> This was posted by Ali in this group in April: > http://users.iems.**northwestern.edu/~armbruster/** > 2008msande444/OrderBook.pdf<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? > > Ok, yes, I remember that paper now. I think JBookTrader inspired that paper, not the other way around
> 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? > IB charges a $10/month fee for a data feed, which includes hundreds of symbols of a regular feed, and 3 symbols for the L2 feed. If you want to go beyond the 3 symbols, IB offers what they call "quote booster packs" for additional monthly charge. > > 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. > > > -- 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.
