On Tuesday, June 4, 2013 11:21:20 PM UTC-4, Eugene Kononov wrote: > > > 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 > Yes, you're right. I had forgotten that they referenced JBT early in the paper. So what was your inspiration for this approach to the markets?
> 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. > That's helpful. Thank you! > > >> >> 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] <javascript:>. >> To post to this group, send email to [email protected]<javascript:> >> . >> 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.
