BuyZone +SOBI automated trading. Any C#/CPP coders?

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daniil
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BuyZone +SOBI automated trading. Any C#/CPP coders?

Postby daniil » Thu Jun 14, 2007 4:21 am

i renamed the topic...

IT IS NOT THE MODIFICATION OF BZ! it is the BZ with Level II behaviour checking...

the idea is - automated trading the BZ combined with SOBI (Static Order Book Imbalance)
pls check : homepages.cwi.nl/~robu/cima2005.pdf
(Section 3.1.1)

when trading BZ, Avery tells to look at Level II order book behaviour. so SOBI is quite the same i suppose.

the strategy and realisation is simple i suppose but can anyone help me to realise it in C#/CPP code using MBtrading API?

or can anyone help to make C#/CPP code which will collect raw data from MBT for charting including the following:
- TICK DATA
- VOLUME WEIGHTED AVERAGE BID
- VOLUME WEIGHTED AVERAGE ASK



if any questions how i see the entries and exits - pls PM...


BRGDS, Dan

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Postby daniil » Wed Jul 18, 2007 6:07 am

OK i refreshed my C++ skills and also learned C#
i've coded some test program which calculates Bid/Ask imbalance from Level 2 orderbook and autotrades at MBTX. i am testing it with tight Sl's /Tp's (4/5). The average result till now is average 3 winners against one looser.
Who's interested?

BRGDS, Dan

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Postby 4x=0 » Wed Jul 18, 2007 6:29 am

Expected returns = .75(5)+.25(-4) = 2.75%

:smt061


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Postby cvax » Wed Jul 18, 2007 8:53 am

Sounds interesting Dan. Would love to hear more about what you are developing.

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Postby daniil » Thu Jul 19, 2007 6:12 am

you can GOOGLE for "static order book imbalance"
some links:
http://www.cis.upenn.edu/~mkearns/projects/sobi.html
http://homepages.cwi.nl/~robu/cima2005.pdf


i found that the price definitely goes the way of imbalance value (treshold value you can find in above links), but not ususally staright up or down. so i need to think about automated open order management strategy. if any C# coders can help me...

BRGDS, Dan

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