On Wed, Jan 9, 2013 at 5:02 PM, Marcus Williford <[email protected]>wrote:
> 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 ;). > > This is certainly doable. My only objection is that it would complicate things quite a bit. Specifically, for the purposes of backtesting and optimization (as well as trading and forward-testing), you would now need 2 historical data files (one containing 1-sec market depth samples, and the other one containing historical prices with some lower resolution). On top of that, from what I hear from Judson, the market depth historical data file would contain the future prices (as it's now), but the second one would contain the underlying index (such as SPY, if I am trading the ES). I think there may be a simpler solution, and I am willing to look into it, but I'd like to see the evidence that the multi-week and multi-months trends affect the intraday strategies. The average holding period of my strategies is about 30-40 minutes. I really don't anticipate that these types of strategies would be affected by taking long-term trends into consideration. More importantly, all my strategies are actually anti-trend (or mean-reversion, using a different terminology). However, there are of course so many ways to trade (and to auto-trade), that it would be silly for me to say that long term trends don't matter. If someone has such a strategy, it's still possible to use it with JBT as it is, by simply specifying filters (such as EMAs and SMAs) as indicators of long length. As Judson noted, the discontinuity associated with contracts rollovers would be a problem, but that can be hacked for the "proof of concept" purposes. If I see such as proof of good performance, I'd be motivated to enhance JBT so that it can support the time frames larger than a day. -- 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.
