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.
