Agreed on the importance of volume. I've been recording volume since
10 level book
started last year and you see that volume spikes are a good indicator of
price reversals. In
fact, when taking visual swags of volume-price-depth charts volume looks
like a better indicator
than depth. However, I was surprised that the volume based strategies
that I've developed
did not outperform the sample book strategies like Defender, but they
get close. I've even
tried an "Tension-like" indicator with volume, price, and depth all in
one and to my surprise,
the book sample strategies do better. Having said that, It would be
interesting to see what your
talents may produce with it Eugene.
On 11/5/2010 8:19 AM, nonlinear5 wrote:
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.
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