Recent Posts

71

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

« Last post by JackBeach on July 18, 2022, 06:03:38 am »

Hi, Karel.

Simply put, I would like to know how fast (how frequent) PTL is polling the data during trading.
I'm not doubting at all the "real-time"-ness of PTL, I'm just interested in knowing how often PTL is getting the data from IB?

Example: Is PTL polling the real-time data every 100ms, 500ms, 1 sec...?

72

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

« Last post by JackBeach on July 18, 2022, 05:31:57 am »

Hi Karel,

Yes, noted on the HFT 

By the way, how "real-time" is PTL Trader in getting the real-time data to compute Zscore, RSI, etc?

While I understand PTL is not meant for HFT, I would like to know if it makes sense to optimize the latency as much as possible (While staying reasonable of course  ) in order to avoid late/scattered fills, slippage, as much as possible.

73

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

« Last post by admin on July 18, 2022, 03:36:15 am »

Hi,

I would consider them the same. You network latency will be order of magnitudes higher than than latency of the software and your operating system. Also please note the PTL Trader has no ambition whatsoever of being suitable for HFT pairs trading - that's quite impossible with using the IB broker anyway.

74

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

« Last post by admin on July 18, 2022, 03:21:38 am »

Well the bid-ask spread definitely exists This is a property of every market. I don't understand the part about 1 -2 - 3 seconds.

75

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

« Last post by JackBeach on July 17, 2022, 08:04:58 pm »

Hi, PTL Team,

Is the real-time bid/ask spread really happening in real-time in PTL Trader, or let's say every 1, 2 or 3 seconds.?

I'm trying to see if it really makes sense to have the lowest latency possible in my setup.

76

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

« Last post by JackBeach on July 17, 2022, 12:38:56 pm »

Hello PTL Community,

Has anybody ever checked and was able to confirm if PTL Trader Linux version gives better performances than the Windows one, in term of latency?

I'm looking to reduce the latency as much as I can, therefore trying to optimize ever single piece of the chain.

77

Technical Details / IBKR pricing (Fixed/Tiered) and algo routing (SMART): what is the best?

« Last post by JackBeach on July 17, 2022, 12:30:04 pm »

Hey there,

For pair trading with PTL Trader and IBKR:
- what is the cheapest pricing to go for: Fixed or Tiered?
- as to the algo routing, from your experience, which SMART routing is best: Multipurpose or MaxFill (Maximise fill)?

78

Suggestions And Feature Requests / Compute portfolio performances based on different slots number and sort fields

« Last post by JackBeach on July 17, 2022, 10:43:07 am »

Hello, Karel,

I've been intensively playing with the backtester, which is truly amazing. So, big Kudos to you!

I think, there is a way to improve even more the efficiency of the backtester, in order to make it faster for the user to take a decision.

Here is a concrete use-case, and what I have in mind to make PTL backtester even better than what it already is: I've created a portfolio comprised on 20 pairs, but I want to automatically generate all the different combinations possible in term of slots number (10, 11, 12, and so on...) but for each result, I would like to be able to sort them based on two sort fields: Max drawdown and/or Sharpe Ratio, preferably in the descending order 

Is it something that you think could be implemented?

79

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

« Last post by JackBeach on July 15, 2022, 10:33:55 pm »

Thank you!

80

Models, Algorithms & Approaches / Re: RSI and earnings filtering

« Last post by JackBeach on July 15, 2022, 10:15:40 am »

Thanks, Karel 

About the RSI Threshold, what would be the default value?

I can't seem to find it in the wiki