Suggestion for Running JBT

[Madan]

Hi Everyone,
I am a newbie to JBookTrader. Please suggest me
how to test the following

1. Cancel all Limit Orders at any ask price
2. Cancel all limit orders at any bid price
3. Cancel all limit orders at any ask price and replace with a new
limit order at the best ask price

4. Cancel all limit orders at any bid price and replace with a new
limit order at the best bid price

5. Submit a FOK buy order
6. Submit a FOK sell order

Thanks in advance!

[nonlinear]

JBT does not support limit order and fill-or-kill orders. The only ones that are supported are market orders.

[Madan]

Thank you very much for your suggestion.

              Please tell me how to work with the same thing for market orders. Actually, I am not understanding placing orders and how it works. Do we have to work in strategies? I mean coding part for the instruments? How to know best bid, best ask, etc. How to cancel the orders? Please help me with the suggestion.

Thanks in advance

[nonlinear]

Please tell me how to work with the same thing for market orders. Actually, I am not understanding placing orders and how it works. Do we have to work in strategies? I mean coding part for the instruments? How to know best bid, best ask, etc. How to cancel the orders? Please help me with the suggestion.

JBT is meant for automated trading. As a user, you don't manage or place orders, this is done for you by JBT. All you need to do is to write your own trading strategy where you indicate the conditions for entering long, entering short, and going flat.

For sample strategies, see java files in the /source/com/jbooktrader/strategy package.
Also read and understand the user guide: http://docs.google.com/View?id=dfzgvqp4_10gb63b8hg

[Madan]

Hi,

Thank you for your response. Can I trade the selected instrument only? How can I have a configuration screen where I select the instrument and then JBT strategy only trades these. Any reference, please suggest.. 

Thanks in advance..

[Judson Wilson]

The instrument is programmed into the strategy class. You may need to see parent classes - as many of the example strategies have been turned into a more generalized parent class, with specific features placed into a subclass.

If you wanted to trade the same strategy on two different instruments you will need to make a duplicate class definition for the other instrument.

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[Madan]

Hi,
       Thank you for your suggestion. That means one strategy is fit for one instrument? Am I guessing right? Can we use different instruments in a single strategy?

Thanks in advance.

[Judson Wilson]

Yes, JBT is built to have 1 instrument per strategy.  The strategy may work on other instruments, but you will have to re-code it to use the other instrument (but again, only 1 at a time) or again copy->paste it into a new strategy class for that new instrument.

Thanks in advance.

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[Eugene Kononov]

In addition to Judson comments, the limitation of one instrument per strategy does not mean that you can only trade one instrument at a time. JBT is designed to allow multiple strategies trading at the same time, totally independent from each other. For example, you may have two strategies trading the ES, while the other two are trading the NQ.

[Judson Wilson]

Eugene, this brings up an interesting point.  The newish stackup of the strategies makes it significantly more difficult for a newbie to understand the basic layout of a strategy at first glance.  What do you think about shipping with something that has only 1 layer to it. 

Just throwing that out there.

[Madan]

Hi,
      Thank you very much for your suggestion. Now  I have a question like,

1. Are 'ES', 'EUR', 'NQ', QQQ, etc are the name of instrument and the classes named StrategyES.java,  StrategyEUR.java, StrategyNQ, StrategyQQQ  are the strategy classes for each instrument respectively?

2. Are LongDefender1.java, LongDefender2.java, Simple.java,etc are the Strategy classes which uses the above classes for Trading to TWS?

3. I downloaded the TWS Java API and configured it in Netbeans. It gave me a huge UI with number of buttons on the right side and 3 console bar on the left.  Now, please suggest me how can I embed my Strategy Panel inside this TWS Java API such that I can see strategy panel directly inside the TWS API and not open JBT and TWS java api separately.

Thanks in advance.

[nonlinear]

On Sunday, July 24, 2011 11:49:01 PM UTC-4, Judson Wilson wrote:

Eugene, this brings up an interesting point.  The newish stackup of the strategies makes it significantly more difficult for a newbie to understand the basic layout of a strategy at first glance.  What do you think about shipping with something that has only 1 layer to it. 

Simple.java is what it is -- a simple strategy without any superclasses.

[Judson Wilson]

1. Are 'ES', 'EUR', 'NQ', QQQ, etc are the name of instrument and the classes named StrategyES.java,  StrategyEUR.java, StrategyNQ, StrategyQQQ  are the strategy classes for each instrument respectively?

Yes those are some simple classes that you can then subclass to trade those instruments.  You don't HAVE TO use those, and you can easily make more for different instruments.  They are generally there to make strategies simpler (so you don't have to redefine this for every strategy).
 

2. Are LongDefender1.java, LongDefender2.java, Simple.java,etc are the Strategy classes which uses the above classes for Trading to TWS?

Those strategies are where the trading logic is.  JBookTrader is generally a platform that runs these strategies by measuring data and providing to the strategies, executing an update to the strategy every 1 second, and taking any order requests from the strategy and routing them to IB TWS and makes sure they execute with a few monitoring functions.
 

3. I downloaded the TWS Java API and configured it in Netbeans. It gave me a huge UI with number of buttons on the right side and 3 console bar on the left.  Now, please suggest me how can I embed my Strategy Panel inside this TWS Java API such that I can see strategy panel directly inside the TWS API and not open JBT and TWS java api separately.

No.  This would be silly.  That program you downloaded is just a demo program to show off the different features of the API - it is not made to actually be used for anything.
 

Thanks in advance.

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[nonlinear]

1. Are 'ES', 'EUR', 'NQ', QQQ, etc are the name of instrument and the classes named StrategyES.java,  StrategyEUR.java, StrategyNQ, StrategyQQQ  are the strategy classes for each instrument respectively?

There is number of sample strategies included with JBT, and all of them use the ES as the trading instrument. Conceptually, it made sense to encapsulate the ES-specific setup ina separate class, so this is what StrategyES.java is about. When you extend StrategyES.java, you are implementing your own strategy that trades the ES. The same goes for the other symbols.

 

2. Are LongDefender1.java, LongDefender2.java, Simple.java,etc are the Strategy classes which uses the above classes for Trading to TWS?

Yes, they are all sample strategies. Note that every strategy in JBT can run in 4 different modes: trading, forward-testing, backtesting, and optimization. No code modifications are required for this.

 

3. I downloaded the TWS Java API and configured it in Netbeans. It gave me a huge UI with number of buttons on the right side and 3 console bar on the left.  Now, please suggest me how can I embed my Strategy Panel inside this TWS Java API such that I can see strategy panel directly inside the TWS API and not open JBT and TWS java api separately.

TWS is the software developed by Interactive Brokers, and I have no control over it. JBT simply connects to an open port in TWS and that's how auto trading becomes possible. The information flow can be represented as this (very simplified): JBT->IB API->TWS->Exchange. There is no way to embed your own panels inside TWS. However, Interactive Brokers also publishes another piece of software, known as IBGateway. It's a much simpler version of TWS, and JBT works with it the same way it works with TWS. You can live trade or forward test your strategies in JBT with either TWS or IBGateway. This forum specifically is for JBT discussion. There are many other resources for TWS discussions. TWS itself has a lengthy user manual.

 

[Madan]

Hi,
    Thank you very much. I am getting the knowledge of so many things and is experiencing the automated trading. Sorry to take your valuable time again..

1. JBT only allows market orders. Isn't there any way to make it accept Limit Orders too? If so, where do I have to do the editing? I saw in TraderAssistant.java  it has a method called placeOrder  and placeMarketOrder... and I think Strategies only uses  placeMarketOrder  method..  So, how can we create a method that places a Limit Order and we can use that method in our Strategy section?

Thanks in advance.

[nonlinear]

 

3. I downloaded the TWS Java API and configured it in Netbeans. It gave me a huge UI with number of buttons on the right side and 3 console bar on the left.  Now, please suggest me how can I embed my Strategy Panel inside this TWS Java API such that I can see strategy panel directly inside the TWS API and not open JBT and TWS java api separately.

TWS is the software developed by Interactive Brokers, and I have no control over it. JBT simply connects to an open port in TWS and that's how auto trading becomes possible. The information flow can be represented as this (very simplified): JBT->IB API->TWS->Exchange. There is no way to embed your own panels inside TWS. However, Interactive Brokers also publishes another piece of software, known as IBGateway. It's a much simpler version of TWS, and JBT works with it the same way it works with TWS. You can live trade or forward test your strategies in JBT with either TWS or IBGateway. This forum specifically is for JBT discussion. There are many other resources for TWS discussions. TWS itself has a lengthy user manual.

I looked at Judson's response to this, and realized that I was referring to TWS while the question was about IB API GUI demo. So, ignore what I said, Judson has the right answer to this.

[nonlinear]

1. JBT only allows market orders. Isn't there any way to make it accept Limit Orders too? If so, where do I have to do the editing? I saw in TraderAssistant.java  it has a method called placeOrder  and placeMarketOrder... and I think Strategies only uses  placeMarketOrder  method..  So, how can we create a method that places a Limit Order and we can use that method in our Strategy section?

Handling limit orders is a very nontrivial business. While  only a few lines of code is needed to modify the existing placeMarketOrder() method to be able to place limit orders, there is a lot more that is needed around order cancellation, order change, partial fills, and more. There is been a number of discussions around it in this forum. As it stands right now, I am not looking to add support for limit orders to JBT.

 

[Madan]

Hi,
     Thank you for your response.. In the current situation, I just need to place limit orders,I don't need the order cancellation, order change , partial fills, etc. Please provide me some suggestion. I am in great need of this.

Thank You,

[nonlinear]

Hi,
     Thank you for your response.. In the current situation, I just need to place limit orders,I don't need the order cancellation, order change , partial fills, etc. Please provide me some suggestion. I am in great need of this.

If your program places a limit order, and the market runs away without touching your price, what are you going to do? Place another order while the existing one is still in force?

[Judson Wilson]

1. JBT only allows market orders. Isn't there any way to make it accept Limit Orders too? If so, where do I have to do the editing? I saw in TraderAssistant.java  it has a method called placeOrder  and placeMarketOrder... and I think Strategies only uses  placeMarketOrder  method..  So, how can we create a method that places a Limit Order and we can use that method in our Strategy section?

To elaborate more on what Eugene said, you should play with the back testing and optimization features.  Don't modify any code, just play with the features.  Get a feel for how they work.

Then try and figure out how you would know if a limit order filled or not.  In theory you will never know, unless the bid/ask crosses the threshold of your limit - but in that case the limit order will fill exactly the same as a market order - so there is no reason to use a limit order.

[Judson Wilson]

     Thank you for your response.. In the current situation, I just need to place limit orders,I don't need the order cancellation, order change , partial fills, etc. Please provide me some suggestion. I am in great need of this.

I don't think you understand what JBT is used for, and you are forcing it to do something completely different.   I recommend you try and see what it does, and whether that is anywhere near what you want to do.   If you have a specific algorithmic trading idea, tell us about it and maybe we can help with that.

[Madan]

Hi,
       Thank you for your suggestion. I am a newbie to JBT so lots of confusions in my head. Hoping to receive your tips and suggestion in future too. Let me study and run it again. will be back soon with lots of question.

Thank you,

[Madan]

Hi,
      I want to place mkt orders for 'mini S&P'. So, how do I do it? I saw the code in the StrategyES.java

"Contract contract = ContractFactory.makeFutureContract("ES", "GLOBEX");"

      I made another class called StrategyPS.java with the same style of StrategyES.java,  but don't know how to configure  'mini S&P'  as  "ES" is configured.

Is this the way I do it ?

"Contract contract = ContractFactory.makeFutureContract("mini S&P", "GLOBEX");" ??

please suggest. I am confused in  "GLOBEX",  is it same for  "mini S&P"?

Thanks in advance.

[Eugene Kononov]

On Tue, Jul 26, 2011 at 7:15 AM, Madan <java...@gmail.com> wrote:

Hi,
      I want to place mkt orders for 'mini S&P'. So, how do I do it? I saw the code in the StrategyES.java

Start with the included strategy called Simple.java, which trades the ES. Then modify it with your own "long" and "short" rules.

[Judson Wilson]

How do you trade a "mini S&P" in interactive brokers TWS?

If I am not mistaken, you do that by typing in "ES" and select futures, then select the month of the contract.

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[Madan]

Hi,
      Thank you for the suggestions. I have some questions like

1. If the order is placed, how can I know it?
2. I right clicked the Simple Strategy but the 'chart' was deactivated. I clicked it while  Simple Strategy was running in 'Trade' mode. How can I see the chart analysis?

Thanks in advance,

[nonlinear]

1. If the order is placed, how can I know it?

In JBT, you don't place orders, it's done for you by the framework. This relieves the JBT user of the necessity to keep track of orders and executions. Instead, your strategy code simply indicates the conditions when to enter long and short. Example:
if (tension >= entry) {
    setPosition(1);
}

In this sample code, the strategy says, "if my indicator called "tension" reaches some extreme value, I want to go long 1 contract". Since this is a market order, it's guaranteed to execute (typically within 100ms to 500ms, depending on your network speed). When the order is executed, the notification is sent to the strategy, so it knows that it's now 1 contract long. Again, this is all isolated from you as a user, and you don't need to understand how it's done, unless you are thinking of changing the mechanics of this. There is however a reporting mechanism. When JBT runs in either trading, forward-testing, or backtesting modes, it generates a detailed report with all the trades information. Look in your /report directory.

 

2. I right clicked the Simple Strategy but the 'chart' was deactivated. I clicked it while  Simple Strategy was running in 'Trade' mode. How can I see the chart analysis?

In the "traditional" trading, you look at the chart and make a decision to buy or sell. In the JBT world, your strategy decides to buy or sell, and at the end of the day, you look at the chart to see what happened. That is, charts are only used for "post-trading" analysis. To see the chart, run any strategy in a backtest mode, then right click on the strategy and select "Chart".

 

[Madan]

Hi,

            Thank you for your suggestion. I have another query, I right clicked the Strategy named Simple and clicked on 'Trade' with the instrument ES on it.. but it showed me

 

book =4
price=11560
position=0
trades=0
duration=0
bias=0
pf=0
pi=0
kelly=0
max dd=0
net profit=0

 

                            in TWS, it's not showing the data of ES too and I think orders are not placed as everything is 0. Please suggest.. where I am mistaken.

 

Thanks in advance,

 

[Eugene Kononov]

Please post your event report.

 

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[Madan]

Hi,
          This is the one I saw in the event report..

Contract details:
Trading class: YM
Exchanges: ECBOT,MIBSX
Long name: Mini Sized Dow Jones Industrial Average $5
Market name: YM
Minimum tick: 1.0
Contract month: 201109
Time zone id: CTT
Trading hours: 20110804:1530-1630,1700-1515;20110805:1530-1630,1700-1515
Liquid hours: 20110804:0830-1515;20110805:0830-1515


                    
                Is it being traded? But I can't see it in TWS completed Trades? Please suggest.

1. Also, how do I write a Future Instrument Name? Is it only "YM", "ECBOT"   or   some more text I have to add in Strategy Panel?
2. I cannot run multiple strategies at a single time..I keep receiving errors..  where should I check it?
3. Is there facility of any Simulator such that whenever strategy places a market order.. it should be viewed on simulator too! Any Idea, Any tips and tricks or suggestion !!

               Hoping to receive your suggestion soon.

Thanks in advance!

[Eugene Kononov]

I'd like to see the event report to be able to help you.

Thanks in advance!

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[Madan]

Hi,
I have been running all the strategies at once and yet no order
is placed.. the values are shown Zero. Only the book and price value
keeps on changing. Following is the Event Report...

08/05/11 14:27:35.554 ShortDefender2 Strategy started. Trading
schedule: 10:00 to 15:30 (America/New_York)
08/05/11 14:27:39.816 ShortDefender1 Strategy started. Trading
schedule: 10:00 to 15:30 (America/New_York)
08/05/11 14:27:44.108 LongDefender3 Strategy started. Trading
schedule: 10:00 to 15:30 (America/New_York)
08/05/11 14:27:46.965 LongDefender2 Strategy started. Trading
schedule: 10:00 to 15:30 (America/New_York)
08/05/11 14:27:50.120 LongDefender1 Strategy started. Trading
schedule: 10:00 to 15:30 (America/New_York)
08/05/11 14:31:31.746 IB API 2104: Market data farm connection is
OK:eurofarm


Can you give me a simple strategy.. if possible code..
so that I can test if order are placed successfully on TWS or not.
Now, all the values are shown as below

book =4
price=11560
position=0
trades=0
duration=0
bias=0
pf=0
pi=0
kelly=0
max dd=0
net profit=0

Please help.

Thanks in advance,

> >http://groups.google.com/group/jbooktrader?hl=en.- Hide quoted text -
>
> - Show quoted text -

[nonlinear]

            Can you give me a simple strategy.. if possible code..
so that I can test if order are placed successfully on TWS or not.
Now, all the values are shown as below

If you want to test the order placement and execution, use one of the sample strategies, modify its entry thresholds so that they produce a lot of trades. Verify by running a backtest. Then start a paper-trading instance of TWS, and run the strategy in the trading mode.

 

 

[Knm]

Hi,

Does anyone have the market data for the past 2 days (8/4 - 8/5) for
ES? I've been having computer problems. Thanks!!!

On Jul 26, 1:58 pm, Judson Wilson <wilson.jud...@gmail.com> wrote:
> How do you trade a "mini S&P" in interactive brokers TWS?
>
> If I am not mistaken, you do that by typing in "ES" and select futures, then
> select the month of the contract.
>

[Madan]

Hi,
         Thank you for the suggestion. Do anyone have some simple strategy based on Moving Average? I want to learn how moving average works so can you please suggest how to implement in JBookTrader? Which classes are to be changed and how the entry, exit, scale factor and period would be edited? I am totally new to trading system and learning automated trading system through using JBookTrader.



Thanks in advance!

[Judson Wilson]

Look for an indicator with EMA in the name, and add it to your strategy.

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[Madan]

Hi,
     Many many thanks for your suggestion. I found BalanceEMA.java  in the package indicator. Is this the one you referring to? Also there is  addIndicator method in Defender class. I also saw IndicatorManager and Indicator class inside the platform package.  I would like to request you to please suggest me how to add this EMA class in strategy to support moving average?

        I am learning JBT.

Thanks in advance.

[Judson Wilson]

BalanceEMA is built on top of the Book Balance, which is a measure of the ratio of limit orders on the buy and sell side.  This is probably not what you are interested in.  You want something based on price, not on balance.

Thanks in advance.

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[Madan]

Hi,
     Thank you for your suggestion. So, where should I find EMA class for moving average? How should I add it to the strategy? Please  provide me with the suggestion.

Thanks in advance.

[Eugene Kononov]

 So, where should I find EMA class for moving average?

PriceEMA.java in /source/com/jbooktrader/indicator/price

 

How should I add it to the strategy?

The same way it's done in the sample strategies. Example:
priceEMAInd = addIndicator(new PriceEMA(60));

As I suggested to you before, take one as a template and change it the way you like. In JBT, all you need to do is to implement your own strategy class. You don't need to do anything outside of that, unless you are doing something very fancy.

[john.crichto...@gmail.com]

Sent on the Sprint® Now Network from my BlackBerry®

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Date: Mon, 8 Aug 2011 19:33:13 -0400

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Subject: Re: [JBookTrader] Re: Suggestion for Running JBT

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Subject: Re: [JBookTrader] Re: Suggestion for Running JBT

Hi,
     Thank you for your suggestion. So, where should I find EMA class for moving average? How should I add it to the strategy? Please  provide me with the suggestion.

Thanks in advance.

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[Madan]

Hi,
Thank you for the suggestion. I added in this way in Simple
Strategy

private Indicator priceEMAInd;
@Override
public void setIndicators() {
priceEMAInd = addIndicator(new PriceEMA(60));
}


Is this the correct way? Please suggest. i don't see any trade
happening yet. Am I mistaken somewhere? You said me to change the
Entry threshold. i changed but nothing happened. Please suggest me
what are the common ones, because I am testing in TWS simulator. I am
using ES, GLOBEX as an instrument.

Thanks in advance.

[Judson Wilson]

No offense, but you need to learn Java.  If you know Java, you need to spend a good amount of time reading the code and figuring out how it works.

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