8.07 (January 9, 2012)- Improved the methodology of indicator initialization
- Fixed date scroll issues in the charts
- Optimization results are now sortable by table column
- Fixed the problem associated with the 2104 error code
8.06 (April 24, 2011)- Strategy information dialog uses streaming book information
- Trades are annotated slightly differently on the performance chart
8.05 (March 26, 2011)- Fixed the "cancel" functionality for the optimization and backtesting dialogs
- Removed the C2 feature
- Fixed a problem preventing two instances of the same indicator being shown on the chart
- Added an "inclusion" criteria for the optimization dialog
8.04 (February 27, 2011)- Revised Tension indicator
- Changed North America bundled future commissions from $2.00 to $2.01
- Strategy report is now more readable
- Revised sample strategies
8.03 (February 12, 2011)- Refactored various pieces for clarity and performance
8.02 (November 24, 2010)- Both the "brute force" and the "divide-and-conquer" optimizers run about 2 times faster
8.01 (November 14, 2010)- Added support for volume
- Added new indicators
- Fixed and refactored MovingWindow classes
- Added a new "bias" metric
7.10 (October 29, 2010)- Added 3 new indicators, including Kalman filter
- Added the "settlement time" for better backtesting
- Both "brute force" and "divide-and-conquer" optimizers run about 1.3 to 2.0 times faster
- Improved the MovingWindow class
- Fixed a minor problem with a unicode character
7.09 (October 11, 2010)- Refactored several classes
- Fixed NTP clock timeouts and shifts
- Added the "Average Duration" performance metric
7.08 (October 6, 2010)- Fixed the issue of leaving open positions overnight
- Fixed US futures commissions
- Fixed market depth resetting issues
- Improved D&C optimizer
- Improved web interface
7.07 (September 8, 2010)- Set look and feel to Nimbus and removed other LAFs
- Simplified web interface
- Reorganized indicators
- Simplified backtesting dialog
- Improved reporting
- Simplified performance charts
- Fixed a recursive call issue with NTP clock
- Fixed the progress indicator issue in divide-and-conquer dialog
- Reorganized sample strategies
7.06 (June 12, 2010)- Upgraded from Substance 5.2 to 6.0
- Added three more types of look and feel: Liquid, SeaGlass, and Nimbus
- Simplified Windows start-up script
- Fixed memory leak in back tester
- Added two more sample strategies
7.05 (May 31, 2010)- Added new indicators
- Improved performance of certain indicators, such as Bollinger, PriceSMA, and Price Volatility
- Added a bar size option to the back tester dialog
- Upgraded IB API to version 9.63
- Added new strategies
- Added new data set for back testing
7.04 (September 6, 2009)- Fixed an NTP clock issue which caused "time shifts"
- Reports use NTP clock
- Reports format and appearance revised
- IB error 322 is handled
7.03 (August 24, 2009)- 1-second market depth representation changed
- JBT is driven by atomic clock
- Added about 15 indicators
- Collective2 code restructured
- Fixed some issues in web admin console
- Optimizers are faster
- Fixed a concurrency issue in optimization map
- Fixed order processing issue which caused the "Order would cross related resting order" message and order cancellation
- Added sample strategies
7.02 (July 28, 2009)- Revised and improved the "divide and conquer" optimizer
- Both "brute force" and "divide and conquer" optimizers are faster
- Web console is more dynamic
- Range of dates can be specified in the backtest and optimization dialogs
- Fixed scroll bar and zooming issues in performance chart
- Added "user manual" and "release notes" to main menu
- Market depth validation is stricter and more consistent
- Better look and feel with the substance L&F
- User manual updated
7.01 (July 13, 2009)- Fixed the "market depth reset" bug which caused the market data "freezing"
- Replaced the "liquid" L&F with the "substance" L&F
- Functionality and appearance of web console significantly improved
- Updated user manual
- Added a new manual, describing how to set up JBT in Eclipse on Mac OS
- Minor GUI tweaks for Mac OS
- Optimizer window "remembers" its last size and position
- Updated sample strategies
6.11 (July 7, 2009)- Removed "email notification" feature
- Upgraded jcommons from 1.0.15 to 1.0.16 and jfreechart from 1.0.12 to 1.0.13
- Updated user manual
- Merged the "bid size" and the "ask size" columns into a single "market depth column" in the strategy table
- Minor changes to UI
6.10 (July 3, 2009)- Fixed validation for the 10-level deep book
- Upgraded to IB API v9.62
- Added cumulative bid and cumulative size columns to main table
- Updated sample strategies
- Minor refactoring
6.09 (June 26, 2009)- Fixed a bug in resetting market depth (reported by shaggsthestud)
6.08 (March 27, 2009)- Upgraded third party libraries: ibapi from 9.51 to 9.6, jcommon from 1.0.14 to 1.0.15, and jfreechart from 1.0.11 to 1.0.12
- Better handling of disconnect/reconnect events, order placement, and executions
- Market depth detected and processed up to level 10
- Fixed a problem in the "do not log/report/send duplicate messages" logic
6.07 (March 21, 2009)- Fixed the reset() method for some indicators
- Added another column to the main table
- Fixed a resource leak in optimizer (reported by Crichton)
- Fixed a problem in class finder (reported by Sonny)
- Avoid reporting (and emailing) the same error multiple times (reported by Javier)
- Adjusted Performance Index (PI) calculations so that they are the same as those for System Quality Number (SQN)
- Moved the start of ES trading from 9:35 to 10:00, so that the indicators have enough time to settle
- Revised sample strategies
6.06 (January 22, 2009)- Fixed a compilation problem with some of the sample strategies.
- Fixed a problem where JBT could not distinguish between two different Forex contracts with the same symbol (such as EUR.USD and EUR.GBP)
- Minor refactoring of exception handling
6.05 (January 18, 2009)- Fixed a problem in the "divide-and-conquer" optimizer which caused the optimizer to wander off course. The D&C optimizer is much more likely to find the peaks.
- Fixed a problem which caused the optimization results to be truncated. The optimization maps now preserve all the data, which makes reading the maps more intuitive
6.04 (January 9, 2009)- Improved the the "divide-and-conquer" optimizer
- Added two new sample strategies
- Refactored various parts of the code
6.03 (November 18, 2008)- Improved the indicator framework
- Better support for backtesting and optimization of large data files
- Bid/ask spread is set by the strategy, instead of setting it in the historical data file
- Removed manual saving of market depth data
- Revised market book implementation
- Added sample strategies
6.02 (October 21, 2008)- Simplified historical data format
- Fixed Collective2 problems
- Indicator values reset at the beginning of each day during backtesting and optimization
- Market book logic refactored
- Advisor accounts are no longer supported
- Non-HTML reports are no longer supported
- E-Mail sender simplified
- Updated IB API, JFreechart, and JCommons to their latest releases
- Replaced Jetty web server with Sun web server
6.01 (October 11, 2008)- Indexes and volume are no longer recorded or used
- Command line interface is decommissioned
- Optimization maps improved
- PI calculation chaned
- Trade counting methodology changed
- Integration with Collective2
- Added JUnit coverage
- Market book validation improved
5.09 (September 27, 2008)- Added new indicators
- Command line interface
- Web admin console to monitor JBT remotely
- Improved book validation
- Revised sample strategies
5.08 (September 12, 2008)5.07 (September 6, 2008)- Optimizer is now multi-threaded and fully utilizes all available processors
- Fixed an issue of exceptions in the report when trading stops at the end of the day
5.06 (September 1, 2008)- TRIN and VIX are no longer used or recorded
- Revised exception handling
- Moved indicator logic out of Strategy class to IndicatorManager class
- Removed unnecessary reporting
- Fixed scroll bar issues in performance chart
- Updated sample strategies
5.05 (August 29, 2008)5.04 (August 26, 2008)- All strategies have automatic access to TICK, TRIN, and VIX
- Updated jcommon and jfreechart libraries to latest versions
5.03 (August 24, 2008)- Remote notification feature improved
- Minor fix in CME data converter
- All sample strategies have been simplified by extending a common base strategy
- Added two volume-based strategies
5.02 (August 23, 2008)- Optimized sample strategies on the IB data set (June 2 to August 22)
5.01 (August 19, 2008)- Historical data format changed. Each record now represents 1-second snapshot of the market and contains the following 7 fields: date, time, period's lowest book balance, period's highest book balance, best bid at the end of the period, best ask at the end of the period, volume of traded contracts during the period.
- Max DD is calculated on closed trades
- Indicators are "self-named", i.e., no name is required when indicators are instantiated by strategies
- Strategy structure simplified: "market depth" is no longer needed to be passed to indicators
- The relationship between market book and strategies is "one-to-many". Specifically, if multiple strategies are trading the same instrument, only one market book will be created and shared by these strategies
- "Performance Index" metric has changed
- Non-trivial errors are emailed via the remote notification feature
4.05 (July 23, 2008)4.04 (July 16, 2008)- Simplified historical data format
- Fixed memory leak when backtesting
- Improved performance of optimizers
- Revised sample strategies
4.03 (July 12, 2008)- Reorganized indicators
- Fixed Max DD calculations
- Heartbeat sent "on the minute"/"on the hour"
- Revised sample strategies
4.02 (July 02, 2008)- Added a new performance measure, called "exposure". It's a percentage of time the strategy was in the market (i.e, with either long or short position) during the test period
- Fixed a memory leak when repeatedly running a backtest
- Heartbeat email notifications are sent only during trading hours
- Revised indicators and sample strategies
4.01 (June 28, 2008)- Chart has a "bar size" control
- Optimizers don't have limits on the number of strategies
- Methodology of counting trades has changed
- Structure of strategies simplified
- Replaced "True Kelly" with "Kelly Criterion"
3.05 (June 23, 2008)- Optimization maps
- Both "brute force" and "divide and conquer" optimizers are faster
- Improved GUI
- Added new performance metric
3.04 (June 8, 2008)- Reorganized indicators
- Derivates of indicators can be created
- "Divide and Conquer" optimizer significantly improved
- JFreeChart package upgraded to latest version
- Remote notification can be sent to non-gmail accounts, such as cell phones
- Implemented "hearbeat" notifications
3.03 (June 1, 2008)- Changed file format for historical market depth data
3.02 (May 24, 2008)- Implemented converter from CME market depth format to JBT format (thanks, dyno)
- Converted CME data set is uploaded
- Main window title bar shows the running mode
- Max DD is updated on every price change, and not just at the trade time
3.01 (May 14, 2008)- Significant changes in coordination between market depth timer and strategy runner. The existing wait()/notify() mechanism caused missed notifications and subsequent discrepancies in multi-user tests. This mechanism has been replaced by direct invocations.
- Historical market depth file format has changed to capture the high/low balance for each burst
- Several GUI enhancements
2.13 (May 11, 2008)- Minor changes in timing of capture of market depths
- Market depths are recorded only when time is inside trading schedule
2.12 (May 03, 2008)- Market depth history is saved automatically
- Email notifications sent on disconnection and reconnection
- Added new indicator
- Market depth historical data format has changed slightly
- Revised sample trategies
2.11 (April 27, 2008)- Single thread used for market depth timing
- Added start up script for TWS
2.10 (April 21, 2008)- Adjusted timing of market depth capture
- Sample strategies revised
- Added more indicators
- Fixed a bug causing incorrect calculation of trade P&L
2.09 (April 13, 2008)- Changed timing of market depth capture
- Sample strategies revised
2.08 (April 07, 2008)- Fixed a problem with duplicate market depths
2.07 (April 06, 2008)- Revised the format for market depth historical data files
- Implemented a new methodology for capturing market depths in their "completed" state
2.06 (March 31, 2008)- Fixed problem with price chart: it didn't not show up in trading and forward testing modes
- Added another sample strategy
2.05 (March 30, 2008)- Charting back test period has no limitation on the period size
- Bar-based indicators are supported
- Bar-based trading, backtesting, and optimization are supported
2.04 (March 25, 2008)- Fixed a problem in "Brute Force" optimizer causing it to miss some parameter combinations
- Both "Brute Force" and "Divide & Conquer" optimizers have been restructured for better transparency
- Fixed email notification feature
2.03 (March 23, 2008)- Added a "Divide & Conquer" optimizer. This is a very fast optimizer that can handle large files and large number of parameter permutations in a reasonable amount of time: O(log2N)
- Strategy structure changed slightly in regards to how parameters are handled
- Strategy parameters must be integers
- Adjusted sample strategies
2.02 (March 18, 2008)- JBookTrader.properties and JBookTrader.preferences files are no longer used. Standard Java Preferences API is used instead.
- There is a new "Configure/Preferences" menu item
- Remote monitoring is now possible. JBookTrader will send notification emails when trades occur in either "Trade" or "Forward Test" modes.
- There is a new JAR distributed with the project, activation.jar. Startup script has been modified to include it in the classpath
- Fixed a bug that would show as an empty pop up error message
- Fixed a problem in optimizer: "percent completed" was not calculated correctly under certain conditions
2.01 (March 16, 2008)- This is a major release with significant changes
- Backtester and optimizer can handle arbitrarily large data sets
- Certain display fields moved from the main window to "Information Dialog"
- Added -XX:+UseParallelGC -XX:+AggressiveHeap JVM options to Windows and Linux startup scripts for better performance on multi-processor machines
- Market depth is not "sampled" anymore
- Added CMEConverter class to handle CME historical market depth data
- The strategy constructor signature changed slightly to conform to the new framework
- Main window "remembers" its last size and position
1.06 (March 04, 2008)- Added new sample strategies with good performance
- Added new indicator
- Performance chart basic time unit is set to Second
- Commissions for stocks can have a maximum percent of trade amount
- Optimize dialog layout changed slightly
1.05 (March 02, 2008)- Market depth sampling rate can be configured using the marketDepth.samplingFrequency property
- Added new indicator
- Commissions are represented by a class and factory methods are provided for reuse
- Sample strategies changed slightly to reflect changes in commission representation
- Replaced "Kelly Criterion" with "True Kelly"
- Historical market depth data is no longer included with the main distribution, but can be downloaded separately
1.04 (February 28, 2008)- Fixed the problem which caused JBookTrader to stay in memory after exit
- Fixed number format for Forex: not enough significant digits were saved
- Loading historical data files is done in a separate thread to improve responsiveness
- Updated sample strategies
- ES data set contains 6 days of data
1.03 (February 27, 2008)- Instead of tracking all market depth changes, JBookTrader uses 1-second snapshots of market depth. This applies the same way to trading, backtesting, and optimizing. Historical data is also recorded in that format.
- The sample data set contains 5 days of ES 1-second market depth history
- Refactored PositionManager. Much of the code moved to PerformanceManager
- All types of securities are fully supported, including stocks, futures, and Forex
- Updated sample strategies
1.02 (February 25, 2008)- Added a more inclusive data set (3 days of ES)
- Updated user guide
- Changed MarketDepth indicator to look smoother
- Cosmetic changes in optimizer
- Deleted Forex cash strategy: JBookTrader is not yet ready for Forex cash. However, Forex futures are fully supported, so a corresponding sample strategy was added
- Renamed and changed other sample strategies based on the changed indicator and optimization results
1.01 (February 24, 2008)
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