> I want a more realistic backtesting engine eg : > market is 1350 / 1351 say 50 lots x 50 lots.... I join the bid at 1350 for > 10 lots .... then somebody joins for another 50 lots.... (ie a total 100 > lots in the live market but 110 in the simulated market). I want it so > that if 10 trade through the bid .... nothing done... but if 60 trade > through the bid then im filled ... >
There is no order matching on the level that you describe, when backtesting with JBookTrader. The way it works in JBookTrader is that you specify the typical bid/ask spread (for example, 0.25 for the ES), and when your strategy places a "buy market" order, it's filled on the offer, and when the strategy places the "sell market" order, it's filled on the bid. Limit orders are not supported at all in JBookTrader. That said, my automated strategies have placed many hundreds of live trades with JBookTrader, and the evidence shows that the backtesting engine shows realistic fills. However, I've only traded the ES and the CL where partial fills and slippage are not an issue. > out of any of the opensource products out there JBookTrader seems to be > the only one that seems to want to collect full book data .... and I can > only assume this is to build a backtesting engine as per above > > In JBookTrader, the primary purpose of collecting and using book data is not so much for improving the "fills", but rather for developing trading strategies based on the micro-structure of the market. -- 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. For more options, visit https://groups.google.com/groups/opt_out.
