JArbitrager release 1.00

[nonlinear5]

This is the first non-alpha/non-beta release of JArbitrager. I've
fixed a number of issues and it looks solid now. The preliminary
backtesting results look very encouraging, almost too good to be true.
I rely on you guys to test every component heavily and rigorously. I
strongly encourage you to question everything, and to post your
observations, suggestions, and bug reports.


Latest release download: http://jarbitrager.googlecode.com/files/JArbitrager-1.00.zip
Release Notes: http://code.google.com/p/jarbitrager/wiki/ReleaseNotes
Issues: http://code.google.com/p/jarbitrager/issues/list

[Eugene Kononov]

Here are my backtest results, to generate interest. This may not be very meaningful yet, as my datasets only include two to three days worth of recorded data.

[new_trader]

looks great!
are you working on a historical data downloader or should we guys here
contribute one?
based on the JSystemTrader downloader this should be straightforward.
has anyone experience on this? eugene mentioned that bid/ask should be
downloadable.

>  backtest.png
> 23KViewDownload

[Eugene Kononov]

On Fri, Jul 2, 2010 at 3:41 AM, new_trader <loc...@gmx.de> wrote:

looks great!
are you working on a historical data downloader or should we guys here
contribute one?
based on the JSystemTrader downloader this should be straightforward.
has anyone experience on this? eugene mentioned that bid/ask should be
downloadable.

Yes, I confirmed that the bid/ask 1-second bars can be downloaded, and yes, we can reuse the JSystemTrader downloader.  It just needs to be modified to download data for a pair of securities, synchronize time stamps, and to write to a file. Any volunteers to do this piece of work?

[new_trader]

how many effort in days do you estimate?
if nobody is volunteering, I could offer to do this. By quick browsing
the source one could program this within 2-5 days. As I am working on
some other stuff I could deliver a version in the second half of Juli
( 2010 ;-)) ).

I have seen in com.jsystemtrader.platform.backdata.BackDataDownloader
of JST that it downloads OHLC data. The IB API sample programs also
download as OHLC. when we download 1 sec bars the OHLC values should
all be the same, so the AVG on the OHLC values of bid and ask should
be quite OK?

[nonlinear5]

> if nobody is volunteering, I could offer to do this. By quick browsing
> the source one could program this within 2-5 days. As I am working on
> some other stuff I could deliver a version in the second half of Juli
> ( 2010 ;-)) ).
>

Your estimate of 2 to 5 days sounds about right. The downloader is now
yours.

> I have seen in com.jsystemtrader.platform.backdata.BackDataDownloader
> of JST that it downloads OHLC data. The IB API sample programs also
> download as OHLC. when we download 1 sec bars the OHLC  values should
> all be the same, so the AVG on the OHLC values of bid and ask should
> be quite OK?

We should think about this. Instead of averaging the 1-second bids and
the asks, we may want to record the lowest 1-second bid and the
highest 1-second ask. This would give us a more conservative way to
capture the data to make sure that in real trading, we would do no
worse.

[new_trader]

OK, so I will take
/JSystemTrader624/source/com/jsystemtrader/platform/backdata/
BackDataDialog.java
/JSystemTrader624/source/com/jsystemtrader/platform/backdata/
BackDataDownloader.java
/JSystemTrader624/source/com/jsystemtrader/platform/backdata/
DownloaderStrategy.java

as the basis for this.

To make SVN things easier, I will send you the source files via email
when I have something worth testing.

I will use your bid/ask handling proposal with the lowest 1-second bid

and the highest 1-second ask.