JBookTrader used to record and make use of volume data, but in our multi-user tests, we found that the stream of volume data was inconsistent. Specifically, multiple participants running the same strategies based on volume data were producing different results. At that point, I decided not to incorporate volume feed into JBT. However, volume seems such an important piece of market data that I am not thinking of adding it back to JBT. Both JBT and TWS have changed a lot since we tried last time, so perhaps it would be more consistent now.
Here are some options that we have in regards to obtaining volume data (for historical backtesting): 1. Buy the ES data directly from the CME and convert it to JBT format. This is the data which contains both market depth and the volume. It tends to be quite expensive. 2. Buy tick data from tickdata.com (or some other provider), extract volume data from there, and merge it with the previously recorded JBT data sets. This is fairly inexpensive (in the order of $100 per year per symbol). 3. Write a data downloader using the IB API which would download 1- second bars along with the volume, and merge it with the previously recorded JBT data sets. This is free, but requires a coding effort, although we could probably reuse the IB data downloader from JSystemTrader. If you have any other suggestions, feel free to offer them here. -- 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.
