Well I think you will find that you need to address all these issues in JBT when you go after them.
There are API messages you could tap into to check availability of shares to short. You can also "pre-borrow" shares to short at the beginning of the day, to guarantee you have them on hand. Things to think about. I assume you can code. If you can't, you really shouldn't be using these software packages! On Thu, Jan 13, 2011 at 6:03 PM, Astor <[email protected]> wrote: > I started out using JArb because, in theory, it has the features that I > need. I think I was the only one using it. > > The problem with JArb is that the trading orders for each instrument are > sent to IB separately, instead of as IB's Combo Order. Since orders are > submitted separately and JArb does not monitor if both legs have been > executed, I often, unsuspectingly, ended up holding only one side of the > long /short trade. When I had discovered that I held the unhedged position, > I had to exit JArb and close the postion manually from TWS. > > Another problem was that at times JArb tried to place the order a second > time, so that the unhedged position had doubled but JArb was not aware of it > and continued to show the original position size. > JBT, as far as I can tell, is far more stable and does not have those > issues. > > As far as trading instruments go, I have generally traded ETFs because > the bid-ask spread is minimal, shorting is not a problem and there are so > many of them now that a large number of economically linked pairs (or > groups) can be defined. > ------------------------------ > *From:* ShaggsTheStud <[email protected]> > *To:* [email protected] > *Sent:* Thu, January 13, 2011 6:24:43 PM > *Subject:* Re: [JBookTrader] proposal > > I'm confused, why would you port JArbitrager's features to JBT, when it > sounds like the features you want are what JArb is built to do (except you > want more instruments) > > Note I've not yet played with JArb > > Also, curious, what instruments are you thinking about trading? > > On Thu, Jan 13, 2011 at 3:02 PM, Astor <[email protected]> wrote: > >> 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? >> >> ------------------------------ >> *From:* ShaggsTheStud <[email protected]> >> *To:* [email protected] >> *Sent:* Thu, January 13, 2011 12:18:50 PM >> *Subject:* Re: [JBookTrader] proposal >> >> >> 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. >> 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. > 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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