Live Trading

Ta4j can also be used to build automated trading systems.

About automated trading:

• Wikipedia’s article on Automated trading system and Investopedia’s definition
• Wikipedia’s article on Algorithmic trading and Investopedia’s definition

In order to build an automated trading system (a.k.a. trading bot) you have to think about two states of your program: the initialization phase and the trading phase.

Initialization phase

In the same way than for backtesting, you have to initialize the system before running it. It involves having [[created your bar series

Bar Series and bars]] and [[built your trading strategy

Trading strategies]] before.

Even if you will keep your series constantly updated with new bars, you should initialize it with the most recent bars the exchange can give you. Thus your strategy will have a more predictable/relevant behavior during the first steps of the trading phase. For instance, let’s assume:

• We have 3 bars: 5, 10, 30 (close prices)
• Your strategy computes a SMA(3)

If you start your trading phase on the 3rd bar:

• Without initialization: SMA(3) --> 30 / 1 = 30
• After your series have been initialized with last bars: SMA(3) --> (5 + 10 + 30) / 3 = 15

Maximum bar count

Since you will continuously feed your bar series with new bars during the trading phase, it will grow infinitely and you will encounter memory issues soon. To avoid that you have to set a maximum bar count to your series. It represents the maximum number of bars your trading strategy needs to be run.

For instance: if your strategy relies on a SMA(200) and a RSI(2), then your maximum bar count should be 200. You may want to set it to 400 (it’s more an order of magnitude than a strict value, but it has to be larger than the maximum bar count you need); it will ensure that your series will never be more than 400-bars long (i.e. adding a new bar will be preceded with the deletion of the oldest bar).

You just have to call the BarSeries#setMaximumBarCount(int) method.

Trading phase

The trading phase itself can be designed as a simple infinite loop in which you wait for a new bar from the broker/exchange before interrogating your strategy.

Bar newBar = // Get the exchange new bar here...;
series.addBar(newBar);

Since release 0.12 you can also add the bar data directly to your BarSeries with the addBar(data…) functions. This is the recommended way:

series.addBar(ZonedDateTime.now(),5,10,1,9); // add data directly to the series

If you are receiving intertemporal price and/or trade information, you can also update the last bar of the series:

series.addPrice(5)      // updates the close price of the last bar (and min/max price if necessary)
series.addTrade(7, 10)  // updates amount and price of the last bar

Since you use a moving (see above) bar series, you run your strategy on this new bar: the bar index is always series.getEndIndex(). (Take a look at the Num article to understand why DoubleNum::valueOf functions are needed)

int endIndex = series.getEndIndex();
if (strategy.shouldEnter(endIndex)) {
    // Entering...
    tradingRecord.enter(endIndex, newBar.getClosePrice(), DoubleNum.valueOf(10));
} else if (strategy.shouldExit(endIndex)) {
    // Exiting...
    tradingRecord.exit(endIndex, newBar.getClosePrice(), DoubleNum.valueOf(10));
}

Note that the strategy gives you a you-should-enter information, then it’s up to you to call the TradingRecord#enter()/TradingRecord#exit() methods with the price you’ll really spend. It’s justified by the fact that you may not follow your strategy on any signal; this way you can take external events into account.

This documentation has also live trading engine examples.