Recent Posts

61

Questions & Answers / Re: Trying to get started with a portfolio

« Last post by JackBeach on August 22, 2022, 07:38:29 pm »

This happens if bid/ask prices are too far from the last trade price (>5%) or if bid/ask quotes are not from the same day (=too old). PTL Trader is trying to protect the trader from suspicious quotes. It is quite likely you are attempting to trade very illiquid stocks.

Hi, Karel,

I'm having the same "suspicious market data" when trading Visa, Mastercard, Google, Microsoft, so I believe it's not always an issue with stocks being illiquid.

Is there a hard limit in term of number of pairs for PTL Trader to handle properly?

62

Questions & Answers / Re: Is it possible to get the pair trade history in a CSV/JSON/TXT file?

« Last post by JackBeach on August 21, 2022, 07:21:52 am »

Thanks, Karel.

As of today, all the history is stored inside the PTL Trader code itself, or in a dedicated file?

(I couldn't find any log file instead of the one available in appdata).

63

Questions & Answers / Re: Is it possible to get the pair trade history in a CSV/JSON/TXT file?

« Last post by admin on August 21, 2022, 04:42:03 am »

This feature is not yet implemented and not planned for the near future. However the PTL Trader is open source software, you could implement it yourself or hire someone who could do it for you.

64

Questions & Answers / Is it possible to get the pair trade history in a CSV/JSON/TXT file?

« Last post by JackBeach on August 20, 2022, 12:38:03 pm »

I would like to automate the polling of the pair trade history.

Is it possible to access the info in a CSV/JSON/TXT file?

65

Models, Algorithms & Approaches / Do you also feel that the Residual Model performs poorly?

« Last post by JackBeach on August 02, 2022, 11:02:55 am »

Hi all,

I've been playing with paper trading and 50 pairs for the past couple of months while mixing models (Ratio, Residual, Kalman Grid v2 and Kalman Auto).

And I feel like the Residual model performs poorly compared to Ratio and Kalman.

Does anyone share the same feeling?

66

Questions & Answers / Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by admin on July 20, 2022, 07:10:36 am »

Yes, you are right. Edited the documentation.

67

Questions & Answers / Re: Default parameters for Kalman-grid Model (v2) and Kalman-Auto

« Last post by JackBeach on July 18, 2022, 08:41:12 pm »

Hi Karel,

In the wiki here https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models, it states that:

"To give some insight on performance: we took 300 best performing pairs from PTL database in period Jan 2013 - Jan 2016. Then we backtested all 300 pairs using out-of-sample period (Jan 2016 - Sep 2016) and we compared their performance. Models used: Ratio(per 14), Residual(20), Kalman Grid v1, Kalman Grid v2 using exit threshold of -1 (normal) and 0 (aggressive). Margin 50% (Req-T)."

Is the aggressive really using an exit threshold of 0? Shouldn't 0 be the normal/default value instead? Just wondering if it is a typo or if the exit threshold is different using ratio vs Kalman...

68

Questions & Answers / Re: Does PTL Trader Linux give better performances in term of latency than Windows?

« Last post by admin on July 18, 2022, 08:43:42 am »

Hi,

it uses market data streaming API from IB to get realtime updates of market quotes (bid/ask). It should be fast enough.

69

Models, Algorithms & Approaches / Re: Some questions on the statistics

« Last post by JackBeach on July 18, 2022, 08:42:53 am »

That's really amazing.

Thank you so much for your reply!

70

Models, Algorithms & Approaches / Re: Some questions on the statistics

« Last post by admin on July 18, 2022, 08:33:01 am »

PTL Trader uses streaming interface for bid & ask prices, so it depends on the IB system if it applies any throttling or not. In theory it can be <50ms latency.