On Friday, April 8, 2011 2:58:28 PM UTC-4, jeb211b wrote: > > I am one of the time bar based traders that makes use of > JSystemTrader. You have to take in to account that for many trading > instruments book/DOM/L2 trading just doesn't work. > > I have looked at the code in the latest version of JBookTrader and it > not at all apparent to me how to modify it to make it time bar based > like JSystemTrader. I see Bar.java and BarSize.java in the "chart" > folder, but it looks like they are just used for charting. > > Could you please give us time bar based traders some guidance on how > to modify JBookTrader to function the same as JSystemTrader. > >
The book data that JBT subscribes to includes L1 data, i.e, best bid, best offer, and volume. The "bars" are simply a compression of this data into a OHLC, which you can easily construct from the 1 sec JBT data. Now, if you are willing to go with an approximation, you don't even have to construct bars or to change anything in the source code. For example, let's say that your trading strategy is based on the crossover of the EMA(10) and EMA(5) on the 1-minute price bars. That is to say, when the 10-bar price average is below the 5-bar price average, you buy. That would be roughly equivalent to the EMA(600) and EMA(300) in JBT, without making any code modifications. If you have specific requirements for bar-based strategies, post them in this thread and I can direct you to an implementation. The bottom line is, JBT book data is a super set of L1 data, and therefore, anything that can be done in JSystemTrader can also be done in JBookTrader, but not vise versa. JSystemTrader has not been maintained in a number of years, so I would not recommend using it. JBT, on the other hand, is current, and I am staying on top of it. -- 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.
