Ok, I see now. Yes, pair trading is not easily accomodated in JBookTrader. JArbitrager is specifically designed for it, but it has not been maintained. JArbitrager has the same implementation of the exchange book as JBooktrader. For example, for ES, it maintains 10 price levels, which is the depth of the ES book available from IB.
On Thursday, June 14, 2012 9:26:38 AM UTC-4, Brad wrote: > > Hi nonlinear, > > Thanks for the quick response. I maybe not have been entirely clear in my > original post. The strategies I am looking to implement rely on the > relationship between multiple securities to determine position sizing. The > positions themselves also relate to multiple securities. e.g: > > - Monitor the price of Stock A and Stock B > - When the price of Stock A is greater than 10 times the price of Stock B, > sell X units of Stock A and buy Y units of Stock B > > This is not a realistic example, but it highlights the type of > functionality required. I may be missing something, but I can't see how > this can be done using multiple strategies, as each strategy's indicators > seem to reference only the single underlying security and is only able to > trade that same underlying security. > > Cheers > -- 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/-/U1-NyGEsscUJ. 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.
