JArbitrager release 1.01

[nonlinear5]

Latest release download: http://jarbitrager.googlecode.com/files/JArbitrager-1.01.zip
Market data: http://jarbitrager.googlecode.com/files/marketData-1.01.zip
Release Notes: http://code.google.com/p/jarbitrager/wiki/ReleaseNotes
Issues: http://code.google.com/p/jarbitrager/issues/list

Changes in this release:
-- Added validation of the bid/ask spreads
-- Added "profit factor" and "performance index" metrics to main view
-- Improved reporting

[Eugene Kononov]

I'd like to run a "sanity" check tomorrow, July 6. The purpose is to verify that everyone running the same code gets the same results. This would tell us if the results can be believed. This is not a profitability test, but rather a consistency check.

If you would like to participate in this test, please follow these steps:

1. Download and set up the latest JArbitrager release from the project page (release 1.01)
2. Start TWS and log in to your *real* TWS account. No actual trades will be performed in the "forward test" mode.
3. At any time before 9:15 EST on July 6, start JArbitrager and run all sample strategies in the "forward test" mode: ES_NQ, ES_SPY, ES_YM, EUR_EUR, YM_DIA.
4. At any time after 16:00 EST on July 6, please report your results in this thread. It would be easiest to compare if you simply attach a screen shot of JArbitrager as the one attached with this message.

Thanks in advance for your participation!

[new_trader]

I would be in if JArbitrager is able to run in parallel with JBT.
Is setting the client ID paramter in settings from "1" to "2" enough?

In JBT I am recording 3 instruments. Can JAB still record data when
JBT is running?

>  sampleResults.png
> 21KViewDownload

[Eugene Kononov]

I would be in if JArbitrager is able to run in parallel with JBT.
Is setting the client ID paramter in settings from "1" to "2" enough?

In JBT I am recording 3 instruments.  Can JAB still record data when
JBT is running?

JAarbitrager is not subscribing to market depth, so it would not interfere with JBT. So, yes, if you configure JAarbitrager to use a different client ID, it should run in parallel with JBT.

[Eugene Kononov]

Forgot to mention another thing: unlike JBT, Jarbitrager is not using NTP time, so please make sure that your machine clock is accurate before starting Jarbitrager for this test.

[new_trader]

my machine is time synching with atom.uhr.de
with the default NTP server from JBT I had big problems. But since
this is atomic time it should not bother from which server it is, I
hope ;-)

[Eugene Kononov]

my machine is time synching with atom.uhr.de
with the default NTP server from JBT I had big problems. But since
this is atomic time it should not bother from which server it is, I
hope ;-)

It does not matter which NTP server you use. However, JBT does not change your system time, it simply uses the NTP time to time-stamp the snapshots written to a file. JArbitrager does not have this functionality yet, so it would your system time as it is. The difference should not be too large, so don't worry about it.

[new_trader]

have hust setup JBT and JAB together with client ID "0" and "2":
works fine, TWS asks two times if the attempt to connect should be
allowed.
today of cource no data comes in because of the 4th July holiday. but
technically it works

very nice peace(s) of software Eugene!!!!!!

tomorrow I will be in in your test.

[Eugene Kononov]

have hust setup JBT and JAB together with client ID "0" and "2":
works fine, TWS asks two times if the attempt to connect should be
allowed.
today of cource no data comes in because of the 4th July holiday. but
technically it works

You can test your setup by logging to TWS as edemo/demouser. There will be no data coming to JBT, becase market depth is not transmitted to a demo account, but JArbitrager should be getting all (fake) market data.

 

very nice peace(s) of software Eugene!!!!!!

tomorrow I will be in in your test.

Cool. Thanks for your participation.

[new_trader]

with edemo JAB works fine, JBT of course gets no data

I am connecting from Europe to the usfarm of IB -> will be interesting
to compare the data sets

I hope the other guys here will also participate :-)

[Gab]

I hope the other guys here will also participate :-)

I want to, I'm just not sure if my account still have data access. I'll check it out tonight.

[nonlinear5]

Just an interim update for the test which other people are hopefully
running today. As of 11:40am, JArbitrager made 38 trades. Cumulative
P&L is about +$180.

[new_trader]

intermediate results: 11:57
http://jbooktrader.googlegroups.com/web/JAB_1157.png?gda=VnvJ5j4AAABaQHSrWFvOa2jeesHi0pLhvUrPlGXWcikfgRl8lbW84n2HqHm-EiyvZAMWkmcupcnjsKXVs-X7bdXZc5buSfmx

can you please look at EUR_EUR: it has an open position of -125000

[new_trader]

ok, I have seen the sorce: it really has position size of 125000

so one would need an appropriate buying power, or am I missing
something?

On Jul 6, 6:02 pm, new_trader <loc...@gmx.de> wrote:
> intermediate results: 11:57http://jbooktrader.googlegroups.com/web/JAB_1157.png?gda=VnvJ5j4AAABa...

[nonlinear5]

> intermediate results: 11:57http://jbooktrader.googlegroups.com/web/JAB_1157.png?gda=VnvJ5j4AAABa...

Looks more or less in line.

>ok, I have seen the sorce: it really has position size of 125000
>so one would need an appropriate buying power, or am I missing
>something?

This is how it's supposed to be. One Forex Futures contract is worth
$125,000, so the other component in the pair is Forex spot of the
equivalent value. IB leverage on the Forex spot is 20:1, which means
that you need about $6250 to have the $125,000 buying power. IB margin
on the Forex future is about $2,500 or so. So, altogether, you need
about $9,000 to trade this particular pair.

[nonlinear5]

Another interim update, as of 2:00pm:

ES_NQ: 1 trade, -$307
ES_SPY: 11 trades, +$92
ES_YM: 0 trades, $0
EUR_EUR: 38 trades, +$189
YM_DIA: 8 trades, +$52

[Gab]

Sorry I couldn't participate today. I'll need more time to set up everything. 

ES_SPY: 11 trades, +$92

How many contract/shares is that?

[nonlinear5]

>
> ES_SPY: 11 trades, +$92
>
> How many contract/shares is that?

This particular strategy is trading 1 ES contract against 500 SPY
shares. 11 trades means it reversed 11 times, making $9 per trade on
average after spread and commissions.

[Gab]

This particular strategy is trading 1 ES contract against 500 SPY

shares. 11 trades means it reversed 11 times, making $9 per trade on
average after spread and commissions.

Pretty impressive.

The spread should be minimal as they both move in the same direction (in theory)

So you don't have exactly the same amount of $ on each side of the transactions. Interesting.

--
Gabriel Dancause
http://gabintl.com
http://bebite.ca

[new_trader]

Update 14:17:
ES_NQ: 1 trade, -$322
ES_SPY: 6 trades, +$41
ES_YM: 0 trades, $0
EUR_EUR: 58 trades, +$243
YM_DIA: 3 trades, +$30

-> this is a SIGNIFICANT deviation from your numbers!

[new_trader]

in my setup JBT is running in parallel with JAB. this could explain
some deviations perhaps.

[nonlinear5]

>
> -> this is a SIGNIFICANT deviation from your numbers!
>

Yes, it is. After 4pm, let's exchange the recorded data and see what's
going on.

[nonlinear5]

>
> So you don't have exactly the same amount of $ on each side of the
> transactions.
>

I do. 1 ES contract has about the same market value as 500 shares of
SPY.

[new_trader]

> Yes, it is. After 4pm, let's exchange the recorded data and see what's
> going on.

I'll send you my files to your email address after 4pm

[new_trader]

results at 16:00:
ES_NQ: 3 trades, -$133
ES_SPY: 8 trades, +$54
ES_YM: 0 trades, $0
EUR_EUR: 64 trades, +$270
YM_DIA: 8 trades, +$56

[nonlinear5]

My final results:

ES_NQ, 3 trades, -$133
ES_SPY, 13 trades, +$92
ES_YM, 0 trades, $0
EUR_EUR, 49 trades, +$236
YM_DIA, 17 trades, +$98

[dafa]

On 16:01:
ES_NQ: 3 trade, -$163
ES_SPY: 17 trades, +$128
ES_YM: 0 trades, 0
EUR_EUR: 42 trades, +$192
YM_DIA: 9 trades, +$57

[dafa]

[nonlinear5]

Looks like 3 people have participated. Here is a summary:


new_trader:
--------------------------

ES_NQ: 3 trades, -$133
ES_SPY: 8 trades, +$54
ES_YM: 0 trades, $0
EUR_EUR: 64 trades, +$270
YM_DIA: 8 trades, +$56

nonlinear
--------------------------
ES_NQ: 3 trades, -$133
ES_SPY: 13 trades, +$92
ES_YM: 0 trades, $0
EUR_EUR: 49 trades, +$236
YM_DIA: 17 trades, +$98

dafa:
---------------------------

ES_NQ: 3 trade, -$163
ES_SPY: 17 trades, +$128

ES_YM: 0 trades, $0