PTL Trader Changelog

1.6.0

Since 1.6.0 this project has been released as open-source and hosted on GitHub. Read the further release history here: https://github.com/quantverse/ptltrader/releases

Released 2021-07-02.

1.5.0

• CFD trading is supported
• fixed missing z-scores in history for Kalman-Grid and Kalman-Auto models
• fixed race condition with portfolio updates shortly after positions are closed (leading to "position mismatch" error and marking the pair as "requiring intervention")

Released 2017-11-09.

1.4.0

• Kalman-Grid (v2) model fully supported
• Kalman-Auto model fully supported
• removed forgotten last price constraint (causing suspicious market data state in markets missing last price quotes)

Released 2016-12-21.

1.3.1

• fixed serious bug causing strategy thread to crash completely if an incomplete historical data are provided from IB API (bug in IB API side)- if a strategy is in wait for hist_data state for few hours, you can treat it like crashed because of this issue
• profit potential is indicated even in no new positions and fully inactive states (for manual traders)
• added Reset Last Opened button for maintenance operations and manual traders
• removed last price constraints (causing suspicious market data state in markets missing last price quotes)

Released 2016-11-23.

1.3.0

• multi-platform - builds for win32, win64, linux64 and macOS now available
• indicating both z-score bid and z-score ask separately
• more effective margin allocation algorithm (only differs when margins differ per leg)
• profit potential is now calculated from bid-ask quotes (instead of trades)
• custom thresholds for downtick mode supported
• allow-reversals constraint supported
• copyright and license update
• cosmetic changes
• updated 3rd party components
• migrated to Gradle build system

Released 2016-11-08.

1.2.4

Minor bugfix release.

• fix for incorrect handling of some time zones (Moscow, etc...)
• Z-score and RSI is now being indicated in more situations, including "No new positions"

Released 2015-12-21.

1.2.3

• fix for duplicate order ID issues occurring when many orders are being sent at the same time
• Open Long, Open Short and Close buttons can be used in more situations
• Close button can be used to manually resolve "one leg opened" situation
• cosmetic UI changes
• copyright and license update

Released 2015-07-23.

1.2.2

• added some price event sanity checks and constraints
• other minor fixes / changes

Released 2015-04-18.

1.2.1

• application JAR is now wrapped in EXE - fix for shortcut/installer issues with Java 1.8
• fixed authentication fail message
• more precise z-score indication (now also the indicated z-score is calculated using bid/ask prices)
• cooldown after external close detected
• "last" prices are no longer used for entry/exit signals (only ask/bid prices are used now)
• redesigned exchange activity detection (to detect holidays / days with no activity)
• trading engine should be more friendly to low liquidity stocks (removed some unnecessary constraints in signal evaluation)
• trading engine will no longer allow positions reversals for now (to be consistent with backtests)
• bid and ask sizes are now displayed in the UI
• other minor fixes and changes

Internal release.

1.2.0

• internal architecture changes related to compatibility with PTL portfolio system
• RSI filter for Ratio model now fully supported
• all entry modes are now supported for Residual model

Released 2015-01-02.

1.1.1

Bugfix release & internal architecture improvements:

• redesigned concurrency and threading architecture (pair strategies now use thread confinement)
• fixed few potential deadlock situations and GUI freezes
• fixed concurrency issue which could potentially lead to allow N+1 slots opened in a rare occasion
• fixed retrying fetching historical data after IB data pacing violation (regression introduced in 1.0.4, it worked in earlier versions)

Released 2014-10-07.

1.1.0

• basic FA (Financial Adviser) account support (you have to enter the account code manually when connecting)
• increased log file max size and number of backups
• unadjusted split protection (stops auto trading if there is a significant price discrepancy which may indicate that IB forgot to adjust historical data after split event)
• prevents automated trading if historical data fetched are obsolete (older than 5 days)
• connection to IB API is now handled in a separate thread to prevent UI freezes
• updated IB client API files to 971.01
• minor cosmetic changes and bugfixes
• minor changes in log file verbosity

Released 2014-08-13.

1.0.6

• workaround for "ambiguous contract" issues for some particular IB symbols (MSFT, ...)
• fix for stock symbols like XXX.Y (RDS.A for instance)
• some other small changes/fixes
• more verbose logging of slot allocation process

Released 2014-03-19.

1.0.5

• fixed a bug causing "wait for min profit" engine status indicated outside trading hours

Released 2013-11-07.

1.0.4

• z-score and profit potential now update also outside user's configured trading window (as long historical data were available)
• manually opening/closing positions is now enabled in more engine states (for instance in "wait for min profit")
• modified profit estimation formula for residual model, profit estimation now disabled for cases where A<0.1
• fixed PDT protection in position exit logic
• PTL Trader does not try to initialize trading engine and load historical data for portfolios bound to accounts not belonging to current IB account connected anymore
• historical data are now downloaded and models are recalculated every day at 9:30 EST, so z-score and profit potential indicators work with updated model, instead of waiting for user's configured trading window

Internal release.

1.0.3

• workaround for strategy P/L tracking (ignore portfolio data in IB "black hour" 0:** EST)
• modified default log levels

First official stable release (2013-08-27).

1.0.2

• workaround for equity tracking (ignore equity data in IB "black hour" 0:** EST)
• more detailed logs for IB portfolio updates

Internal release.

1.0.1

• debug logs for equity tracking
• reworked execution and commission report handling (fixes slippage tracking problems and missing entries in transaction history)
• PDT protection fix
• libraries updated

Internal release.

1.0.0

• changed valid range for instrument margins (15% - 100%)
• cooldown period after closing a pair trade (it is not possible to open new pair trade earlier than in two minutes) - to prevent sending new orders until IB portfolio stats settle
• more verbose logging of executions and commission reports (internal log)
• reworked periodic premium membership checks
• updated logo and icons

Internal release.

0.9.6b

• just a small fix - NYSEAMEX exchange has been apparently renamed to NYSEMKT, so both exchanges are now supported

• Initial version released to public (2013-05-17).

0.9.6

• Status = BETA, not recommended for real trading yet (although we already use it that way ourselves)

Known issues we are working on

...