Ok, here are some comments for clarification: 1. JArbitrager is no longer maintained, but it was left in a solid state. Multiple people have tested it. I seem to remember that one person mentioned order handling issue. The reason I abandoned JArbitrager development is simply because I couldn't come up with any profitable strategies. I forward-tested some of the ES-SPY pair strategies using it, and found that these two markets are too efficient. The spread between these two instruments is very small and very short-lived, so after the transaction costs, there is nothing left on the table. However, it sounds like you are thinking of perhaps some illiquid securities where perhaps there is more arbitrage opportunities. Since JArbitrager already makes it possible to backtest, forward test, optimize, and trade pair strategies, my recommendation is to make it a starring point for your system.
2. In both JBookTrader and JArbitrager, charting is used for post-trade analysis. This makes it a good tool to see if your strategy is performing as designed. A discretionary trader watches the chart, and then trades. An automated trader with JBT and JA starts it in the beginning of the day, lets it run, and looks at the performance charts at the end of the day. In JArbitrager, charting reflects both instruments, so again you'd be better of with JA. 3. Partial executions are handled in both JBT and JA. However, both platforms support only market orders, so handling partial executions is trivial: we are waiting for the orders to be fully filled, which is with IB typically takes between 100 and 300 milliseconds. 4. Yes, there is an "order pending" flag in JBT which blocks other strategies from placing their trades until the pending order is filled. In JA, this flag is "bi-legged", i.e. it blocks trading until the pending orders in both securities in a pair have been filled. Eugene. On Thu, Jun 14, 2012 at 1:20 PM, Brad <[email protected]> wrote: > Hi Judson, > > Thanks for the additional color. The design does indeed seem quite clean. > GUI wise, I don't see any major issues. Presentation of the strategy > related parameters are the most relevant. Watching security specific prices > etc. don't concern me much. I'd be much more inclined to add a console > window and log much more detail. I guess the simplest thing would be to > maintain the current layout and just display the multiple securites values > comma separated in symbol, book, price etc columns. > > I actually added the multiple security functionality this afternoon (Asia > time) from an indicator monitoring perspective and adjusted to gui to some > degree (show all securities tabbed in the strategy info dialog etc.). It > seems to work okay. I'm not sure if I chose the most appropriate > architecture, but I just wanted to get a feel for how tough it might be. As > with any automated trading system, the real difficulty I think would lie in > the order management. Since there are multiple securities, there is a need > to keep track of partial executions etc, ideally with unwind functionality > on failed legs and the like. > > With respect to version control, what did you mean exactly? I currently > use TortoiseSVN and just created a private online repository for this, > based off the most recently released version. > > -- > 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/-/7UFPNlyfXbEJ. > > 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.
