Today IB sent me several bid\ask prices of "1" for BTP 2021-09 and 2021-12 contracts. Not all prices for them are coming like this, I see about...
Yeah, the execution engine, which I also use to run back-tests by pumping historical prices through it, is in C#. I'm actually in the process of...
So as I understand, this part will be the most computationally expensive? : "For the discrete optimisation we're probably going to want to use...
An unrelated question: big-tech has been booming lately, and the way that model works, as I understand, is that there are these large venture...
- Sort of like the new fed's inflation tracking policy - 2% "on average" ? :) But also, as I understand, you will modify the short-term weights...
Regarding parallelization I'm now thinking to maybe do it NOT between instruments (i.e. process each instrument in a separate thread), which...
Oh, looks like I will need to upgrade my trading server (finally there's a good reason to do it :) )., will buy some mean crazy-fast pci-e...
I'm glad to help :) Onboarding new instruments is very annoying and it's always good to have multiple eyeballs on the details., and I'm naturally...
And another thing :) MINI-KOSPI seems to be monthly, not quaterly: http://global.krx.co.kr/contents/GLB/02/0201/0201040204/GLB0201040204.jsp "The...
I think there's also a problem with mini-crude: it has a good liquidity but not in the Dec contract, all volume is concentrated in the 2 front...
Agree. But even if I buy 3 contracts in something that has only 100 daily volume, why exactly is it bad., I guess because I'm risking to get a...
Happy birthday Rob, best wishes! :) Yeah, adding new contracts is a lot of tedious work in my system too, probably no matter how you write that...
Hi Rob, great stuff, thanks! I noticed that JPY-denominated Nikkei 225 with multiplier 100 from GLOBEX has high cost 0.33795084: [ATTACH] So you...
Kahneman's new book is coming out in May..
Yes, there's actually several order types which seem suitable. Though, with all of them there will be a risk that in that 15 minute delay the...
Can't say that easily, I record the initial and fill times and all changes in the state of the order (passive\aggressive) but not the reason for...
Hi Japan_trader, good to see someone with deeper understanding! So in general, I'm way over my head here, my execution algo is also a rip-off of...
Investigated one of the big positive execution profits: so the soybean order was placed at 11:75 EST when Bid=1134 Ask=1135, I was selling 1...
My breakdown is like this (this is only last 9 months as I fixed some bugs in the exec algo at that time): [ATTACH] here's the individual plots...
Why do you think an execution algo can have different effectiveness on different markets? I mean they are all "equally-liquid" I think, what other...
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