Thanks for your speedy reply, Eugene. This was posted by Ali in this group in April: http://users.iems.northwestern.edu/~armbruster/2008msande444/OrderBook.pdf
They use the term High Frequency Trading, but they don't really mean it the way you and I might think of it. It's very much what JBT is about, AFAICT. I assumed you had read this and that it was the basis for your work. If it is not, then, out of curiosity, where did you come up with this approach to trading? My past trading experiences have made me very risk-averse. Since you say your actual returns are not as glorious as the backtesting, my biggest concern is related to the losses. Can you provide any specifics? I can live with slower gains. I cannot tolerate another account-depleting holy grail. BTW, I've seen it mentioned a couple of times that you get real-time level 2 for three symbols for free from IB. What do you have to sign up for to get that? My current ATS doesn't require real-time quotes, so I do not pay IB for any quotes. And I don't recall seeing anything about free quotes, even for only three symbols. Can you point me to that? Thank you, Lee On Tuesday, June 4, 2013 10:40:27 PM UTC-4, Eugene Kononov wrote: > > > Frankly, I've been around the block enough times with technical analysis >> to have essentially no faith in predictive trading methods. I've been >> burned so many times by Fibs and MACD and other wiggly lines that I walked >> away from trading. >> >> > Ok, I think I understand now. You want to know if JBookTrader's notion of > book trading (based on the full depth of the exchange limit order book) is > superior to other more "traditional technical" which is based on price and > volume. Is that right? This is difficult to answer. I'll say one thing, > though. JBookTrader's predecessor was JSystemTrader, which had a very > "orthodox" approach, using the well known indicators, such as MACD, as you > mentioned. I've abandoned JSystemTrader because I could not find any > strategies with sustained performance. With JBookTrader, on the other hand, > I can see evidence of the persistent edge across different instruments, > such as the ES and the CL. Then again, it's up to you to explore just how > pronounced that edge is, by developing your own trading strategies. > > > >> I read the paper, Adaptive Strategies for HFT, and am intrigued but still >> skeptical about the concept. That's what my OP was really asking about. >> >> > Got a link? JBookTrader is not really meant for high-frequency trading > where holding times are measured in milliseconds, the latency is measured > in microseconds, and the the number of trades exceeds hundreds and even > thousands of trades a day. JBookTrader can't compete in that space with the > co-located servers, high-end hardware, expensive data feeds, and complex > arbitrage models. > > > >> I now understand the theory; in practice, how are peoples' returns? >> Eugene, I looked at the page you referred me to (a couple of the columns >> are not described in the User Guide), but the returns you show are backtest >> returns. While I appreciate the value of backtesting, I'd like to know >> what happens in live trading and how the system deals with market shocks. >> Have the low drawdowns shown in the backtest proven to be realistic and >> consistent over time in live trading? >> >> > In my particular case, the real time performance has not been as glorious > as the backtested performance, but it's good enough for me to trade. > > > >> I'm also wondering, based on the paper, just how heady the strategies >> need to be. I am an electrical engineer, so I used to know all that >> complex math, but I've forgotten virtually all of it. Can I hope to create >> effective strategies as a software developer and not a mathematician? >> >> > There isn't anything mathematically advanced in JBookTrader, beyond some > simple signal processing, such as filters and derivatives. > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader?hl=en. For more options, visit https://groups.google.com/groups/opt_out.
