Recent Posts

71

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...

72

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.

73

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!

74

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.

75

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...?

76

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.

77

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.

78

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.

79

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.

80

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.