > example: {level 1 changed from 100 size to 200 size, level2 changed > from 1024.00 price to 1024.25 price, and so on). Typically, each > update has 10 to 50 changes in it. These updates are in turn > transmitted to JBT via the IB API. As you noted, JBT consolidates > these intra-second updates and records the snapshot every second. It's > certainly possible to give it higher resolution in JBT. That is, the > updates don't have to be consolidated. The consequence is that your > recorded data size will increase by the factor of about 100 to 200, > and so will the backtesting and optimization time. > > -- > 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.
