beathespread

Comments

• • jaguar1637@jaguar1637

  

  jaguar1637 4571 days ago

  # ----------------------

   # EXAMPLES OF SPOT FOREX

   # ----------------------

  AUD.USD CASH IDEALPRO  #

  EUR.USD CASH IDEALPRO  #

  GBP.USD CASH IDEALPRO  #

  NZD.USD CASH IDEALPRO  #

  # other examples (non USD currencies, use separate instances)

  USD.JPY CASH IDEALPRO  #

  EUR.JPY CASH IDEALPRO  #

  GBP.JPY CASH IDEALPRO

  AUD.JPY CASH IDEALPRO

  CAD.JPY CASH IDEALPRO

  CHF.JPY CASH IDEALPRO

  NZD.JPY CASH IDEALPRO

  USD.CAD CASH IDEALPRO  #

  EUR.CAD CASH IDEALPRO  #

  AUD.CAD CASH IDEALPRO

  GBP.CAD CASH IDEALPRO

  EUR.AUD CASH IDEALPRO  #

  GBP.AUD CASH IDEALPRO

  USD.CHF CASH IDEALPRO  #

  EUR.CHF CASH IDEALPRO  #

  GBP.CHF CASH IDEALPRO

  EUR.GBP CASH IDEALPRO  #

  AUD.NZD CASH IDEALPRO

  USD.HKD CASH IDEALPRO

  USD.SGD CASH IDEALPRO

  USD.SEK CASH IDEALPRO

• • JohnLast@JohnLast

  

  JohnLast 4571 days ago

  This product is amazing. 

  I see a trend that is coming, that more and more traders will get into the millisecond trading and that will make it as all the other market frequencies.

  What do you think about this aspect?

• • JohnLast@JohnLast

  

  JohnLast 4570 days ago

  Is it possible for you to run it in demo mode with free market data?

• • jaguar1637@jaguar1637

  

  jaguar1637 4570 days ago

  Yes, this is the aim. To fetch the datafeed from Interactive brokers and display the ticks by G-Bot. This tool is quite huge

• • jaguar1637@jaguar1637

  

  jaguar1637 4561 days ago

  A message from Tom

  
  Here, enclose a G-BOT update. See links below for download.
  
  DOWNLOAD 
  ===============
  Folio Algorithmic Trading Platform [changed]
  G-BOT:  http://www.datatime.eu/public/gbot/G-BOT_2012_06_14.rar
  
  Tickdata capture/store utility [changed]
  TickGrabber:  http://www.datatime.eu/public/gbot/TickGrabber_2012_06_14.rar
  
  a G-BOT wallpaper (not changed):
  http://www.datatime.eu/public/gbot/G-BOTWallpaper.jpg   [use "stretch" mode]
  
  ===============
  
  Note: if the above links do not work within your email client, paste them directly in your browser
  (or try right clicking and choosing "open in new window").
  
  from Tom "I am currently carrying out a real $$$ test on ETFs to examine use of the bot with relatively small capital. See the journal on ET: http://www.elitetrader.com/vb/showthread.php?s=&postid=3518329#post3518329  "
  
  
                  ** Changes or new features since previous build **
                 
  - Modified cointegration folio balancing, to allow unlock when hedging level reaches exposure level [thanks to James, Canada, for helpful discussions and testing]
  - Added a global measure of exposure [thanks to Mike, Sydney, for suggesting this]
  - Added a checkbox on start page to allow avoiding SMARTrouting (STK would use the primary exchange if unchecked) [thanks to Ben, NY, for pointing this out]
  - Refined cointegration computations
  - Slightly delayed volatility use, to allow a more meanigful packet recalibration
  - Refined quick info (now in graphics mode, autoresizing, and allows multiple messages in place without repopping)
  - Added some new games (under testing)
  
    Bugfixes:
  - Tickgrabber: corrected port switching (got disabled in previous update)
  
  
  If you keep your symbol file in the G-BOT folder, here is a fresh copy of an updated symbol file (added some symbs: check them out)
  http://www.datatime.eu/public/gbot/G-BOT_Symbs.txt
  
  
  Thanks all for the outstanding continuos suggestions, support, testing, trading and features requests which  have made this platform so robust, user oriented and effective, and allow continuing grow steadfastly in this direction.
  
  --------------------------------------------------------------------------------------
  
  
  -------- VERSION COMPATIBILITY -------------------------------------------------------------------------------------------
  Compatible with previous update. PREVIOUS SESSION CAN BE RESTORED. (Games are automatically replaced on session restore.)
  Do not try to reload old *.game.txt files (obsolete game files can be deleted)
  If you still have the old files you can delete them and let the current files be recreate when g-bot starts up:
  G-BOT_Symbs.txt, RND_Instr.txt
  --------------------------------------------------------------------------------------------------------------------------
  
  Tested with:
  IB Trader Workstation and IB Gateway (tested with latest: Build: 926.5):
  http://download.interactivebrokers.com/download/tws40_install.exe
  
  
  API ver. 9.67  (NOTE: OLDER API *CANNOT* BE USED: THEY CAUSE CRASH)
  http://www.interactivebrokers.com/download/InstallAX_967.exe
  
  
  Install notes ( *REMOVE* THE OLD VERSION! before installing this one and check the build date, after install!):
  http://www.datatime.eu/public/gbot/Installation.htm
  
  
  Manual and strategy notes:
  http://www.datatime.eu/public/gbot/manual.htm
  http://www.datatime.eu/public/gbot/strategies.htm
  
  
  The G-Bot Algorithmic Trading Platform Project
  http://www.datatime.eu/public/gbot/
  
  
  

• • JohnLast@JohnLast

  

  JohnLast 4561 days ago

  I think that this G bot is a GREAT TOOL. I am very happy that this project exists.

  I was interested in the strategy about the order clouds and price corridors. And that reminds me about the open orders clustering related with the public order flow accumulation at psychological places.

  Indeed that is incredibly interesting but still the problem is that it is API related with very specific brokers.

  So definetely this is not for the large public and amateur traders.

• • JohnLast@JohnLast

  

  JohnLast 4561 days ago

  I still try to figure out the strategy but I can't yet. This project needs to be monitored very closely. Jaguar many thanks to you for bringing this information to us.

  And many thanks to the project developper Tom Gastaldi for developping and sharing this project.

• • jaguar1637@jaguar1637

  

  jaguar1637 4522 days ago

  Hi

  Read this very interesting thread "Does-Prediction-make-sense"

  http://www.linkedin.com/groups/Does-Prediction-make-sense-in-4394344.S.107021793?qid=a9cde884-57b7-41a2-81e6-d596ec3f1de2&trk=group_items_see_more-0-b-ttl

• • jaguar1637@jaguar1637

  

  jaguar1637 4522 days ago

  Someone post this: What do you think about ?

  It is an interesting question, should we or not try predicting short term prices? And naturally, its corollary and a requirement: it there anything to predict?
  
  The reasoning behind Oleg and Peter's arguments do sound reasonable. There are major forces at play which should have a hard time not leaving traces. We should see (detect) their footprint amid the stampede. However, the major players have also learned camouflage; have learned to slice and dice their orders for retail consumption to different venues. They will use quote stuffing without hesitation, iceberg orders, sweeps orders, shorts and even naked shorts. They will play many instruments at the same time, arbitrage and hedge positions. They will use the tools at their disposal to go undetected. And if you see a footprint, it might not be theirs.
  
  At the beginning of the day, just like at the end of the day, everyone is holding the bag. All shares are accounted for and in somebody's hands. And should everyone stand pat: no trading, no price change. So the real question might be: who wants to trade today? Who is forced or needs to enter or exit a trade today? And can we see the aggregate of their actions in market prices?

• • jaguar1637@jaguar1637

  

  jaguar1637 4439 days ago

  Read this http://www.datatime.eu/public/gbot/strategies.htm

  G-BOT is essentially based on the concept of overlaying "order clouds" at different price levels. An "order cloud" is a (dynamic) set of orders which yields a (statistically) profitable scalping action.

  Automatic hedging is essentially achieved by starting multiple order clouds on different layers ("superposition" or "overlay"), as the price moves, in time, through its range.

  An "order cloud" is formed through a set of algorithmic rules - called a "game" - which governs the creation of the orders within the order cloud. A game and a random price process give rise to a random order cloud: as the price moves, we will clearly get 1 realization among the infinite order clouds which are possible with different prices curves.

  A game can have infinite definitions, however we will use only the ones which prove to be statistically effective as to scalping action in a price corridor. The simulator included in G-BOT can be used to study the statistical properties of a game and how the corresponding order cloud is formed.

  As the price sweeps its range, new games have to be started to harvest new scalps which serve the crucial function to compensate for unfavorable vertical movements of the prices (which will cause drawdown of the order clouds which accumulate an excess of positions in an unfavorable direction). Thus multiple order clouds will be defined at different price levels, which we call "corridors".

• • jaguar1637@jaguar1637

  

  jaguar1637 4439 days ago

  http://www.datatime.eu/public/gbot/MetricsForAlgorithmicTrading.htm

  says very interesting thins about cointegration

  I define such cointegration (or codirection) index  as follows.
  Consider, for each of 2 instruments, a truncated sequence of k last prices taken at an interval of T minutes. Each time, a new price is inserted at the end of the list of prices. If the total length of the list exceeds k (or a given timeframe), we remove the oldest entries, in order to keep fixed the maximum number k of items in the list (or the timeframe considered).

  Denote these 2 lists (the recording times are the same for the two lists) as:

  P1(0), P1(1),   ... , P1(k-1),    (for Instrument 1)

  P2(0), P2(1),   ... , P2(k-1),   (for Instrument 2)

  A simple, but effective, cointegration index, ranging in the interval [-1, 1] can be obtained as:

                    Sum of ( sign( P1(i) - P1(i-1) ) * sign( P2(i) - P2(i-1) ) )
  SCX = --------------------------------------------------------------------
                                                       N

  where, N number of the products considered in the above sum (possibly, k-1), and the sum is taken over the nonnull products (zero's factors that in practice would be rare and irrelevant, could be possibly: considered, skipped, or the result of product defined according to a convenient convention).

  This index will range between -1 and 1. A value of 1 means perfect "cointegration" (they "track each other"); -1 is also a perfect (negative) cointegration. Values near 0 will indicate situations where the 2 instruments are, say, in no cointegration relation:

  -1 ("specular" shapes)  -------- 0 (no cointegration) --------- 1 (similar shapes)
  
  (The obvious reason why I only consider the sign of the corresponding increments is to make the index more "robust" and insensitive to absolute spread variations, gaps, structural changes, etc.)

  
  In practice, random instruments will often have | SCX | < 0.1. Absolute values greater than 0.4 may signify already a good cointegration. Around and beyond 0.8 we have a practical coincidence of price curves (or perfect specular shape, in case of negative correlation). 

• • stevegee58@stevegee58

  

  stevegee58 4423 days ago

  I've been an IB customer for years now but I hadn't heard of G-Bot until I came to this site.

  I have a paper trading account with live data linked to one of my live accounts so I'll try this out soon.

• • jaguar1637@jaguar1637

  

  jaguar1637 4422 days ago

  Hi

  Do you trade on news or, do you use an algorithm ?

• • stevegee58@stevegee58

  

  stevegee58 4422 days ago

  Haha option spreads!

• • stevegee58@stevegee58

  

  stevegee58 4388 days ago

  I just requested a copy of G-BOT for myself.  Should be interesting.

• • jaguar1637@jaguar1637

  

  jaguar1637 4388 days ago

  Yep,

  I just got an email from Tom, about a new release

  There are games rules, still I don't understand how to deal with. May be you will explain this to me

   

• • jaguar1637@jaguar1637

  

  jaguar1637 4139 days ago

  stratey explained here : http://www.datatime.eu/public/gbot/strategies.htm