Hello Brad, and welcome to the project. JBT does support trading multiple securities simultaneously. However, the relationship between a strategy and a security is 1 to 1. That is, any given strategy is associated with a single security. If you intend to trade multiple securities, simply create a new strategy class for each one. Note also that multiple strategies can trade the same security as well. For example, you can set up the following strategies:
es1, es2, es3: will use the ES exchange book and will trade ES ym1, ym2, ym3: will use the YM exchange book and will trade YM eur-us-1, eur-us-2, eur-us-3: will use the EUR.USD cash book and will trade the EUR.USD cash. All 9 strategies can run at the same time within the same JBT instance, totally independently. On Thursday, June 14, 2012 1:19:12 AM UTC-4, Brad wrote: > > Hi Guys, > > First of all, congrats on a what appears to be a very polished piece of > software. > > I've taken a look through the source and from what I can tell, strategies > are restricted to monitoring and trading a single security, based on the > order book for that same security. Is this the case? > > I typically trade intra and interday statarb strategies, monitoring and > trading two or more securities. I saw there was a sister project called > jarbitrager that was built specifically for pair trading, but I understand > this has been abandoned in favor of JBT. I also need to see market depth > for my strategies (some illiquid securities), and I think jarbitrager > provides top of the book only..... > > So i guess my questions are: > - Does JBT only support only single securities for monitoring/trading? > - If so, how baked into the architecture is that assumption? (i.e. is it > feasible that I could modify it - I'm an okay programmer). I don't need > backtesting/optimization support, only forward test/trade. > > Thanks > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/yQPo5jo74fwJ. 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.
