Difference between revisions of "PTL Trader Changelog"

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 +
== 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 ==
 
== 1.0.2 ==
 
* workaround for equity tracking (ignore equity data in IB "black hour" 0:** EST)
 
* workaround for equity tracking (ignore equity data in IB "black hour" 0:** EST)
 
* more detailed logs for IB portfolio updates
 
* more detailed logs for IB portfolio updates
  
Not released to public yet.
+
Internal release.
  
 
== 1.0.1 ==
 
== 1.0.1 ==
Line 24: Line 154:
 
== 0.9.6b ==
 
== 0.9.6b ==
 
* just a small fix - NYSEAMEX exchange has been apparently renamed to NYSEMKT, so both exchanges are now supported
 
* 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 ==
 
== 0.9.6 ==
* Initial version released to public.
 
 
* Status = BETA, not recommended for real trading yet (although we already use it that way ourselves)
 
* Status = BETA, not recommended for real trading yet (although we already use it that way ourselves)
  
  
 
== Known issues we are working on ==
 
== Known issues we are working on ==
* strange equity stats coming from IB outside trading hours
+
...

Latest revision as of 10:30, 9 November 2017

Contents

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 1.2.2

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

Released 2015-04-18.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 1.0.5

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

Released 2013-11-07.

[edit] 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.

[edit] 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).

[edit] 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.

[edit] 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.

[edit] 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.

[edit] 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).

[edit] 0.9.6

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


[edit] Known issues we are working on

...

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