Market Depth Data for JBT: trade in

[nonlinear]

I've been trading using JBT pretty much every day for the last two years, so I've accumulated two years of continuous market data for the ES (S&P E-mini future)  in the JBT format. Next year, I am looking to diversify the portfolio of my trading strategies by including other instruments.  I am particularly interested in the ZB (30-year US Treasury bond future), and ZN (10-year US Treasury note future) . If anyone has recorded these instruments (or any other highly liquid futures contracts), I would trade-in my ES dataset for your dataset. Thanks.

[Borg Alexander]

I am currently recording CL and GC (since 1 week) and would appreciate recieving your data, even if it's not continuous and incomplete, in order to make some backtests. Thank you!

Alexander

On Sunday, January 6, 2013 6:36:24 PM UTC+1, k wrote:

Kind of a late reply but I was sort of on a hiatus from trading with the JBT after ES dropped off in volatility.  I am looking to start it back up again sometime this year.
I have some CL (crude oil) and GC (gold) data which I've recorded temporarily from March to August of 2012.
Please let me know how I can share them.  It would be great if I can get the ES data from August 2012 and up.  Thanks!!!

[k]

I've added it to my google drive which you can download from this link.  It is a 45mb rar file -

https://docs.google.com/file/d/0B5CfxTJoYj54T1NLak9vZF95N00/edit

Let me know if you have any issues with it.

[Borg Alexander]

Yesterday night, I have made some tests with CL and experienced no problems. Tonight I will try GC. Thank you very much for the data!

Are you still collecting CL and GC? In this case I would rather collect ZC and ZS, and Eugene collects ZB and ZN, and we could share later.

Has anybody else collected non-financial futures ?

[k]

Yes, I am still running ES + CL + GC

Correct me if I am wrong but isn't IB's max book order stream limited to 3?
I got an error when I tried to run JBT on more than 3 instruments.

[Eugene Kononov]

On Tue, Jan 15, 2013 at 9:24 AM, k <knn...@gmail.com> wrote:

Yes, I am still running ES + CL + GC

Correct me if I am wrong but isn't IB's max book order stream limited to 3?
I got an error when I tried to run JBT on more than 3 instruments.

That's correct. The amounts of data and the number of events associated with market depth is massive. For the ES along, this can be easily over 1 million updates in a single day, from my estimation. So, yes, the IB limit of 3 symbols is still in place. There is probably a way around it by arrangement with IB, but I never explored it.

[Dyno Brium]

IB allows you to buy more data under subscription management. The price is very high. Better to open 2nd account.

[Eugene Kononov]

IB allows you to buy more data under subscription management. The price is very high. Better to open 2nd account.

With the second account, you'd have to run two TWS instances and two JBT instances. Is that right? Is that how you are set up, Dyno?

[Dyno Brium]

I used to have several IB accounts. I set them up in different PCs. Only one instance in a PC.

On Jan 15, 2013 10:22 AM, "Eugene Kononov" <eugene....@gmail.com> wrote:

IB allows you to buy more data under subscription management. The price is very high. Better to open 2nd account.

With the second account, you'd have to run two TWS instances and two JBT instances. Is that right? Is that how you are set up, Dyno?

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[Javier]

On Saturday, January 12, 2013 4:46:50 PM UTC+1, Borg Alexander wrote:

I am currently recording CL and GC (since 1 week) and would appreciate recieving your data, even if it's not continuous and incomplete, in order to make some backtests. Thank you!

Alexander

I'm recording NQ and YM, if anyone interested let me know.

[Borg Alexander]

Javier,

sure I am interested, but I have nothing to trade in, unfortunately.

I started this year with CL, GC, and ZC, but as I learned that "z" already collects CL and GC, I have decided to collect the grains, ZC, ZW, and ZS (corn, wheat and soybeans).

Alexander

[Judson Wilson]

It's always good to have multiple people collecting the same data, for
redundancy and debugging purposes. I recommend collecting data on at
least the instruments you want to trade.

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[Javier]

Perhaps we should colect the most relevant ones, I mean with more Liquidity.

Futures Trading Liquidity:
http://www.traders.com/index.php/sac-magazine/departments/futures-liquidity

Anyone can provide feedback trading other symbols than ES?