Newbie question for JBookTrader Setup in Eclipse Luna

[Ben]

I followed 2008 setup instructions and set up JBookTrader in Eclipse Luna (java version jre7). I got 12 warnings in Problems and an additional warning message appeared in Console after running the project: "WARNING: Could not open/create prefs root node Software\JavaSoft\Prefs at root 0x80000002. Windows RegCreateKeyEx(...) returned error code 5". The JBookTrader started only with one Strategy "SAMPLE" and symbol "ES". 

I read the topics but couldn't find a solution. Any advice would be great appreciated!

[Eugene Kononov]

Hi Ben, and welcome to the group. There is a simple fix to this problem:

http://www-01.ibm.com/support/docview.wss?uid=swg21496098

On Sat, Aug 9, 2014 at 11:59 AM, Ben <bh...@hotmail.com> wrote:

I followed 2008 setup instructions and set up JBookTrader in Eclipse Luna (java version jre7). I got 12 warnings in Problems and an additional warning message appeared in Console after running the project: "WARNING: Could not open/create prefs root node Software\JavaSoft\Prefs at root 0x80000002. Windows RegCreateKeyEx(...) returned error code 5". The JBookTrader started only with one Strategy "SAMPLE" and symbol "ES". 

I read the topics but couldn't find a solution. Any advice would be great appreciated!

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[Ben]

Thanks for the quick response, Eugene! I created the key HKEY_LOCAL_MACHINE\Software\JavaSoft\Prefs and it solved the registry issue. Any suggestion on the issue of only one Strategy "SAMPLE" occurred in JBookTrader? 

Many thanks!

[Ali Farahani]

Hi Ben,

JBT comes with one Sample strategy. Using this Sample, you can use the Parameters (PERIOD, SCALE, ENTRY, and EXIT) to create your own strategies. This model is based on signals that the "Order Book" data generates using exponential moving averages (Bid and Ask, Volume, and Price). The two indicators are "BalanceVelocity" and "PriceVelocity". You can use the Optimization functionality of JBT to test with historical data; or run JBJ in Forward Test mode.

The User Guide does provide additional information.

Kind regards,

Ali

--

[Ben]

Hi Ali,

I ran the sample strategy (Period=3200,Scale=16, Entry=92, Exit=-21) with supplied ES sample data, it works. Thanks for the suggestion. The remaining issue is I can only see SAMPLE strategy, not others like LongDefender 1-4 and ShortDefender 1-4 listed in User Guide. Did I miss any steps in the setup causing this issue?

Thanks,

Benhuai 

[Ali Farahani]

The Sample strategy is a Long strategy (goLong). Using this sample you can write code (a few lines) to trade in short positions using different parameters. The Sample Java file has all the pieces you need to write any type of strategy. You may also want go through the Forum discussions to get more familiar with the JBT framework itself.

Ali

[Ali Farahani]

LongDefender and ShortDefender strategies all had the same model with different Parameters.

[Ben]

Thanks for the detailed explanation, Ali! It is very helpful. I will look into the sample code and modify it as needed.

Ben

On Saturday, August 9, 2014 2:53:54 PM UTC-5, Ali Farahani wrote:

LongDefender and ShortDefender strategies all had the same model with different Parameters.

[Ben]

Hi Ali,

I can run the sample strategy with sample data, and get net profit results via optimizer (brute force or conquer &divide).  But when running forward test in the daytime, no live market data were saved in the /marketdata folder. Under that strategy, book and price were blank; the rest were all zeros. In Help/About JbookTrader/API Info, the Server Version is 71, and Client Version is 53 (it was connected to IB, right?). I can't figure out why. Any suggestion? Thanks!

Ben

On Saturday, August 9, 2014 2:53:54 PM UTC-5, Ali Farahani wrote:

LongDefender and ShortDefender strategies all had the same model with different Parameters.

[Eugene Kononov]

My guess is that you were using a "demo" IB account. To get real time market data, you need to use either a paper-trading IB account, or a real IB account.

--

[Ben]

Hi Eugene,

I used the real IB account. I checked the report and pasted part of the report below. Should the market data be subscribed first?

Thanks,

Ben

08/11/14	07:21:39.994	JBookTrader	Running mode changed to: Forward Testing
08/11/14	07:21:41.117	JBookTrader	Connecting to TWS
08/11/14	07:21:41.127	JBookTrader	Connected to TWS
08/11/14	07:21:41.128	IB API	2104: Market data farm connection is OK:usfarm.us
08/11/14	07:21:41.128	IB API	2104: Market data farm connection is OK:usfarm
08/11/14	07:21:41.129	IB API	2106: HMDS data farm connection is OK:ushmds
08/11/14	07:21:41.131	Account	AvailableFunds: 25000.00
08/11/14	07:21:41.164	IB API	2100: API client has been unsubscribed from account data.
08/11/14	07:21:41.167	JBookTrader	Monitoring server started
08/11/14	07:21:41.169	Sample_NQ	Strategy started. Trading schedule: 08:00 to 16:30 (America/New_York)
08/11/14	07:21:41.169	JBookTrader	Requested contract details for instrument NQ-NYSE-STK
08/11/14	07:21:41.170	JBookTrader	Requested book data for instrument NQ-NYSE-STK
08/11/14	07:21:41.170	JBookTrader	Requested market data for instrument NQ-NYSE-STK
08/11/14	07:21:41.206	IB API	Contract details: ID: 2 Trading class: NQ Exchanges: SMART,NYSE,ISE,CHX,ARCA,ISLAND,IBSX,DRCTEDGE,BEX,BATS,EDGEA,LAVA,CSFBALGO,JEFFALGO,BYX,IEX,PSX Long name: NQ MOBILE INC - ADR Market name: NQ Minimum tick: 0.01 Contract month: null Time zone id: EST5EDT Trading hours: 20140811:0930-1600;20140812:0930-1600 Liquid hours: 20140811:0930-1600;20140812:0930-1600
08/11/14	07:21:41.348	IB API	354: Requested market data is not subscribed.NQ NYSE/DEEP (for id 2)

On Monday, August 11, 2014 8:22:36 PM UTC-5, Eugene Kononov wrote:

My guess is that you were using a "demo" IB account. To get real time market data, you need to use either a paper-trading IB account, or a real IB account.

[Eugene Kononov]

This line in report explains it:

354: Requested market data is not subscribed.NQ NYSE/DEEP (for id 2)

In TWS, select an instrument, and pop up the "Market Depth" window. If you can' see market depth in TWS, you will not be able to get in JBT.

[Ben]

Got it. It seems that I need to subscribe the data. Thanks Eugene!

Ben

[Ben]

Hi Eugene and Ali,

With your kind helps, I am able to run and test this great trading platform JBT. One thing I encountered is when I tried to get the market deep data from stocks list on NASDAQ, the book and price values didn't show up, and it was not stored in /MarketData folder and no error in the report file either.  I subscribed the IB's level II data Nasdaq TotalView, which is supposed to cover stocks such as MSFT, TSLA. The code I used in StrategyMSFT.java (take MSFT as an example) is

Contract contract = ContractFactory.makeStockContract("MSFT", "ISLAND ");

Could you provide your insight? Thanks!

Ben

[Eugene Kononov]

This should work:

Contract contract = ContractFactory.makeStockContract("MSFT", "SMART");

Let us know if it does not.

--

[Ben]

Still no luck. This time the report file gave a message indicating no data subsribed for the stock/exchange combination.

On Thursday, August 14, 2014 12:49:54 PM UTC-5, Eugene Kononov wrote:

This should work:

Contract contract = ContractFactory.makeStockContract("MSFT", "SMART");

Let us know if it does not.

[Eugene Kononov]

In TWS, add MSFT to the grid. Select that line, then click TradingTools | MarketDepth(Level2)  from the TWS top menu. A window should pop up showing market depth on both bid and ask, multiple levels. Do you see it? If not, you have some issue with the data subscription.

--

[Ben]

I can see the market depth level 2 data for MSFT in TWS, similar to ES. Not sure how to proceed?

[Eugene Kononov]

Please post your code and EventReport.

[Ben]

I was just away from the computer. I will post the code and eventreport when I am back. Thanks for being willing to help, Eugene!

[Eugene Kononov]

Ben, when you return, please try one more thing:

Contract contract = ContractFactory.makeStockContract("MSFT", "SMART", "USD");

I don't have the NasdaqTotalView subscription (because I only trade futures), so I can't verify, but I think that will work for you.

[Ben]

Hi Eugene,

The code I am using for TSLA is as below:

public abstract class StrategyTSLA extends Strategy {

    protected StrategyTSLA(StrategyParams optimizationParams) throws JBookTraderException {

        super(optimizationParams);

        // Specify the contract to trade

        Contract contract = ContractFactory.makeStockContract("TSLA", "SMART","USD");

        // Define trading schedule

        TradingSchedule tradingSchedule = new TradingSchedule("09:30", "16:30", "America/New_York");

        int multiplier = 100;// contract multiplier

        double bidAskSpread = 0.01; // prevalent spread between best bid and best ask

        Commission commission = CommissionFactory.getBundledNorthAmericaStockCommission();

        setStrategy(contract, tradingSchedule, multiplier, commission, bidAskSpread);

    }

}

Following is what I got from EventReport (please note the error message Deep market data is not supported for this combination of security type/exchange):

08/14/14	20:47:39.286	JBookTrader	Monitoring server started
08/14/14	20:47:39.287	Sample_TSLA	Strategy started. Trading schedule: 09:30 to 16:30 (America/New_York)
08/14/14	20:47:39.287	JBookTrader	Requested contract details for instrument TSLA-USD-SMART-STK
08/14/14	20:47:39.288	JBookTrader	Requested book data for instrument TSLA-USD-SMART-STK
08/14/14	20:47:39.288	JBookTrader	Requested market data for instrument TSLA-USD-SMART-STK
08/14/14	20:47:39.327	IB API	Contract details: ID: 4 Trading class: NMS Exchanges: SMART,ISE,CHX,ARCA,ISLAND,IBSX,DRCTEDGE,BEX,BATS,EDGEA,LAVA,CSFBALGO,JEFFALGO,BYX,IEX,PSX Long name: TESLA MOTORS INC Market name: NMS

Minimum tick: 0.01 Contract month: null Time zone id: EST5EDT

Trading hours: 20140814:0400-2000;20140815:0400-2000 Liquid hours: 20140814:0930-1600;20140815:0930-1600
08/14/14	20:47:39.409	IB API	10092: Deep market data is not supported for this combination of security type/exchange (for id 4)
08/14/14	20:47:40.390	JBookTrader	org.apache.commons.mail.EmailException: Sending the email to the following server failed : smtp.gmail.com:465 at org.apache.commons.mail.Email.sendMimeMessage(Email.java:1401) at org.apache.commons.mail.Email.send(Email.java:1428) at com.jbooktrader.platform.email.Notifier.send(Notifier.java:61) at com.jbooktrader.platform.email.Notifier.send(Notifier.java:41) at com.jbooktrader.platform.trader.Trader.error(Trader.java:212) at com.ib.client.EClientSocket.error(EClientSocket.java:1890) at com.ib.client.EReader.processMsg(EReader.java:331) at com.ib.client.EReader.run(EReader.java:69) Caused by: javax.mail.AuthenticationFailedException: 535-5.7.8 Username and Password not accepted. Learn more at 535 5.7.8 http://support.google.com/mail/bin/answer.py?answer=14257 z4sm503580igm.2 - gsmtp at com.sun.mail.smtp.SMTPTransport$Authenticator.authenticate(SMTPTransport.java:826) at com.sun.mail.smtp.SMTPTransport.authenticate(SMTPTransport.java:761) at com.sun.mail.smtp.SMTPTransport.protocolConnect(SMTPTransport.java:685) at javax.mail.Service.connect(Service.java:317) at javax.mail.Service.connect(Service.java:176) at javax.mail.Service.connect(Service.java:125) at javax.mail.Transport.send0(Transport.java:194) at javax.mail.Transport.send(Transport.java:124) at org.apache.commons.mail.Email.sendMimeMessage(Email.java:1391) ... 7 more

When using  Contract contract = ContractFactory.makeStockContract("TSLA", "ISLAND","USD");

I got the EventReport as below (no error message but still not able to see the deep data in JBT):

08/14/14	20:53:43.299	JBookTrader	Monitoring server started
08/14/14	20:53:43.300	Sample_TSLA	Strategy started. Trading schedule: 09:30 to 16:30 (America/New_York)
08/14/14	20:53:43.301	JBookTrader	Requested contract details for instrument TSLA-USD-ISLAND-STK
08/14/14	20:53:43.301	JBookTrader	Requested book data for instrument TSLA-USD-ISLAND-STK
08/14/14	20:53:43.302	JBookTrader	Requested market data for instrument TSLA-USD-ISLAND-STK
08/14/14	20:53:41.337	IB API	Contract details: ID: 4 Trading class: NMS Exchanges: SMART,ISE,CHX,ARCA,ISLAND,IBSX,DRCTEDGE,BEX,BATS,EDGEA,LAVA,CSFBALGO,JEFFALGO,BYX,IEX,PSX Long name: TESLA MOTORS INC Market name: NMS

Minimum tick: 0.01 Contract month: null Time zone id: EST5EDT

Trading hours: 20140814:0400-2000;20140815:0400-2000 Liquid hours: 20140814:0930-1600;20140815:0930-1600

[Eugene Kononov]

1. The contract multiplier should be set to 1 for stocks (it's only applicable to futures)

2. The EmailException is thrown because you have not configured the email user name and password. You can simply turn off the email notification service from preferences.

3. In your second try, the error was swallowed. To enable the error reporting, replace this:

   // 200: bad contract

            if (errorCode == 200) {

                traderAssistant.volumeResponse(id, -1);

            }

with this

   // 200: bad contract

            if (errorCode == 200) {

                eventReport.report(JBookTrader.APP_NAME, errorMsg);

                traderAssistant.volumeResponse(id, -1);

            }

4.  How does your market data subscription age looks like. Do you have both the "US Securities Bundle" and "Nasdaq TotalView" checked? I've attached mine for reference.

5. I've always used JBT with futures, and it's been a long time since I tested it with stocks, so perhaps I missed something.

[Ben]

On Thursday, August 14, 2014 9:41:55 PM UTC-5, Eugene Kononov wrote:

1. The contract multiplier should be set to 1 for stocks (it's only applicable to futures)

OK, I will reset it to 1 

2. The EmailException is thrown because you have not configured the email user name and password. You can simply turn off the email notification service from preferences.

Thanks

3. In your second try, the error was swallowed. To enable the error reporting, replace this:

   // 200: bad contract

            if (errorCode == 200) {

                traderAssistant.volumeResponse(id, -1);

            }

with this

   // 200: bad contract

            if (errorCode == 200) {

                eventReport.report(JBookTrader.APP_NAME, errorMsg);

                traderAssistant.volumeResponse(id, -1);

            }

I couldn't find this in JBT 9.0.1, instead in Trader.java I got

            // 200: bad contract

            

            // 309: market depth requested for more than 3 symbols

            boolean isInvalidRequest = (errorCode == 200 || errorCode == 309);

            if (isInvalidRequest) {

            eventReport.report(JBookTrader.APP_NAME, errorMsg); //add one line for error message

                Dispatcher.getInstance().fireModelChanged(Event.Error, "IB reported: " + errorMsg);

            }

With new code, it seems no error message for Contract contract = ContractFactory.makeStockContract("TSLA", "ISLAND","USD");  

The EventReport is same as before and one more line occurred:

08/14/14

22:49:22.049

IB API

2104: Market data farm connection is OK:usfarm.us

4.  How does your market data subscription age looks like. Do you have both the "US Securities Bundle" and "Nasdaq TotalView" checked? I've attached mine for reference.

Thanks for the reference! I selected both  "US Securities Bundle" and "Nasdaq TotalView" . The only difference between ES and TSLA I see in TWS Market Depth Window is that there is one footnote (additional sources available:ARCA,BEX, and an option for subscribe  ) at the bottom of TSLA window. Maybe this is the key to the issue. Will check with IB tomorrow.

[Ben]

I noticed that there is a slight difference of Tading class and Market Name in EventReport for TWTR (NYSE) and TSLA(NASAQ).  I can get access to NYSE, not NASDAQ, market depth data in JBT

08/15/14	06:59:03.765	Sample_TWTR	Strategy started. Trading schedule: 05:00 to 16:30 (America/New_York)
08/15/14	06:59:03.765	JBookTrader	Requested contract details for instrument TWTR-USD-NYSE-STK
08/15/14	06:59:03.766	JBookTrader	Requested book data for instrument TWTR-USD-NYSE-STK
08/15/14	06:59:03.767	JBookTrader	Requested market data for instrument TWTR-USD-NYSE-STK
08/15/14	06:59:03.805	IB API	Contract details: ID: 5 Trading class: TWTR Exchanges: SMART,NYSE,ISE,CHX,ARCA,ISLAND,IBSX,DRCTEDGE,BEX,BATS,EDGEA,LAVA,CSFBALGO,JEFFALGO,BYX,IEX,PSX Long name: TWITTER INC Market name: TWTR

Minimum tick: 0.01 Contract month: null Time zone id: EST5EDT

Trading hours: 20140815:0930-1600;20140818:0930-1600 Liquid hours: 20140815:0930-1600;20140818:0930-1600
08/15/14	06:59:04.745

IB API

2104: Market data farm connection is OK:usfarm.us

08/15/14	06:59:22.936

Sample_TSLA

Strategy started. Trading schedule: 09:30 to 16:30 (America/New_York)

08/15/14	06:59:22.936

JBookTrader

Requested contract details for instrument TSLA-USD-ISLAND-STK

08/15/14	06:59:22.937

JBookTrader

Requested book data for instrument TSLA-USD-ISLAND-STK

08/15/14	06:59:22.938

JBookTrader

Requested market data for instrument TSLA-USD-ISLAND-STK

08/15/14	06:59:22.974	IB API

Contract details: ID: 4 Trading class: NMS Exchanges: SMART,ISE,CHX,ARCA,ISLAND,IBSX,DRCTEDGE,BEX,BATS,EDGEA,LAVA,CSFBALGO,JEFFALGO,BYX,IEX,PSX Long name: TESLA MOTORS INC Market name: NMS Minimum tick: 0.01 Contract month: null Time zone id: EST5EDT

Trading hours: 20140815:0400-2000;20140818:0400-2000 Liquid hours: 20140815:0930-1600;20140818:0930-1600