Recent Posts

51

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

« Last post by admin on August 25, 2022, 10:01:44 am »

No, it is stored at PTL's backend and synced each time the application starts. You could actually use PTL's API to fetch the trade history. Take look at PTL Trader's source code to find the API endpoint....

52

Questions & Answers / Re: Can NYSEMKT also be traded?

« Last post by admin on August 25, 2022, 10:00:19 am »

Yes it should be tradeable as well...

53

Questions & Answers / Can NYSEMKT also be traded?

« Last post by JackBeach on August 23, 2022, 06:11:08 am »

Hello Karel,

Can instrument listed at the NYSEMKT also be traded?

In the FAQ (https://www.pairtradinglab.com/faq#ptl-website-instruments) it says we can only use US stocks and ETFs listed on following exchanges:

• NYSE
• NASDAQ
• NYSEARCA

So I would like to check with you if NYSEMKT is a miss, or it indeed cannot be traded?

54

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?

55

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).

56

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.

57

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?

58

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?

59

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.

60

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...