What are you looking at doing. Do you want to monitor the books of multiple instruments, or is price sufficient?
My thoughts on plan of attack are two fold. One goal would be to provide the ability to monitor multiple instruments from the same strategy, and set positions from that strategy, using the same type of feed and data for each instrument. Another goal is to provide the same functionality with the price/bid/ask feed only. This is useful for going beyond 3 instruments. I was looking into this at one point, but there is a LOT of issues with doing this 1) You need to create an interface for various indicators of various instruments, with an easy way to differentiate them. If memory serves me correct, you can only graph one copy of each indicator class at a time (JBT will get confused if you have to of the same type of indicator with different parameters). 2) You need to create a good interface for setting orders for multiple instruments, and make sure that all maps out properly. 3) You need a way to visualize all the data. 4) You need to create a way to store the backtest data, and handle alignment of reading back the data such that all the instruments data is aligned in time (note, there are often times where the datafeed is broken on an instrument). I hope this shows the complexity involved. Also note that I think the performance will be terribly slow for optimization. That aside, I think the platform would be great for trading and backtesting. On Thu, Jan 13, 2011 at 8:09 AM, Astor <[email protected]> wrote: > 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]<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]<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]<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. 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