That back test data is from whatever book was being used at the time, wether it be 5 or 10 deep book.
I assume you are thinking that the single number in the back test data is one level of the book - which is incorrect. The book data is agregated into a single number, the depth balance, which is basically a representation of how large the total size of the bids vs asks are in the visible levels. This is a good balance of usefulness, optimization speed, etc. If you would like to record the data differently, it is rather simple to change the source code, although you will need to do it yourself to make it suit your needs. Luckily the JBT source is reasonably easy to understand once you know the basic idea of how the program works. On Sat, Aug 21, 2010 at 5:32 AM, Jb00kTr3d3r <[email protected]> wrote: > Having looked at the source, I understand that JBookTrader is able to > handle deep order books. However I am not able to deal with the 5 or > 10 deep order books for optimization or backtesting. The first obvious > step is to modify the BackTestFileReader however, MarketSnapshot > itself does not consider deep snapshots. Do you think modifying > MarketSnapshot and BackTestFileReader are sufficient to get > JBookTrader up running for backtesting and optimization. > > Thanks, > Jb00kTr3d3r > > > On Aug 21, 2:39 am, nonlinear5 <[email protected]> wrote: > > No code modifications are necessary. JBT will handle 5-deep and 10- > > deep order books. > > > > On Aug 20, 10:54 am, Jb00kTr3d3r <[email protected]> wrote: > > > > > Has anyone modified JBookTrader for treating 5-deep or 10-deep order > > > books? If not, can anybody tell what where I could start to modify > > > JBooktrader? > > > > > Any help would be greatly appreciated. > > > > > Thanks, > > > Jb00kTr3d3r > > -- > 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.
