A pairs trade is really two strategies - one strategy for each instrument. Each strategy has its own parameters and its own P&L. The main difference is that the buy / sell signal is based on the price of another instrument, instead of price or book or volume of the present instrument.
Of course the strategies are no longer independent. As such, they can not be used for portfolio diversification. Do you see any other problems that could result from the lack of independence? Can the backtest still be done if both strategies are run simultaneously? I would love to use JArbitrager, but it had some bugs when I tried to use it and I do not think I have enough understanding of the platform to be able to maintain it. ________________________________ From: nonlinear <[email protected]> To: [email protected] Sent: Thu, February 24, 2011 8:03:27 AM Subject: Re: [JBookTrader] Poll for new features Alexana, There is already a "back door" in JBT which allows you to access a given strategy's indicators and market book from another strategy: TraderAssistant traderAssitant = Dispatcher.getInstance().getTrader().getAssistant(); with the traderAssitant object, you can get access to all running strategies: traderAssitant.getAllMarketBooks() traderAssitant.getAllStrategies() This will work, but I don't recommend it, as this is really a hack which violates one of the JBT design principle of strategies independence. For your purposes, it may do the job, although you still will not be able to backtest and optimize since you'd be introducing the dependencies between the strategies. My advice to you is the same as I gave you before: you should be using JArbitrager, which is specifically designed for what you are attempting to accomplish. On Wednesday, February 23, 2011 5:29:12 PM UTC-5, Alexana wrote: Eugene, > >I guess here is our contribution to the wish list for the new features: >ability >to access MarketSnapshot member variables across strategy instances for >multi-instrument strategies and portfolio synchronization. > > > > > ________________________________ From: Victor Martin <[email protected]> >To: "[email protected]" <[email protected]> >Cc: "[email protected]" <[email protected]> >Sent: Wed, February 23, 2011 4:07:02 PM >Subject: Re: [JBookTrader] Poll for new features > > >That sounds great! > > >Not only for pair trading but also for managing a portfolio with unlimited >synchronized strategies trading up to 3 contracts > >El 23/02/2011, a las 22:24, Astor <[email protected]> escribió: > > >All of those sound good. >> >>Another useful feature would be the ability to do pair trades, i.e. use >>pricing >>data from several related instruments to arrive at trading decisions. >>JArbitrager had that capability but it is an orphan ware at this point. >> >>Since JBT can run several strategies simultaneously, I think one way to >>implement it in JBT may be to permit sharing of information across >>strategies. >>So, if one wanted to trade MSFT vs GOOG, - or use GOOG as a confirming signal >>for MSFT, - one strategy coud run MSFT and another could run GOOG. >> >> >>If MarketSnapshot class from each strategy could be made accessible to other >>strategies through some sort of getMarketSnaphot() method, then trading >>decision >>in each strategy could benefit from the signals provided by any or all other >>strategies. >> ________________________________ From: Victor Martin <[email protected]> >>To: "[email protected]" <[email protected]> >>Sent: Wed, February 23, 2011 2:42:19 PM >>Subject: Re: [JBookTrader] Poll for new features >> >> >>I've already did some customizations to JBT to fit my requeriments. A >>complete >>list here: >> >> >>- integrated log4j logging framework. Improves debugging process of new >>strategies and helps logging production environments >>- integrated cron4j for sending daily performance reports through e-mail >>- customized UI and Trader classes in order to run both Trade and Forward >>modes >>on same JBT instance >>- integrated hibernate persistence framework to save trade reports on >>database. >>We also build a web application to browse historical performances >>- XML-RPC server integration to expose real-time JBT strategies performance >>to a >>web-server. Useful to see how you're strategies are doing as you go >> >> >>If anybody is interested in any of this features I'm up to help >> >> >>Cheers >> >>El 23/02/2011, a las 21:19, nonlinear <[email protected]> escribió: >> >> >>Do JBT users have a "wish list" for the new JBT features/functionality? If >>so, >>please post them here. >>>-- >>>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 jbooktrader...@googlegroups. >com. >>>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 jbooktrader...@googlegroups. com. >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 jbooktrader...@googlegroups. com. >>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 jbooktrader...@googlegroups. com. 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.
