There is a data converter in the older version of JBT (ver. 6.01): CMEDataConverter.java in the UTIL package of that release.
However, I would be willing to purchase and contribute some data in exchange for porting JArbitrager's capability to trade several instruments to JBT (or guiding me in that process). I would also be willing to help develop stat arb strategies, using that capability and provide a java library with classes with tools needed to do that. Even if you are not interested in hedged, market-neutral positions, because markets are linked, there is a lot of lead-lag information cross-market that may improve any strategy in JBT. For example, if you trade currencies, you may find that interest-rate sensitive bond ETFs will be a leading indicator while inflation-sensitive gold and oil ETFs will provide confirming signal. If you trade ES, then SPY and HYG will provide confirming signals, etc. ________________________________ From: ShaggsTheStud <[email protected]> To: [email protected] Sent: Fri, January 7, 2011 10:00:37 PM Subject: Re: [JBookTrader] Re: 321: Error validating request:-'hb' : cause - The account code is required for this operation. I have a converter, but I haven't messed with it in a while. The data is what I consider to be very expensive, but I do not remember the number off hand. $200 for a months worth?? that might be completely wrong. If you decide to buy the data, I would be willing to trade you my code for some of the data you purchase (and I will verify it works using that data). On Fri, Jan 7, 2011 at 8:29 AM, nonlinear5 <[email protected]> wrote: > > >> >>Eugene, which vendor do you use for historical pricing data, compatible with >>JBT? Is there a utility that converts vendor's historical data into JBT >>compatible format? >> >> I am only aware of one source for historical market data which contains market depth, and that is the Chicago Mercantile Exchange: http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.html > >I made a couple of purchases from them in the past. The data files are >gigantic >(one day worth of data is about 1 million lines). They ship the data on the >DVDs. Up until the middle of last year or, so, they had their data in a >specific >format, and I had a converter program in the standard JBT distribution. Since >then, they've changed their data format to FIX, and I do not have the >corresponding converter. However, I know that at least 2 people in this group >have written such converters (fellows, please step forward), and validated >them. > > > -- >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. > -- 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. -- 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.
