blowfish, One step ahead of you, it infact does already record the bid ask changes, the following is what is recorded: 1. last tick as comes in through IB 2. bid 3. ask 4. bid size 5. ask size 6. last size 7. volume All of these componets for every symbol you have it set to record for,as they come in from IB is stored, and when replayed all of these are then read back in, in the order in which they arived from real time, effectively simulating a 100% authentic replay of the day that happened.
Thanks for your reply frostengine. I guess storage of data would be another aspect as far as running software on PDA, although today's PDA come equipped with large memories. But nowadays there are very nice small portable PCs that could fit my needs! Would be very nice if your software could be used for systems based on daily OHLC also. Regards, elit
Sounds very promising! Just to 'curve ball you a bit' maybe you'd like to think about recording market depth too (or perhaps just taking it 'real time'). I think it uses a different method to bid/ask but dosent look too complex. An intresting discussion on its uses here :- http://www.elitetrader.com/vb/showthread.php?threadid=68098 Cheers, Nick.
elit, It is possible at some point it will support trading based off of end of day signals, however the earliest releases wont, but I will deffinetly keep it in mind for future versions. You will be capable of back testing strategies for EOD data, as well as looking at daily charts and playing them back day by day and such to help hone your skills... but not automated trading off of daily data until later blowfish, thanks for the suggestion, I will look into possibly recording some market depth data.... however... i believe the storage capacity for recording that as well may be really large... So i may add the possiblity to do it, but not everyone will want to unless they USE that data... Currently for testing purposes I have my system recording the following data everyday: YM, ER2, NQ, ES, and tick-nyse, these 5 symbols generate roughly a 10 mb file for everyday... thats not a lot by todays storage capacity standards... but is sitll rather big. If someone was recording 10 or 20 symbols a day and wanted market depth as well the files would eat up all there storage space after only a few months.... But some people may want to use that data so I will look into adding the posibility to record it.....
I record DOM (from IB) for a number of futures contracts into a mysql database. As an indication of storage requirements, 3 months of ES takes about 500 Mbytes. DAX is a bit more hungry ~ 650 MByte. Not unreasonable with current price of 250 Gig disks. Recording DAX ticks (price, size, bid, ask) takes about 80 MByte for 3 months. Incidently, recording 3 concurrent DOM streams into mysql tables consumes a barely measurable amount of CPU. There is a LOT of interesting info in the order book.
Frost - When do you think you will move to a beta test of your system. Do you have a website set-up yet to download the files from yet?
crazedtrader, I could release a beta tomorrow. However I want the first beta to really surprise some people with the quality, and because of that it may be a little longer before the first "public" beta than I initially forcasted simply to get more features in and clean things up enough to get off on the right foot. Private testing with close friends has already begun, although not anyone who posts on this site that could back that statement up. Also, I have not yet filed to form a llc. So at the very least we will have to wait for that paper work to go through before I can distribute any versions. Concerning a website, that also has not been set up, but I expect in the new few weeks for all of these things to come together. Good news is coding is going well, program is looking great..
This might not be your current focus but do you plan to have a range of drawing tools? I have to say they are implemented pretty poorly in most packages. Cheers, Nick.
What would be great would bea ble to tigger entries off lines and bracket exits in a like manner. The option to enter on a line annd exit on a trailing stop (or whatever you like) would be magnificent! Not sure how the best way to achieve this Perhaps being able to attach scripts to a line. It occurs that two would be good - one for when the line is drawn and one for when the line is touched. If you where to move a line then the 'drawn' script might be called again. This would allow you to have a standard script to enter a limit entry order on the line but allow flexibility to do more complex stuff. I didn't really think the last paragraph through just brainstorming as I was typing. Cheers, Nick.
This feels like the release of super nintendo, where everyone stood in line at Toys R' Us for hours waiting to get one. frost - Do you think you can post some more screenshots? This thing really sounds cool. Are you going to add custom icons and borders etc., or are you going to leave the generic stuff that comes with java? This deserves the full package.