What about historical data? If you are using say a 5-min bar strategy, can you use inexpensive bar data to backtest with or do you have to buy expensive book data?
On Fri, Apr 8, 2011 at 2:32 PM, nonlinear <[email protected]> wrote: > > > 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. > -- 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.
