I know it is a lot of work. But it also would add tremendous capability to the platform. Cross-market technical analysis is used by a large number of hedge funds. A really good book on that is: "Intermarket Technical Analysis: Trading Strategies for the Global Stock, Bond, Commodity, and Currency Markets (Wiley Finance)" by John Murphy.
In terms of monitoring the books, - it would be interesting but not necessary for my purposes. I have tried volume, book, etc but could not find a working strategy and do not know anyone who has. I think it is because there are so many algo programs whose primary and only purpose is to create misleading book signals. IB has several available as well. My strategies are based only on price. I watch short term trends among long-term correlated/co-integrated instruments. If the trends diverge, I go long/short against the trend. If the trends are aligned, confirming each other, I follow the trend. >Another goal is to provide the same functionality with the price/bid/ask feed only. This is useful for going beyond 3 instruments. This approach would work very well for me. You make great points about complexity of the project. I hope that some or most of those have already been addressed in JArbitrager. Your point #4 probably is the most important. So, what do you think? Is it doable? 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. ________________________________ From: ShaggsTheStud <[email protected]> To: [email protected] Sent: Thu, January 13, 2011 12:18:50 PM Subject: Re: [JBookTrader] proposal 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]. >>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. > -- 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.
