Looking at the code, and this feature request. I think we can use IB API to get the historical data, since we all pay for it!
My suggestion is to create a new type of object, which lazy loads a 1yr security historical data for any security. Let's call it SecurityHistory (think of this like a macro marketbook, with no book data). Next, we need to have a tier for HistoricalIndicators, which can get access to SecurityHistory. These HIstoricalIndicators can have state, for EMA calculations, etc. Then, any Strategy can create as many HistoricalIndicators it wants. I don't think this would break the existing object oriented model too much ;). If you want, I can write this as an example and share it with the team for review. Any other thoughts about how to organize it, or features it needs before I start? Marcus On Wed, Jan 9, 2013 at 10:53 AM, Iñaki Andersen <[email protected]>wrote: > Thanks Eugene and Judson for your answers. I agree with Judson that using > the ES index seems a priori the best solution, to avoid contract switch > distortions in the JBT logged data, and volume seems not so important. I'll > keep you posted if I have any progress in any of those areas. > > > El miércoles, 9 de enero de 2013 05:27:23 UTC+1, Judson Wilson escribió: > >> On Tue, Jan 8, 2013 at 1:43 PM, Iñaki Andersen <[email protected]>wrote: >> >>> - It seems that the strategies work fine over a period of weeks >>> following a certain market trend or market conditions. However, as JBT >>> strategies are intraday, they do not take into account the overall trend of >>> the last weeks. However, my experience is that they can be quite sensitive >>> to it. >>> >>> For example, perhaps the platform could easily generate a file (from the >>> logged data or from IB) with some daily values e.g. the open, close, max, >>> min, volume, etc. so that strategies use this info when launched everyday >>> e.g. to not enter (or control position sizing in the new version?). Maybe >>> it goes a bit agains the JBT phylosophy, and maybe there are other ways to >>> avoid entering in adverse periods, but I thought it was worth commenting... >>> >> >> >> This was one of my next areas of work, but I am on indefinite hold for >> the moment (grad school). >> >> The main issue I found is that every few months the contract switches. >> This creates a disconnect in your data. This is a long known-about issue, >> and blending the edges goes back probably to the beginning of quantitative >> futures or options trading. >> >> My proposed solution is to use the underlying ES index. This would be >> price only, not volume. Volume is a strange beast to think about when it >> comes to roll-over. I was thinking a simple open/high/low/close bar for >> each day would be very useful for creating basic notions of long term trend >> and volatility. >> >> >> >> -- > 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/-/Uditd7bns3YJ. > > 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.
