Recent Posts

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21
News & Announcements / PTL Trader v1.7.0 Released!
« Last post by admin on March 08, 2023, 12:16:49 pm »
Dear community!

We are happy to announce we have released a new version of PTL Trader (v1.7.0) fixing some issues with UI and incompatibilities with the recent versions of IB API.

Project on GitHub: https://github.com/quantverse/ptltrader

Changelog: https://github.com/quantverse/ptltrader/releases

Manual: https://wiki.pairtradinglab.com/wiki/PTL_Trader_Manual
22
Technical Details / Re: Problem with the platform
« Last post by admin on March 06, 2023, 05:41:56 pm »
We are preparing a release to address this problem. This won't bring support for the fractional shares though, it will just fix the historical data download under IB Gateway 10.19.
23
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by admin on March 03, 2023, 11:26:06 am »
You can take a look to PTL Trader implementation: https://github.com/quantverse/ptltrader
24
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by svkuz on March 02, 2023, 05:19:09 pm »
Thank you for your answer.

I have tried this with 34 or 100 unstable period and it gives me the same z-score result.

Also, I tried changing compability and no way: https://github.com/TA-Lib/ta-lib/blob/main/src/ta_func/ta_EMA.c#L285

What else can be?

Thank you again,
Best Regards.
25
Questions & Answers / PLT Trader Engine Status: Wait for hist Data
« Last post by Yiping Zhao on March 02, 2023, 09:18:42 am »
Hey,

I have the IB pro account (Seems non-Pro can't use API gateway?) with below subscriptions:

US Securities Snapshot and Futures Value Bundle ($10 / month, waived for activity)
US Equity and Options Add-On Streaming Bundle ($4.50 / month)


I still keep getting the errors to failed retrieve historical data like the attachment. Anyone can help?

26
Questions & Answers / Re: Z-score from EMA difference with Ratio Model
« Last post by admin on March 01, 2023, 04:12:33 pm »
Probably the unstable period of EMA. EMA is an infinite-response filter, so you have to set the unstable period to "cut" the history.
https://ta-lib.org/d_api/ta_setunstableperiod.html
27
Questions & Answers / Z-score from EMA difference with Ratio Model
« Last post by svkuz on March 01, 2023, 05:53:01 am »
Hello!

Firtly, congratulate with all work done, it's really helpful.

I have done some own tests to do backtests, and I found that your z-score its different than mine, using this backtest as a reference: https://www.pairtradinglab.com/backtests/Y-33ItOP-XTOENSI

Details:

What could be wrong in my calculations of z-score to be near of yours?

I attached my dataframe exported to excel to compare.

Thank you again,
Best Regards.
28
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by admin on February 27, 2023, 10:26:26 am »
https://www.pairtradinglab.com/faq#ptl-website-portfolio-unique-legs
29
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by don martin on February 26, 2023, 11:35:40 pm »
OK, I see the limitation now.

However, why is this imposed?

Why not enable this multiplicity, on the basis that the first AAA to enter trade will then block all other AAA combinations?
This will enable me to track multiple combinations of AAA, and trade the first pair to reach entry signal.
The next time it will most probably be a different combinations of AAA to reach entry signal.


Thanks, Don

30
Portfolio Management / Re: more than 10 pairs in one portfolio?
« Last post by admin on February 26, 2023, 03:39:03 pm »
Hi,

the number of pairs per portfolio is virtually unlimited, I think the problem in your case is that you are attempting to add pairs sharing a leg with other pairs in the portfolio, so make sure you check this out...

Example: If you already have pair AAA/BBB in the portfolio, you won't able to add AAA/CCC, CCC/AAA, BBB/CCC, CCC/BBB, ...
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