this is indeed a classic problem for building trading systems. Majority of platforms out there have this issue.
It is simple to build a system based on one instrument; as the majority of strategies are indeed based on one instrument. It's the 80/20 rule. You will end up spending 80% of the time and effort to address the 20% of unique situations. I suggest a solution where you can use the existing JBT system that is based on one instrument; and within the code create additional instrument objects and indicators. This way you can handle as many instruments in the strategy as you want. as for market data events; you can piggy back on the primary instrument events to trigger your trading logic. When you get an event; query the other instruments for latest market data. On Fri, Jun 15, 2012 at 2:53 AM, Judson Wilson <[email protected]>wrote: > I have looked into it before. The single instrument paradigm is pretty > deep. However, there is very good use of the object-oriented model, so it > is possible. I rank it as "medium complexity / effort required". > > Areas where I got hung up: > - GUI - you have to figure out what you want the gui to do, and you will > need to do at least SOME re-programming in this regard, which isn't fun if > you don't know how it works. My thoughts were to ditch the multiple > strategies thing and make the program work on one single strategy, and use > each row in the main window to track each instrument. But still, what do > you do for indicators that are based on multiple instruments? Or do you > make a rule that indicators can only depend on a single instrument? > - Backtest, etc - apparently you don't care about this, but deciding how > to store data, etc, for multiple instruments. Also, how to present the data > graphically? > - Error Handling, etc - Decisions on what to do when there is some kind of > market data / trade problem only get more complicated when there are more > instruments. > > I hope this gives you an idea of what is involved. If you do decide to > give it a go, make sure you learn how to use Mercurial / hg version > control - it will make your life a lot simpler. > > - Judson > > > On Wed, Jun 13, 2012 at 10:19 PM, Brad <[email protected]> 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/-/cTrfX4vFFagJ. >> 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. > -- 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.
