You mean the 5 level book versus the 10 level book?
By the way, There was an article todaytalking about how 10 level book is
not deep enough and more is needed for market transparency.
http://www.bloomberg.com/news/2010-10-04/may-6-stock-crash-may-lead-to-new-rules-for-brokers-cftc-s-gensler-says.html
I think JBT strategies have a bright future.
On 10/4/2010 1:02 PM, Klaus wrote:
Dear John,
this is very interesting to hear. It would really be interesting to
see a side-by-side comparison
of identical strategies with deep and shallow book data. The only
thing is, we would then need
also all the data recorded with deep and shallow book.
Klaus
On 4 Okt., 18:43, John-Crichton McCutcheon
<[email protected]> wrote:
Thats good to hear. I never upgraded the Market Depth calculation
change from last summer. That is , in MarketDepth.java you changed
the calculation from the mid point of the high balance / low balance
for the interval to the EMA of the balances recorded during the
interval. At the time, it seemed to me that that change made the book
data much less volatile and so I found that it generated fewer
signals for the strategies I was using at the time such as Balancer.
Anyway, I'll see what those new strategies do against the "old depth"
calculation.
Since you say the performance looks good, I'll record with the current
depth calculation as well as the old.
On 10/1/2010 4:33 PM, nonlinear5 wrote:
Thanks. I wonder if they stop spoofing the order book maybe JBT will
get better results now?
Have you looked at the performance of the sample strategies included
in the last version of JBT. They are pretty decent. I am about to
start trading live again.
--
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.
