[JBookTrader] JArbitrager

[p***@gmail.com]

I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.

The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.

Thanks

[Ali Farahani]

Greetings,

JBookTrader has been optimized for Order Book trading. It offers a level of
abstraction through the Strategy class that works best when used for Order
Book trading. You could develop a custom layer on JBookTrader for Bolinger
Band trading to utilize the infrastructure (e.g., order management,
position management, etc.) but then it won't be JBookTrader.

Kind regards,

Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks

[Eugene Kononov]

JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a level
of abstraction through the Strategy class that works best when used for
Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
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[p***@gmail.com]

OK great, thanks

What is the main class for JArbitrager setup if you don't mind?

Post by Eugene Kononov
JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a level
of abstraction through the Strategy class that works best when used for
Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
--

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[p***@gmail.com]

OK Great I will use it

Post by Eugene Kononov
JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a level
of abstraction through the Strategy class that works best when used for
Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
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[Eugene Kononov]

JArbitrager last release was in 2010, and no development work had been done
since. You'd have to do a bit of work to bring it up to shape.
https://code.google.com/p/jarbitrager/

Post by p***@gmail.com
OK Great I will use it

Post by Eugene Kononov
JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a level
of abstraction through the Strategy class that works best when used for
Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
--

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[p***@gmail.com]

I got it running, and connected to TWS, what do you think it might be
lacking? Several TWS updates since 2010. I guess people are still using
JArbitrager?

Post by Eugene Kononov
JArbitrager last release was in 2010, and no development work had been
done since. You'd have to do a bit of work to bring it up to shape.
https://code.google.com/p/jarbitrager/

Post by p***@gmail.com
OK Great I will use it

Post by Eugene Kononov
JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a
level of abstraction through the Strategy class that works best when used
for Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
--

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[Eugene Kononov]

I don't think it would be able to place trades. It has an old version of IB
API which is not compatible with the latest version of TWS. That API needs
to be updated. You can take the newer version of that API from JBooktrader
and drop it in your JArbitrager project. Then test everything using a paper
trading account.

Post by p***@gmail.com
I got it running, and connected to TWS, what do you think it might be
lacking? Several TWS updates since 2010. I guess people are still using
JArbitrager?

Post by Eugene Kononov
JArbitrager last release was in 2010, and no development work had been
done since. You'd have to do a bit of work to bring it up to shape.
https://code.google.com/p/jarbitrager/

Post by p***@gmail.com
OK Great I will use it

Post by Eugene Kononov
JArbitrager would definitely be a better fit to this, compared to
JBookTrader.

Post by Ali Farahani
Greetings,
JBookTrader has been optimized for Order Book trading. It offers a
level of abstraction through the Strategy class that works best when used
for Order Book trading. You could develop a custom layer on JBookTrader for
Bolinger Band trading to utilize the infrastructure (e.g., order
management, position management, etc.) but then it won't be JBookTrader.
Kind regards,
Ali

Post by p***@gmail.com
I have been testing a pretty simple strategy that is more or less an
arbitrage strategy between a future and a stock, where I buy or sell when
the difference is 1 std dev away from the mean and close the position after
regresses to the mean. I am wondering if JBookTrader will handle this with
the bolinger bands indicator in some way, or should I try to set up
JArbitrager which I think I have read was designed for that.
The difference between the two securities is more or less a synthetic
security which is to be watched and traded when it deviates from the mean
or returns to the mean.
Thanks
--

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[p***@gmail.com]

Thanks, I will get to work on it.

Post by Eugene Kononov
I don't think it would be able to place trades. It has an old version of
IB API which is not compatible with the latest version of TWS. That API
needs to be updated. You can take the newer version of that API from
JBooktrader and drop it in your JArbitrager project. Then test everything
using a paper trading account.

[Eugene Kononov]

The sample strategy in JArbitrager is pretty much what you were describing.
It trades when the spread between the SPY and the ES becomes too wide, and
closes the trade when the spread reverts to its recent mean. My paper
trading of this strategy showed that this particular pair is essentially
arbitraged to death, so there is no hope for a small trader to squeeze any
profit. Did you backtest your pair yet?

Post by p***@gmail.com
Thanks, I will get to work on it.

Post by Eugene Kononov
I don't think it would be able to place trades. It has an old version of
IB API which is not compatible with the latest version of TWS. That API
needs to be updated. You can take the newer version of that API from
JBooktrader and drop it in your JArbitrager project. Then test everything
using a paper trading account.

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.
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[p***@gmail.com]

I actually found a different pair that Goldman Sachs has not thought of
yet, I have done no long-term backtesting but it reverts pretty reliably I
think. I look forward to backtesting it for real. I made about $4k last
week on one 3 day trade though.

Post by Eugene Kononov
The sample strategy in JArbitrager is pretty much what you were
describing. It trades when the spread between the SPY and the ES becomes
too wide, and closes the trade when the spread reverts to its recent mean.
My paper trading of this strategy showed that this particular pair is
essentially arbitraged to death, so there is no hope for a small trader to
squeeze any profit. Did you backtest your pair yet?

[Eugene Kononov]

Neither jbooktrader nor jarbitrager hold positions overnight. If your
trades span multiple days, you would have to make changes in the way
jarbitrager trades, backtests, and optimizes trading strategies.

Post by p***@gmail.com
I actually found a different pair that Goldman Sachs has not thought of
yet, I have done no long-term backtesting but it reverts pretty reliably I
think. I look forward to backtesting it for real. I made about $4k last
week on one 3 day trade though.

Post by Eugene Kononov
The sample strategy in JArbitrager is pretty much what you were
describing. It trades when the spread between the SPY and the ES becomes
too wide, and closes the trade when the spread reverts to its recent mean.
My paper trading of this strategy showed that this particular pair is
essentially arbitraged to death, so there is no hope for a small trader to
squeeze any profit. Did you backtest your pair yet?

--

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[p***@gmail.com]

I had no trouble updating the API in JArbitrager, now I am trying to figure
out how to edit the java to keep positions open for multiple days.

Post by Eugene Kononov
Neither jbooktrader nor jarbitrager hold positions overnight. If your
trades span multiple days, you would have to make changes in the way
jarbitrager trades, backtests, and optimizes trading strategies.

[p***@gmail.com]

I had no trouble updating the API in JArbitrager, now I am trying to figure
out how to edit the java to keep positions open for multiple days.

I am not yet familiar with how the program works, do you think this going
to be a big job or tricky to modify?

Post by Eugene Kononov
Neither jbooktrader nor jarbitrager hold positions overnight. If your
trades span multiple days, you would have to make changes in the way
jarbitrager trades, backtests, and optimizes trading strategies.

[Eugene Kononov]

You are on your own, primenumber. The development of JArbitrager stopped 4
years ago, and I don't think there are any active users.

Post by p***@gmail.com
I had no trouble updating the API in JArbitrager, now I am trying to
figure out how to edit the java to keep positions open for multiple days.
I am not yet familiar with how the program works, do you think this going
to be a big job or tricky to modify?

Post by Eugene Kononov
Neither jbooktrader nor jarbitrager hold positions overnight. If your
trades span multiple days, you would have to make changes in the way
jarbitrager trades, backtests, and optimizes trading strategies.

--
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[p***@gmail.com]

I will definitely be an active user! I have been hoping that I might one
day find a strategy that would make an autotrade program worthwhile. As
you know, there are very few good ideas that have not been arbitraged out
by the bigger fish.

Post by Eugene Kononov
You are on your own, primenumber. The development of JArbitrager stopped 4
years ago, and I don't think there are any active users.

Post by p***@gmail.com
I had no trouble updating the API in JArbitrager, now I am trying to
figure out how to edit the java to keep positions open for multiple days.
I am not yet familiar with how the program works, do you think this going
to be a big job or tricky to modify?

[Eugene Kononov]

I'd suggest that before you make any dramatic changes to JArbitrager, make
sure that your strategy works on the intra-day basis. To validate your
strategy, you would need a historical data file in JArbitrager format,
which has the prices of each of the two instruments side by side. Just like
JBookTrader, JArbitrager has functionality to backtest and optimize your
trading strategy.

Post by p***@gmail.com
I will definitely be an active user! I have been hoping that I might one
day find a strategy that would make an autotrade program worthwhile. As
you know, there are very few good ideas that have not been arbitraged out
by the bigger fish.

Post by Eugene Kononov
You are on your own, primenumber. The development of JArbitrager stopped
4 years ago, and I don't think there are any active users.

Post by p***@gmail.com
I had no trouble updating the API in JArbitrager, now I am trying to
figure out how to edit the java to keep positions open for multiple days.
I am not yet familiar with how the program works, do you think this
going to be a big job or tricky to modify?

--

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[p***@gmail.com]

At least as far as trading mode, wouldn't I be able to just set the trading
schedule to "0:01", "23:59" and just operate like that? I think I saw you
recommend that in an earlier message. It does not try to close positions
at the end of the day arbitrarily does it?

I am concerned about backtesting and optimization though, that seems like
it would take some heavy modification.

Post by Eugene Kononov
Neither jbooktrader nor jarbitrager hold positions overnight. If your
trades span multiple days, you would have to make changes in the way
jarbitrager trades, backtests, and optimizes trading strategies.

[p***@gmail.com]

And sincere thanks for developing this program!