Konstantin, There have been numerous discussions in this group in regards to being able to place stop loss orders from JBT. The effect of supporting these types of orders would be a much more complex order management model in JBT, and much more complications in user strategies. This is what I've been avoiding. This is not to say, however, that JBT does not support risk management. Note that your strategy has control over its positions on a second by second basis. Let's say that you want to close your position when price volatility increases, or when the market moves against you by a certain number of points. This is all very straightforward to implement right in your strategy's onBookSnapshot() method, and it would require only a few lines of code.
On Oct 3, 10:31 pm, Konstantin Pervushin <[email protected]> wrote: > Dear Eugene, > I believe that a risk management component might be an essential addition to > JBT (I shall admit that I am using it life with real profits so far -keepmy > fingers crossed- albeit without any risk management besides statistically > acceptable draw downs). However, the last Friday shortly after JBT placed a > ES short position, the market kind-of flush crashed by 8 ticks and while I > was watching this I was suspecting even worse. Obviously, one simple > solution might be a user's dependent stop loss placed shortly after the > order is fulfilled. The other one, may be more elaborate options based > hedge. I am working on the latter one using wide credit spreads placed with > a short leg at the money. To model those I am using rather comprehensive > stochastic calculus with can be wholesome imported into JBT if needed. If > you have an interest in risk management addition to JBT, I am standing by. > > Actually, I 'd greatly appreciate your opinion on risks in JBT. > Konstantin > > On Mon, Oct 4, 2010 at 12:39 AM, > <[email protected]<jbooktrader%[email protected]> > > > wrote: > > Today's Topic Summary > > > Group:http://groups.google.com/group/jbooktrader/topics > > > - Flash Crash SEC Report <#12b72f6779f7c700_group_thread_0> [2 Updates] > > > Topic: Flash Crash SEC > > Report<http://groups.google.com/group/jbooktrader/t/4b44974c278790b0> > > > Klaus <[email protected]> Oct 03 06:49AM -0700 > > ^<#12b72f6779f7c700_digest_top> > > > Looks extremely good.. - are the algorithms shown the same ones as > > contained in the distribution? > > > Eugene Kononov <[email protected]> Oct 03 10:31AM -0400 > > ^<#12b72f6779f7c700_digest_top> > > > > Looks extremely good.. - are the algorithms shown the same ones as > > > contained in the distribution? > > > I'll make them available in the next release shortly. > > > -- > > 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.
